Effective, flexible and open

Analyse in real time the health and integrity of market data sources

The success of financial institutions has always depended on reliable access to timely market data, from high-speed executable prices coming directly from exchanges, through to verified valuation pricing and instrument reference data.

Market data feeds are an essential dependency for core systems spanning all asset classes and are therefore under the most scrutiny in any institution, particularly with today’s increasing regulatory climate.

Application teams need to quickly spot developing issues with data sources and proactively respond before their business is affected. For instance, if a trader is using a delayed market data feed, he or she is likely to be pricing swaps incorrectly, resulting in material losses for the company, as well as potential compliance and reputational controversy.

Solution

Geneos MDM helps market participants gain greater control of their data systems, while supporting regulatory requirements. It provides a number of pre-built solutions, ranging from volume, variety, velocity & veracity, as well as the means to customise or create your own via the API. 

By subscribing to market data feeds such as Thomson Reuters, TT, Vela (formerly SR Labs), GL, Bloomberg, Exegy, QuantFeed or to your own in-house sources, the MDM solution enables your teams to holistically collect, analyse and visualise feed performance metrics in Geneos.

In turn, your business will benefit from the ability to:

  • Identify when external data from one or more sources is running slow or out of sequence
  • Measure the relative or absolute latency of market data updates
  • Compare data values from multiple sources
  • Monitor spikes in prices, detected by the price exceeding a set threshold compared against, for example, the average from the last one hour
  • Track if there are no updates in a given interval (empty data fields)
  • Verify that contributed content is timely and consistent.
     

How does the MDM API work?
 

  • Feed Adapter API - The system consumes data from a variety of market data vendors. This API allows you to write your own required feeds
  • Data Subscription API - Subscribe to and consume market data from multiple instruments across multiple data sources
  • Data Analysis API - Run programmatic analysis on the normalised and time-stamped data returned from those sources in real-time
  • Dataview/Command Publishing API - Publish statistics, alerts and monitoring content into the Geneos infrastructure and define user interactions in the form of Geneos commands.

The programming environment used in the MDM solution is an embedded interpreter for the Lua programming language. This scripting language is chosen for its simple but powerful syntax, small runtime footprint, good performance and its active community online which provides guidance and help.

In MDM the base Lua language has been extended with several modules that comprise the MDM Lua API. These modules fall under three categories, which when combined together provide a rich suite of data analysis and monitoring capabilities.

For more information on MDM, please click here to contact us.

Case Study

Market data monitoring: how an investment bank achieves best execution

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Signal to Noise: The New Market Data Imperative

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Delayed, but not forgotten: best execution and MiFID II

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