Reuters for Algorithmic Trading

Transcription

1 Reuters for Algorithmic Trading

2 Reuters for algorithmic trading Programmatic, automated, model driven, alternative execution : whatever you call it, algorithmic trading is reshaping the securities industry. Whether your interest is in efficient execution algorithms or advanced alpha generating models, Reuters provides a complete suite of content and technology capabilities to serve any algorithmic trading need. Reuters has extensively researched and evaluated the requirements of players in the market and used our insight into this fast-moving world to create a suite of components that will help you get the most from algorithmic trading. This brochure introduces each component and its role in the algorithmic trading process. Reuters enables your algorithmic trading: We act as an enabler, not a competitor. Instead of offering algorithms to customers, Reuters offers the low-latency information, high performance technology and community support that make your algorithms competitive. Customers provide the algorithms; Reuters enables them to perform. We have something in the toolbox for everybody. It doesn t matter whether you are a buy-side party looking to send your orders to your brokers algorithms, a hedge fund or proprietary trading desk regularly tweaking strategies you run on-site for your own profit, or a broker running algorithms for your customers use; we have something for you. We are the only vendor to provide a complete suite of cohesive capabilities. No other vendor in the market today can provide the breadth and depth of our algorithmic trading offerings. There may be alternatives to each component, but none to the entire suite. And Reuters ensures that all these components run as a team so you needn t worry about integration or compatibility. We offer flexible, componentbased solutions. Reuters offers a suite of components, which means you can choose components à la carte to complement your current operations, or selectively replace existing capabilities to generate measurable performance improvements. Many customers will want to subscribe to the entire suite to optimise performance and interoperability. We build on our strengths. The components in this brochure build on market-leading middleware; a deep understanding of the information business; the ease of a consistent data model, symbology and APIs; and the largest established global customer base and operation of its kind in the world. 2 Reuters Algorithmic Trading

3 Solutions for every operation If you are an institutional customer who sends your orders electronically to your broker, Reuters broker-branded algorithmic trading screens can help. They provide tailored multi-broker access from a single desktop, using Reuters Trading for Exchanges (RTEx). RTEx also links you to a global universe of brokers from a single desktop connection via the Reuters Order Routing (ROR) network. If you are the broker receiving customer orders for your advanced trading systems to execute, you can include your branded algorithmic order entry ticket in RTEx to take advantage of the global reach of Reuters desktops. And as for making sure your algorithms and strategies perform competitively, Reuters offers every element you need to support your trading infrastructure: Consolidated data feeds to provide streaming cross-asset information (Reuters Data Feeds) New low-latency direct feeds to inform your market models at the speed of the market, with a growing list of venues worldwide (Reuters Data Feed Direct) Corporate actions data to maintain clean security master files and normalise price history (Reuters DataScope Select) Tick history archives for researching and back-testing strategies across asset classes (Reuters DataScope Tick History) Comprehensive archive of Reuters news, including millisecond timestamps and metadata, to help build news-based trading strategies (Reuters NewsScope Archive) Real-time news feed enabling your algorithms to react automatically to market moving events as they happen (Reuters NewsScope Real-time) The ability to warehouse and retrieve ticks locally from any Reuters, third-party and internal feeds or from Reuters DataScope Tick History (Reuters Tick Capture for Storage) An analytics engine that can generate analytics simultaneously against warehoused data and real-time streams and publish the calculations to Reuters Market Data System (Reuters Tick Capture Engine) The ability to record and replay data to ensure repeatable market conditions for testing (Reuters ReplayService for RMDS) A means to send and manage trade decisions to a host of markets (Reuters Order Management for Exchange execution or ROMEX) A high-performance network backbone to link all the pieces together, Reuters Market Data System (RMDS), that features: Exchange-certified data permissioning via the Reuters Data Access Control System (DACS) A consistent application programming interface (Reuters Foundation API or RFA), consistent symbology (Reuters Instrument Code or RIC) and a consistent message model (Open Message Model or OMM). These make for easy integration with legacy applications and Reuters feeds, enhance performance, and give you the flexibility to introduce new data types Let Reuters illustrate how all these components work together to help you perform better in the algorithmic trading market. Reuters Algorithmic Trading 3

4 End-to-end connectivity BUY-SIDE SELL-SIDE Reuters Trading for Exchanges Customer or Reuters Application Partners Events Processing Engine Information Desktop Reuters 3000 Xtra Reuters Trader Reuters Order Routing Exchanges/ Execution Venues 4 Reuters Algorithmic Trading

