TeleTrader Screener. Technical white paper

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1 TeleTrader Screener Technical white paper

2 1 Introduction TeleTrader has recently reached a new milestone in its ongoing pursuit of innovative tools that give our customers a competitive edge over other market participants. The Screening Technology from TeleTrader gives you and your customers the power to pick the most promising securities out of thousands from the world s major stock exchanges. This document presents this newest addition to our technology portfolio, gives a technical overview of the system and describes its features and capabilities. In Section 2 we give a brief introduction into screening in general and the motivation behind it. Section 3 is the main part dedicated to TeleTrader Screener itself. It first introduces the product and then proceeds to give more information about the symbol and data universe it operates on, and the distinctive features offered by the tool that make screening easier, faster and more effective than similar products on the market. The final section contains a short summary of the presented technology.

3 2 Screening As any market participant will agree, selecting good stocks to add to an investment portfolio is not an easy task. The vast number of publicly listed companies, a huge amount of data that needs to be gathered, combined and analyzed, makes this a tedious and rather costly endeavor. Unless you let a powerful stock screener do most of that work for you. A stock screener is a tool that allows users to find stocks that match a certain set of predetermined investment and financial criteria. The process of searching for companies that match these criteria using such a tool is called screening. When screening stocks, the user reduces the universe of all available stocks to a relatively small number of them that meet his standards and investment strategy. Only with an automated screening tool it is possible to analyze thousands of stocks in a matter of milliseconds, weed out the irrelevant ones and let the user focus on the results that are within his user-defined metrics. Besides obvious time-saving elements of stock screening, there is another important benefit: minimizing the effect of emotions on investment decisions. Screening is by its definition based on hard, quantitative data and as such allows users to improve consistency and stability of the decision-making process.

4 3 TeleTrader Screener The TeleTrader Screener is a powerful screening service built on top of the TeleTrader data universe. It allows users to select securities from one or more exchanges and major indices and filter and sort them using market data in combination with technical and fundamental analysis. Figure 1: The architecture of the Screener From the architectural perspective, there are essentially two interconnected parts that constitute the Screener: calculation and screening engine. The calculation engine is based on a very efficient event-processing middleware that is continuously fed via our market data feeds. Market data updates trigger calculations of various technical and fundamental metrics used in technical and fundamental analysis. These metrics, combined with the real-time and historic market data, create the foundation of the screening service. The calculation engine is able to process ten thousands of market data updates per second that in turn trigger calculation of more than hundred additional fields. The other, equally important part of the Screener is the screening engine. The screening engine evaluates queries in matters of milliseconds and produces result set with securities from the user-defined universe and the user-defined criteria. The query evaluation automates the process of compiling the initial list of securities from one or more exchanges and going through each and every security, evaluating it against the certain set of rules and finally sorting the output that pass the rules by some criteria.

5 Before we delve into details about further aspects of TeleTrader Screener, let us briefly show the screening possibilities using a sample screen: Give me top 25 stocks ordered by P/E ratio ascending that» are listed on Xetra, London Stock Exchange or Euronexxt» currently trade at more than EUR 10,-» currently trade above their 50-day moving average» have a daily average volume of at least shares» have a positive 1-month and 3-month performance» are at most 10% from their 5-year high» have dividend yield consistently of at least 1% over the last 3 years» have P/E ratio of 15 or less 3.1 The symbol universe The current version of the Screener supports around securities from major exchanges. In particular, the following European exchanges are available:» London Stock Exchange» Xetra» Frankfurt» Euronext» Amsterdam» Brussels» Lisbon» Paris» Swiss Stock Exchange» Vienna Stock Exchange» Madrid Stock Exchange» Borsa Italiana» OMX Nordic» Budapest Stock Exchange» Prague Stock Exchange All indices with constituents from these stock exchanges can also be used as the starting point for screens. These indices include FTSE 100, Eurostoxx 50, DAX 30, CAC 40, SMI, SPI, OMX Nordic 40, IBEX35, BUX, etc. In addition to that, we cover the following US exchanges:» New York Stock Exchange» NASDAQ» AMEX All indices with constituents from these exchanges can also be used in screens. These indices include: Dow Jones Industrial, S&P500, S&P100 and NASDAQ 100. The symbol universe of the Screener is constantly expanded. If you require exchanges currently not supported, we are positive that they can easily be added.

