Case Studies
Case Study: BBG Data Storage
Project goal
- To develop technical solution that source and decriminalise historical data
form TRTH, Barcharts, CSI - Technically support it
Description
- Data granularity – tick (level 1), 1/5/10/60 minutes bars, daily bars.
- Fields sourced – last price, bid, ask, traded volume, cumulative volume, open
interest, trading conditions (aka trade qualifiers), expiry date, last trade date,
first notice date. - History goes 10-15 years back in a history (limited by history of data source).
- Sourcing historical corporate actions.
- Adjusting Futures data based on research roll schedule.
- Building filters based on trading conditions (not trivial as they vary between
exchanges, asset types and change over time) and price action. - Sourcing historical calendars.
- Tracking and reacting on ticker renames (very common for Reuters).
- Universe of unique symbols consists of around 3000 names.
Technologies
- C#
- Java
- Python (scipy + numpy + matplot)
- MS SQL, Mongo DB
Scope
- 35 months, 18 man-years
Results
- Secured and fail safe solution created.
- Number of error and production incidents dramatically went down.
- Cost of sourcing new names/market reduced considerably.
- Quality of data improved.
Case Study: BBG Data Storage
Project goal
- To develop technical solution for storing Bloomberg historical data, updating it
from both historical and real time data. - Technically support it
Description
- Data granularity–tick (level 1), 1/5/10/60 minutes bars, daily bars
- Field sourced – last price, bid, ask, traded volume by default .
Support of any data fields available via BBG API - History goes 10 + years back (limited by Bloomberg for non – daily bars)
- Aggregated data (1/5/60 min bars and daily) created from tick data where available.
Otherwise aggregated data requested from Bloomberg - Calendar support
- Data for current day collected from real time data and represented in the same data formats (ticks, 1/5/60 min bars)
Technologies
- C#, WPF, BBG API
- MS SQL
Scope
- 33 months, 9 man-years
Results
- Reliable data source for automatic
trading. - Client replaced existing data source with developed
one.
Case Study: Risk report automation
Project goal
- Create solution for generation Risk reports automatically.
- Technically support it
Description
- DB used as storage for any report related data (both historical and reference).
- MS Excel add – in created for working with the data. If requested info is missing from DB – it will be requested from Bloomberg and stored in DB.
- Users can create report templates using MS Excel with minimal set of macros for report API.
- System supports running reports on schedule (daily, weekly or monthly) with sending results in email, storing it on network location.
- Reports can be generated as excel files or PDF.
- Reports can be requested to be generated on demand, using Web – site, which also can be used as admin console.
Technologies
- C#, ASP.NET, MVC
- MS SQL
- VBA
Scope
- 18 months, 3 man-years
Results
- Flexible and reliable solution for report generation.
- Client adopted solution and made it prod critical system.
- Quality of data improved.