TickDB is a high-performance solution for storing, managing, processing and analyzing tick data recorded/purchased from multiple data sources.
The core of the solution is tick database built on top of tweaked PostgreSQL database server. The server comes with high-speed connectivity components, with a single PostgreSQL node capable of recording L3 data with speeds sufficient for capturing market data feeds in real-time for any American or European stock exchanges such as NASDAQ, NYSE, TSX or LSE.
The database provides an extensive support for various market data types including tick data with various levels of details (L1, L2, L3) and close-to-close quotes.
New types of instruments, corporate actions and market data can be easily defined while preserving a seamless integration with the rest of the tick database.
All instrument definitions and other business object definitions are dynamical and are corporate action-tracked, which allows for reconstruction of tick data series adjusted to splits and other corporate actions. The TickDB functionality is complemented with Value Added Calculation Engine (VACE) plug-in which provides the means for defining and running value-added metrics calculations.
The Matlab-based calculation core based on Allied Testing Metric Engine technology is capable of producing value-added calculations such as realized volatility, implied volatility, average spread, time and sales data based on real-time tick data feed. The results are then stored in Tick DB.
Tick database combined with VACE facilitates such activities as:
creating new strategies by building the indicators on historical data spans and finding the trading opportunities by analyzing those indicators improving efficiency of trading strategies by using large amounts of historical L3 data for back-testing and stress-testing, calculating complex cross-instrument indicators in near real-time and using those indicators in the decision making process Tick DB with VACE plug-in represents a single environment that can be used for development, research and real-time trading.
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