5 Access or offer algorithmic execution over our network Whether you are a buy-side firm looking to send orders to your brokers algorithms for execution or a sell-side organisation looking to offer your clients branded access to your own algorithms, Reuters offers the applications, connectivity, and breadth of global community to serve your needs. The links to broker algorithms are made possible through the Reuters Trading for Exchanges (RTEx) front-ends in our premium desktop products, enabling electronic order transport over the Reuters Order Routing (ROR) network. The broker-neutral ROR network is truly global, with over 50% of trades originating outside the US, and an average of 4.5 billion shares filled per month by more than 500 buy-side firms and 250 brokers worldwide, each linked using a single FIX connection. Reuters 3000 Xtra, Reuters Station and BridgeStation users can manage time, size and the method of order execution to minimise market impact and secure the best route to market, with access to algorithms from a growing roster of leading brokers and venues: ABN AMRO Archipelago Banc of America Securities Bear Stearns Bridge Trading Cheuvreux CIBC World Markets Citigroup Credit Suisse Deutsche Bank Goldman Sachs Instinet Jefferies & Co. JP Morgan Lehman Brothers Merrill Lynch Morgan Stanley Piper Jaffray Sanford Bernstein Susquehanna UBS ROMEX* *Users of the ROMEX platform are already natively enabled on the ROR network. Dedicated trading screens supporting these brokers algorithms are immediately accessible from your desktop with a simple upgrade. For market data managers, this means no additional infrastructure is needed to install the system on your trading floor. The result is anonymity, better execution opportunities and improved performance: in other words, the best trades at the best prices. Reuters Algorithmic Trading 5

6 One stop for algorithmic trading data Reuters provides a complete range of harmonised, interoperable and complementary data services to drive automated trading. Complete, consistent coverage Reuters data spans continents and asset classes. It includes real-time instrument prices, price histories, high-volume, low latency, tick-by-tick trading data, terms and conditions, corporate actions, analytics, news and much more. All the data is presented using a consistent, industry-recognised symbology and is backed by a flexible distribution and management infrastructure that ensures consistency of data throughout your enterprise. 1. Exchange feeds direct and consolidated Striking the balance More than ever, data speed is critical to a market participant s success. Algorithmic trading demands the lowest possible latency real-time data for instantaneous decision making. That means getting the time interval between data entering and exiting the system as small as it can possibly be. Direct feeds answer this demand in a way consolidated feeds, given their architecture and the enrichment processes involved, simply cannot. Our data feed solution for high frequency trading, Reuters Data Feed Direct, was designed for blistering speed. Benchmark tests against the enormous OPRA (Options Price Reporting Authority) data stream have consistently demonstrated platform speed of less than a millisecond. And we ll continue to optimise performance ahead of market acceleration. Remaining in control For most institutions, neither direct nor consolidated feeds alone fulfill the needs of the entire enterprise. A mixed data portfolio is the best way to achieve balance, with low-latency direct feeds for individual venues supplementing the broader coverage of consolidated feeds delivered via Reuters Data Feeds. Only Reuters provides a complete range of both direct and consolidated feeds. Because you need to work with both types of feed simultaneously, we ve made compatibility a priority. Our direct and consolidated feeds are compatible with each other and almost every existing Reuters API. We ve also embedded RIC symbology alongside exchange symbols and our proven data model in each feed. And to ease entitlement and exchange-reporting burdens, both direct and consolidated feeds are DACS adaptable. A managed approach We follow the same approach to managing both types of feed, maintaining the hardware and software for you. Both consolidated and direct feeds have been designed to plug into our integrated market data management platform, which provides essential features like resiliency, entitlements (venue data fee) control, and efficient distribution, all with less than a millisecond of latency. Direct venue data access in a managed service Ultra-low latency, sub-millisecond performance under load and using full record sizes Global coverage, service and support Consistent Reuters programmatic interfaces APIs and data model RIC and exchange ticker symbol support DACS adaptable Tight RMDS integration 6 Reuters Algorithmic Trading

