DELTA Dashboards Visualise, Analyse and Monitor kdb+ Datasets with Delta Dashboards

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1 Delta Dashboards is a powerful, real-time presentation layer for the market-leading kdb+ database technology. They provide rich visualisation of both real-time streaming data and highly optimised polled queries of intra-day and historical data. Completely configurable, Delta Dashboards allows clients to readily build powerful grids and charts of data stored within kdb+. The screens below illustrate how a combination of relatively simple views, linked graphs and selection options within them can provide greater insight into data. In this case the viewer is analysing the filled / unfilled order statistics (Acks/Nacks) in a trading solution. The first tab Ack Nack Total looks at results per client by various user parameters: dates, duration, currency pairs, quotation pools and participant type. This enables users to scan the full data set swiftly and drill into particular areas of interest or concern. The relatively large proportion of red in the middle column would indicate a client with a particularly high rejection rate that warrants further investigation. The Ack Nack by Freq tab then provides the ability to view recurring peaks and troughs in throughput or rejections within user specified time interval. This enables operators to identify trends and aids capacity planning. In this case we see the volumes of Acks and Nacks in 15 minute intervals over the last 5 days and can immediately identify high Nack rates (red column) in early morning, midday and late afternoon periods. As with all dashboards the data under analysis can be readily amended by users and all results can be exported to Excel for further analysis and reporting if required.

2 Analysis Dashboard High Frequency Trading The screen below is designed for analysing High Frequency Trading activity. The data is taken from the Australian ASX24 market and is analysing data at a broker level. The two heat maps on the top left display the order-trade ratio and the percentage of aggressive trades by broker. In this instance those with order to trade ratios of above 32 are deemed high frequency and are highlighted in purple tone while those in red indicate ratios in excess of 70. The adjacent dashboard displays the number of messages sent within a chosen threshold time providing a solid indication of those engaging in high-frequency trading while the rightmost dashboard ranks participants by daily turnover. The Bubble app in the centre of the dashboard selects all those who had a near 1 to 1 ratio on their quantity bought and sold - another good indication of HFT activity. The colour on the bubble chart indicates the profit or loss incurred during the day. Clicking on any of the blocks, columns or bubbles populates the dashboards underneath. For example, clicking on a broker name provides an overview of each security bought/sold. By clicking further on the largest bubble in the Volume turnover view we can get further insight that this broker traded only one security but in very high volumes.

3 Analysis Dashboard Trade Flow The Dashboard on the left tracks the flow of trades between brokers on an exchange. At the top and middle sections of the display the data is presented in a tabular format detailing the amount of orders, total trades and total value. This is subsequently broken down by broker, average trade, average order, ratio, highest and total value. The bar chart on the right shows the percentage of trades over the last 5 days by broker. Finally, the chart at the bottom combines a bar chart with a line graph to allow the user to view information on a time series basis alongside overall trends on a historical basis. Analysis Dashboard - Futures This dashboard provides the viewer with a complete and comprehensive overview of a set of futures contracts. The futures strip is listed on the top with complete price history, direction indicators and threshold highlights. Underneath are trade and order profiles with accompanying line graphs and a heat maps to view both today s profile and, at the bottom, the historical trends. In all cases users can select new symbols, time periods and viewing parameters.

4 Alerts Summary Dashboard This Alert Summary dashboard provides functionality to view, filter and analyse all alerts raised. Bar charts enable users to view the status of alerts by symbol, by user and by alert type. These can be further filtered by time period with an accompanying drilldown to the content of each alert. This enables the user to view patterns and detect trends in the alert profile. The visibility from overview to detail enables organisations to better manage and assess alerts and their underlying causes. Analysis Dashboard Regression Profiles This sample Regression Analysis dashboard enables users to view graphical and tabular data of stock return analyses. Bar charts display the beta of a series of stocks against an index over a chosen timeframe. The user can view regression statistics in tabular form. In addition, for the selected stocks, the user can view scatterplots of returns against a chosen benchmark and against one another, complete with confidence bands and line of best fit.

5 FX Trader Dashboard At the top of this FX trader screen the user has selected three strategies that they would like to view in parallel. An alerts module enables the user to visualise the continuous change in data that they have requested. On the right, a table displays the bid and ask prices of the different FX pairs. The table at the bottom allows the user to view the order status of each strategy. Lastly, a line graph enables bid/ask midpoints to be viewed by exchange. The Dashboard on the right allows the user to track server level signals: CPU and memory usage. On the left hand side the parameters of the dashboard have been created enabling the user to drill down to the granular component level that is required. The middle section of the display is the alerts monitor that provides an interactive analysis to ensure that the information is displayed in a high impact visual fashion. The data on the right is presented in a tabular format and can be custom sorted by the user to run as requested. The dashboard also allows the user to enable sound alerts and is fully customisable. Alerts Monitoring Dashboard

6 Order Book Replay Dashboard The Dashboard on the left is showing an Order Book Replay. At the top of the display you have a price/volume chart over a range of days. The chart underneath is an order book showing bids (green) and asks (red). On the left is the events tab that enables the user to review every action that occurred during a time slice requested. At the bottom of the dashboard are two tabs that show Buy Orders and Sell Orders with colour coded information to allow the user to analyse large amounts of data and quickly focus on areas of interest. Buy/Sell Strategy Dashboard The Dashboard on the right tracks the efficiency of buy and sell strategies over a range of market prices. It overlays tabular data to provide detailed information at each point with line graphs to illustrate overall trends. It also includes bubble charts that give further information at each point along the curve by illustrating relative P/L amounts. A simple bar chart on the bottom left provides a quick and intuitive summary of volumes over time.

7 Liquidity Provider Pricing Time Series Line Graphs are a great way to illustrate important comparative information about changes in data over a particular time period. The line graph on the left is displaying a pricing time series. We are showing the change in spread for a particular currency pair (TRY/JPY) from each of the liquidity providers streaming that price over a given time period. The controls at the top of the graph allow users to break down exactly the information they require. They are an excellent visualisation tool that can be constructed in minutes. Heat Maps can be used to visually capture changes in large data volumes. Our Heat Map on the right is illustrating the daily average spread for a number of currency pairs from different liquidity providers broken down into specific pricing streams. This will allow the analyst to view all the data simultaneously. They can set their own parameters at the top of the heat map that will instantly pull back specific information for refined queries. Daily Average Spread Heat Map