6 3.2 The power of combining the data Why limit yourself to only technical or fundamental screens if you can combine the two, along with real-time market data? One of the most distinctive features of the Screener is the seamless combination of market data, technical analysis and fundamental analysis in one product. All data fields offered by the Screener can be divided into four groups: master data, market data, technical analysis data and fundamental data. Master data consists of descriptive fields such as name, country, sector, industry, etc. These fields can be used to construct high-level filters such as only companies from specific countries or only companies that belong to a certain sector. Market data consists of around 30 fields. This group of fields contains fields such as the current price, bid and ask, change and change percent, daily volume and turnover, etc. In addition to live market data, the Screener offers a range of pre-calculated historic data such as highs, lows, average volumes, average turnover or volatility for a range of periods, ranging from one week to tenyears. Technical data consists of more than 50 fields produced by our technical analysis engine, which is one of the most important parts of the Screener. The technical analysis engine calculates technical indicators such as moving averages (SMA, EMA), MACD, Bollinger Bands, RSI, Stochastics, DMI and various support, resistance and retracement levels. In addition to these fields, the engine calculates real-time performance metrics for a range of periods and the distances between the current price and highs and lows in those periods. All technical analysis calculations are done in real-time on a tick-by-tick basis. Fundamental data consists of around 90 fields that cover balance sheet, income statement, cash flow statement and a range of calculated ratios and metrics relevant for fundamental analysis. Fields that are available historically can be requested on a yearly basis for the last ten years and on a quarterly and trailingtwelve-months basis for the last three years. Calculated ratios that depend on the current price of a stock (i.e. P/E ratio, PEG, P/B ratio, etc) are also calculated in real-time on a tick-by-tick basis. Fundamental data is available for about 4500 of the largest European, American and Asian companies. 3.3 Normalizing the currency An problem you face when you try to compare price-related financial figures of companies on the international scale is the currency in which they are listed. US stock exchanges operate in US dollar, European stock exchanges within the Eurozone will have their listings in Euro, other stock exchanges, such as the London Stock Exchange or the Hong Kong Stock Exchange will have their listings in their local currency. The only way to compare securities that are listed in different currencies is to normalize all price-related fields by converting them into one currency. We have taken this one step further: the Screener converts all price data into four major currencies: USD, EUR, GBP and CHF. This allows our customers to truly compare stocks all around the world. In addition to the normalized data, the Screener allows access to non-normalized data for stocks that are listed in a currency other than the four listed above. This means for example that data of a stock listed on Hong Kong Stock Exchange can be accessed in USD, EUR, GBP, CHF as well as in HKD. 3.4 The anatomy of a Screener query Screener queries are expressed using the TeleTrader Screening Language. This is a special-purpose language designed for screening securities. The language bears a strong similarity to SQL, which was a deliberate design decision that should make the usage of the language more natural and easier.

7 Just as in SQL, the TeleTrader Screening Language defines several mandatory and several optional clauses that are used as building blocks of a query. A query utilizing all defined clauses would look like this: SELECT [TOP n] FROM WHERE ORDER BY The FROM clause allows users to specify one or more exchanges that serve as the symbol universe of the query. Instead of exchanges, it is possible to specify one or more indices. The FROM clause is the first one that is processed during the query execution. The WHERE clause allows users to specify a list of criteria that securities have to fulfill in order to be included in the final result set. Of course, only securities from the symbol universe defined by the FROM clause are considered. The ORDER BY clause is executed after the WHERE clause and sorts the result set according to exactly one criteria. The sorting can be done in ascending or descending order. The last clause to be executed during the query evaluation is the SELECT clause. This part of the query contains a list of fields that are projected into the final result set. Of course, only symbols that have passed the WHERE clause are considered. Optionally, the SELECT clause can limit the final result set to a certain number of results, starting from the top of the result set. This allows users to limit the result set only to TOP n results. More information about the TeleTrader Screening Language can be found in the language manual. Criteria / Conditions As defined in the previous section, the WHERE clause of the query can contain one or more criteria that has to be fulfilled in order for a symbol to be included into the result set. A criterion or a condition is a comparison between a field and a constant or between two fields. The operators that can be used in the condition depend on the field type. This is the complete list of supported operators:» IS NULL (there is no value), IS NOT NULL (there is value)» <, <=, >, >=, =, <>» Crossover» IN (comma-separated set), NOT IN (comma-separated set)» LIKE, NOT LIKE (pattern matching) 3.5 Visualizing the data During the processing of market, technical and fundamental data, the Screener continuously produces histograms with data distribution for every field and every exchange and index from the symbol universe. This allows front-end applications to display graphs that visualize the distribution of companies in a particular universe according to a particular criterion (=field). The histograms are provided not only for single exchange and indices, but also for a combination of multiple exchanges and multiple indices. An example, the distribution of companies listed on NYSE and NASDAQ according to their market capitalization is displayed here. Figure 2: Market capitalization on NYSE and NASDAQ

8 The distribution histogram is available not only for current data, but also for historical market and fundamental data. Detailed information about the algorithm(s) used to calculate field limits and distributions can be found in the document Screener field limits and histograms. 3.6 Interacting with the Screener As described in the Section 3.4, clients interact with the Screener by executing queries. A query is a request that encapsulates all relevant information needed by the Screener to serve the client with results. A query must at least contain the list of exchanges or indices that serve as the starting point for the screening process and a list of fields that should be returned. Of course, a query is much more useful if it also contains criteria that securities have to fulfill, the sorting within the result set and the maximal number that shall be contained in the result set. The TeleTrader Web Service (TTWS) exposes the full functionality of the Screener via a HTTP RESTful API through two actions: getscreenerdata and getscreenermetadata. The first action is used to actually execute queries and get result sets. The second action is used to get meta-data such as the list of supported fields, exchanges, indices, parameters of technical indicators, number of years for historic fundamental data, etc. Besides TTWS API, there is a direct Screener API based on a binary protocol that can be better suited for integration into backend services and fat clients. 4 Summary This document is presenting you the details about the TeleTrader Screener, a powerful screening technology that allows you and your customers to pick the most promising securities out of thousands from the world s major exchanges. Screening queries are expressed using the TeleTrader Screening Language, a special-purpose language that bears a strong similarity to SQL. Queries define the initial symbol universe, the conditions that have to be met to be included into the result set, their ordering and the data that is projected into the final result set. The Screener offers more than 250 data fields for each security. These fields are grouped into master, market, technical and fundamental data fields. Market data contains around 30 fields such as the current price, bid and ask prices, volume, etc. Technical data includes various technical indicators as well as real-time performance metrics and distances from highs and low for various historic periods. Fundamental data consists of around 90 fields that cover balance sheet, income statement, cash flow statement and a range of calculated ratios and metrics relevant for fundamental analysis. Price-related fields are always normalized into four currencies: EUR, USD, GBP and CHF. This allows users to truly compare securities on an international scale. Clients can interact with the Screener via the TeleTrader Web Service (TTWS) by executing two dedicated screening actions. This makes the integration of our screening technology in existing products very easy.

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