Quantitative Research Meets High-Frequency Analytics

Quantitative Research Meets High-Frequency Analytics

Aretec Employs Proven Software Development Quality Management Processes to Develop Production-Ready Data Science Solutions

Challenge

High frequency traders (HFT) can execute large volumes of trades in extremely short time intervals (milliseconds down to microseconds), which can create the potential to manipulate financial markets to their advantage. HFT is executed within time scales that are technically hard to monitor and audit by exchanges, Self Regulated Organizations (SROs), and other regulatory bodies. HFT generates large data sets, which require knowledge of efficient programming techniques to retrieve, manipulate, and validate data quality. Our client’s quantitative researchers and financial engineers were spending significant resources developing extensive analyses to: 1) interpret and manipulate HFT data and applications; 2) utilize quantitative analytics; and 3) implement scoring models. Aretec was tasked with the challenge of developing a platform that supported our client’s significant objective of addressing HFT and promoting fairness in US markets.

Solution

Aretec developed a High Frequency Analytics Lab (HAL) that processes market data tick by tick, message by message, down to microsecond resolution. HAL processes HFT registrant data including trade, order and limit order book data. HAL produces reports and visualizations (e.g. P&L analysis, liquidity provisions, and message traffic) to help identify entities engaging in potentially unfair market practices. Aretec’s quantitative researchers, expert developers, and HFT subject matter experts enrich the system-generated outputs by analyzing the outputs and summarizing HFT findings to support associated examinations and potential Enforcement referrals and actions.

Benefits

• Use quantitative statistical modeling techniques, and graphical analysis
• Processing data sets by developing and writing project-specific programs
• Analyze and interpret statistical data
• Compute supporting metrics
• Builds, replays, and visualizes order books for multiple trading venues for Equity, Futures, Options, and/or Fixed Income products
• Produces and maintains models, middle-ware, or other analytical products
• Produces reports and/or generates graphical displays