Oleg Solodukhin
Oleg Solodukhin

Data Management and the Cloud

Storing and managing large amounts of market data from data centres has become very reliant on the cloud to enable low latency and streaming on-demand delivery for flexible computing power with a low footprint.

First Published: e-Forex Magazine 74 / Special Report / December, 2016

Storing and managing large amounts of market data from data centres has become very reliant on the cloud to enable low latency and streaming on-demand delivery for flexible computing power with a low footprint.

Devexperts, known for having developed some of the US’s most successful professional, retail and institutional trading platforms, is also responsible for building one the largest cloud based financial data infrastructures in the world specialised in the delivery of high quality on-demand real time and historical data services.

Hosted at Devexperts data centres in Chicago and New York as well as at the Amazon Cloud, dxFeed is a fully managed ticker plant which sources and stores market data feeds directly from a variety of exchanges in the US, Canada and Europe and delivers streaming tick-bytick consolidated data with very low latency to the entire world.

While the technology was developed primarily for US equities and listed options markets, it has been expanded to deliver a very unique and cost-effective solution to the FX market.

Cloud deployment is growing rapidly in the FX data space
Cloud deployment is growing rapidly in the FX data space

Oleg Solodukhin, CEO of Devexperts Data Division, says: “The dxFeed technology was developed for a magnitude of 10 million quotes of data per second - normalised and delivered to clients via globally available on demand APIs. We built the dxFX data suite upon this proven technology, offering the same low latency and scale of distribution supported by our equities and options platforms.”

For Solodukhin, fast and accurate market data as well as keen market awareness (e.g. time and scale) are critical factors to professional FX traders, using automated algos, when making trading decisions. Devexperts’ enables the market data to be filtered across many contributors to provide more accurate quotes and identify and remove errors. He says: “Sometimes FX data – for instance quotes on currency pairs - can be contaminated with errors. To overcome this issue we provide solutions such as an alternative feed, data filtering and numerous contributors. When we deliver our FX data, we know that we are giving our customers the best choices available in the market.”

Cloud deployment is growing rapidly in the FX data space and with it, a greater appetite for hosted services around data storage and distribution. Devexperts started deploying data in the cloud back in 2010, and today supports different layers of cloud technology.

Clients requiring a smaller footprint can simply subscribe to the data and receive a streaming on-demand market data service for both real time and historical data by connecting to Devexperts cloud without the need for any hardware.

Oleg Solodukhin

Oleg Solodukhin

“We have been storing every tick from multiple sources since January 2010. The result is a cloud based big data store, which we use to deliver unique functionality.”

But if so required, Devexperts can also provide hosted managed infrastructures, either using a public or a private cloud, or using hybrid configurations in the cloud and at data centres.

According to Solodukhin, in addition to its high-volume streaming data capabilities, the platform includes a complete managed, scalable solution for the storage and retrieval of historical data, including ticklevel market replay technology, and a very efficient, cost effective trading strategy backtesting facility for companies trying to enter new markets.

He says: “We have been storing every tick from multiple sources since January 2010. The result is a cloud based big data store, which we use to deliver unique functionality, such as Market Replay for FX, listed options, equities, indices, futures and options on futures data. All of that data can be replayed on demand, from the cloud, and directly to the client’s account.”

This functionality works as a time machine for the entire market: a platform can be taken back in time, to a specific moment, with a subscription of different types of instruments, across different asset classes, to immediately get a picture of what happened at that time.

This can be very useful for the manual or automated backtesting of strategies, or to put an algo engine back in time to a significant moment, or to re-model a particular situation of volatility or market stress. The functionality can also be used to test trading methodologies by going back and simulating different scenarios and trying different trading strategies.

For Solodukhin, cloud technology is also an enabler of services, such as data extraction, which allows for a one-time download of tick or aggregated data.

Other unique services offered by Devexperts include complex calculations and analytics, such as proprietary indices indicators, lists of market movers, options pricing for options instruments with theoretical arbitrage free pricing, Greeks and volatility calculated on risks - these are all available in the cloud either in real-time, delayed or historical sessions.