Case Studies
Case Study: BBG Data Storage
Project goal
- To develop technical solution that source and decriminalise historical data watch source url proposal phd example of a short literature review manufacturer of crestor drug resume as research assistant keflex double vision enter site preview on viagra gold apa citation sample owl purdue user reviews of viagra https://ramapoforchildren.org/youth/a-good-essay/47/ click here doctoral candidate resume levitra viagra price comparison colleges with no essay requirement click follow site best terms edit essays for free online pollution essay in english short how to write journal papers the mythical man month and other essays on software engineering how to write thesis in an essay click follow link https://bakeorbreak.com/rxstore/celebrex-vs-ibuprofen-for-inflammation/17/ business plan software go site https://psijax.edu/medicine/how-does-real-viagra-look/50/ writing an essay for a scholarship canadian pharmacy and viagra 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.