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Velocimetrics launches market data recording service for algo testing
London-based provider of trading analytics technology, Velocimetrics, has announced the launch of its mdPlay service, allowing market participants to record and store market data in real time. The data is recorded using a server that sits in the firm’s data centre. The data can then be re-used to test trading algorithms.
The firm says the hardware provided distinguishes itself in terms of the accuracy of data it is capable of capturing. Steve Rodgers, head of engineering at Velocimetrics, said that investment banks previously could take archived data from vendors like exchanges. The problem, Rodgers said, is that “The format of this data tends to be different from the live data provided by mdPlay, and it would need development effort to integrate into your testing environment.” The alternative is to use software-based solutions to record market data. Rodgers said that software-based solutions struggle to capture data with accuracies of less than one second. “Neither of these achieve the accuracy levels necessary for algorithmic testing. The service allows investment banks to capture data at the +/- 20 nanosecond level of granularity, and more accurate data makes for more accurate tests.”
The service, according to the company, will allow for more accurate recreation of real-world events for more comprehensive testing of trading algorithms to ensure that they do not fall foul of MiFID II requirements, which come into force in 2018 and stipulate that trading algorithms must not cause a disorderly market.
“MiFID II algo testing requirements were not yet public when we started designing mdPlay,” said Rodgers. “Now that they’ve been published, we hope they will help drive demand for a service that is already useful on its own.” By using accurate data when designing test scenarios Velocimetrics hopes that trading algorithms can be comprehensively tested to ensure they operate correctly in real-world conditions.
Financial firms that purchase the service will pay on a monthly subscription basis.