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Screenshot of a breaking news alert e-mail from Q2 2017
Velocimetrics, provider of intelligent, real-time business flow tracking and performance analysis solutions, has announced today the availability of mdPlay – a service that enables subscribers to accurately re-experience, in their pre-production environment, the market data sent or received during any given trading period.
Delivering the real-world data necessary to increase the precision and robustness of testing practices, mdPlay allows firms to resolve trading issues more quickly and easily, and to considerably reduce the possibility of trading systems or algorithms responding in an unintended manner to changing market conditions. In doing so, mdPlay can help investment firms to minimise the potential for trading losses and to support MiFID II’s algorithmic testing requirements.
With mdPlay subscribers can capture every single market data stream present in their environment, so the data from any trading period can be stored and made available for replay with +/-20 nanosecond precision, in a fully synchronised manner. Furthermore, as increasingly challenging market conditions become a reality, users can request the curation of completely customisable test scenarios. Subscribers can then access their market data replay files, on demand, via a library they can continuously expand with new trading situations that trading systems and algorithms can be tested against. All subscribers need to do is simply select the data they wish to retransmit and click “Play”!
When an incident occurs, many firms currently find it challenging to re-create the exact sequence of events that took place because they can only feed their pre-production systems with artificial test data. Without access to the actual market data consumed, understanding why components reacted in a particular way, and effectively determining whether a solution will prevent future issues, can prove very time-consuming and in some cases impossible.
Additionally, using synthetic data to test new or enhanced trading systems and algorithms presents limitations, as artificial data often fails to truthfully replicate the vast variances in content, volume or rate, present in real market data feeds. This increases the risk that when faced with unusual market conditions, unanticipated behaviour ensues as trades are initiated based on pre-programmed rules that prove unsuitable for the given situation.
These challenges can result in financial loss and compliance issues. With mdPlay subscribers can access precisely timed replays of real-world data streams, enabling quality assurance and stress testing teams to very easily overcome these issues.
Steve Colwill, Velocimetrics’ CEO stated:
These days, automated trading decisions are made in small fractions of a second, but software-only capture replay solutions cannot replicate the true timing subtleties of fast moving markets. Our mdPlay solution can be up and running within a matter of hours, enabling replay of a precise replica of the market conditions experienced during any given trading period. Because the data is replayed with +/-20 nanosecond precision, testing teams can dramatically increase the accuracy and effectiveness of functional and load testing practices. Therefore, when algorithms and their supporting components are released into production our customers can have a higher degree of confidence in their behaviour, resulting in fewer production problems and more profitable trading.”