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Solutions from OneTick and R. Portfolio & Risk Analytics Business Cases. Andrew Diamond. Portfolio & Risk Analytics. Increasing data volumes Reference data (corporate actions, name changes, continuous contracts, etc)

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solutions from onetick and r

Solutions from OneTickandR

Portfolio & Risk AnalyticsBusiness Cases

Andrew Diamond

portfolio risk analytics
Portfolio & Risk Analytics

Increasing data volumes

Reference data (corporate actions, name changes, continuous contracts, etc)

Access to both High (e.g., Price) and Low (e.g., Volatility) frequency data

Security master maintenance

Database schema changes

Data Requirements & Challenges:

  • Increasingdata granularity
    • Daily to continuous intraday
    • Milli→ Micro →Nano→ Picoseconds…
  • Data cleansing challenges
  • Complexity of data and data consolidation
    • Consolidation across product types
    • Access to complex calculations

… vs Consolidated Risk and Portfolio Analysis

what is onetick overview
What is OneTick: Overview
  • About data model:
  • Time series with customizable & flexible schema for any asset type
  • High and Low frequency
  • Reference data support (corp actions, continuous contracts, symbology, calendars, etc.)
  • About analytics:
  • Time series generic functions: Aggregation, filtering, signal generation, calculated fields, etc.
  • Time sensitive Joins & Merges across symbols, databases and tick types
  • Finance functions (order book snapshots and consolidation, statistics, pricing, portfolios)

OneTickServers

  • Data collectors
  • In-memory intraday tick database[s]
  • Historical archives (file based, unlimited, distributed)
  • Analytical Engine for Historical, Intraday and CEP real-time queries. Extendablevia: R, C++, C#, Java, Perl & Python

Real-Time Feeds

  • Consolidated (Reuters, Bloomberg, etc)
  • Exchanges
  • Custom feeds

HistoricalData

  • Ascii
  • Proprietary binary
  • ODBC source
  • 3rd party (NYSE TAQ, CME, etc)

Real-time Out-of-box or custom API

BatchOut-of-box or custom API

what is onetick client side
What is OneTick: Client Side

End Users & Client Apps:

OneTick GUI

Design & debug queries, view results, tune performance

OneTickServers

  • Data collectors
  • In-memory intraday tick database[s]
  • Historical archives (file based, unlimited, distributed)
  • Analytical Engine for Historical, Intraday and CEP real-time queries. Extendablevia: R, C++, C#, Java, Perl & Python

Real-Time Feeds

  • Consolidated (Reuters, Bloomberg, etc)
  • Exchanges
  • Custom feeds

OneTick API

C++, C#, Java, Perl, Python

HistoricalData

R

MatLab

  • Ascii
  • Proprietary binary
  • ODBC source
  • 3rd party (NYSE TAQ, CME, etc)

Excel

ODBC clients

Command Line Utility

TCP/IP Real-time or on-demand

Real-time Out-of-box or custom API

BatchOut-of-box or custom API

what is onetick gui analytics
What is OneTick: GUI Analytics

Query Example: Bollinger Bands Buy/Sell Signals

A “Nested query” for Bollinger Bands calculations

NOTE: One of the nodes can be an R Event Processor calling R functions

what is onetick view results
What is OneTick: View Results

Viewing Query Results in GUI: Bollinger Bands Buy/Sell Signals

NOTE: This query can be called from R

passing query output back to R vector

slide7

Notes:

  • All query samples are available on demand and for demos
  • VaR samples are for discussion only and are based on the calculations described in “Options, Futures and Other Derivatives” by J.C.Hull

Contacts:

[email protected]

[email protected]

[email protected]

Q&A
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