Richard Faillace Head of Transactions Communications at Reuters Ltd
Richard Faillace Head of Transactions Communications at Reuters Ltd

Evaluating the FX data issues for algorithmic trading

In the beginning there was light…now we have data; in fact we use the light to carry our data. If the light’s too bright you buy a pair of shades; if there’s too much data, well…you just ignore some of it. Is there such a thing as too much data?

First Published: e-Forex Magazine 28 / ALGOFX LAB / July, 2007

Data, Data Everywhere In the beginning there was light…now we have data; in fact we use the light to carry our data. If the light’s too bright you buy a pair of shades; if there’s too much data, well…you just ignore some of it. Is there such a thing as too much data? Perhaps there isn’t, but there’s definitely such a thing as more data than you can analyse and process. For algorithmic trading in foreign exchange to take the next step forward it will need to bring all data streams together and make them accessible to the trading engines. Market data:  contributed, executable, dealt, fixing, historic, tick; transactions data, post-trade data, value at risk (VaR) data; news and economic indicator data. Price data in foreign exchange is simple, after all it’s just two numbers, but with a proliferation of trading venues and execution models has come a fragmentation of liquidity. The challenge therefore becomes the need to re-aggregate that liquidity and...continued

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