7 2. Corporate actions and reference data Reference and corporate actions data are an essential part of your automated trading environment. With Reuters DataScope Select, you can access timely, accurate content that spans the world s financial markets. We maintain our corporate actions data assiduously, adding new listings, splits, mergers, acquisitions, and symbol changes as soon as they happen. It s content that is critical for setting trade parameters, identifying the current pool of securities eligible for trading over algorithmic platforms, and normalising price data to accommodate for corporate actions. We back up the very latest reference and corporate actions data with a complete historical archive going back more than 20 years, so you can fuel the analytics and decision support systems used to develop your algorithms, models and strategies. Reuters reference and corporate actions data items are linked by a security identifier table covering SEDOLs, CUSIPs, ISINs, Common Codes, Wertpapiers and, of course, the RICs that bind all the pieces of our solution together. This makes it possible to cross-reference trades that are coded with different types of security identifiers. This powerful combination of corporate actions data, crossreferencing functionality and common symbology enables you to maintain a clean security master file, reduce trade failures, and link activities across multiple business processes. Quantitative researchers testing theories need as much historical data as they can lay their hands on. 3. Deep tick histories Automated and programmatic trading activities require huge volumes of historical data to research, back-test, optimise and run algorithms. Regulations like MiFID and Reg. NMS are also driving the demand for an accurate and precise historical record of market activity. Reuters DataScope Tick History is designed to feed the market s appetite for data. It is the only historical service to offer ten years of global tick data across asset classes, covering both OTC and exchangetraded instruments. Our request-and-retrieve service lets you select precisely the data sets you need. So you get all the content you want and only the content you want from a single, trusted source. Unrivalled coverage Reuters DataScope Tick History gives you ten years of full-tick, global, intra-day time & sales and time & quotes data covering an extensive range of equities, foreign exchange, fixed income and derivatives instruments: Equities any equity or related instrument, including derivatives, on 140 exchanges worldwide Foreign exchange unique historic matching rates from Reuters plus contributed and exchange-traded prices Fixed income extensive OTC market coverage plus exchangetraded bonds and derivatives With more than 35 million unique instruments, our coverage has the breadth and depth to support any testing or compliance scenario Easy integration with other applications Common symbology means you can integrate historical data from Reuters DataScope Tick History with real-time data that you capture and store yourself using Reuters Tick Capture Engine or Reuters Tick Capture for Storage. That means you have access to a complete record of your markets, from ten years ago right up to the latest tick, for use in algorithm testing and associated applications. 4. The news frontier The richness and complexity of news is now being exploited by trading applications to help manage event risk and generate alpha. By recognising and processing news events as they happen, algorithms that read the news, not just the latest market data, can react to breaking developments at lightning speed, anticipating how the markets will respond. With Reuters NewsScope Archive, a comprehensive database of Reuters news timestamped to the millisecond and tagged with an array of metadata, you can search for hidden correlations between events and market movements to help build, back-test, and train your algorithms. Using Reuters NewsScope Real-time, your algorithms can automatically respond to market moving events as they happen more quickly, consistently, and accurately than ever before. Reuters news is seen by over one billion people every day and is on the screens of over 370,000 financial and media professionals worldwide. We deliver over 500,000 alerts and over two million unique stories a year, consistently breaking political, company and economic news ahead of our competitors. Seize opportunities, exploit market inefficiencies and manage event risk with the world s most trusted machine-readable news coverage. Reuters Algorithmic Trading 7

8 Powerful data capture and retrieval Create your own data archives At a time when update rates are rising fast and compliance obligations are mounting, many financial institutions need an efficient means to capture and store the huge volumes of market data flowing through their systems. In-house and off-the-shelf databases often cannot cope. Reuters Tick Capture for Storage* (RTCS) offers superior performance to deal with the demands of warehousing the escalating volume of pricing data from today s markets. RTCS provides an alternative to the custom storage solutions of yesterday that may be struggling with maintenance costs or capacity constraints, or for off-the-shelf databases that are not optimised for market data or for the retrieval requirements of programmatic trading. RTCS is built on the proven technology at the heart of Reuters Tick Capture Engine and is designed to capture, store and retrieve market data now and into the future even as market data rates continue to increase. RTCS is a highly scaleable and resilient platform fully integrated with Reuters Market Data System (RMDS). It gives you the ability to capture ticks from any of the Reuters, third-party and internal feeds on your system, and integrates seamlessly with Reuters DataScope Tick History so you can load in tick history files from Reuters going back ten years. Data can then be retrieved rapidly for use in algorithmic trading applications. Key features: Captures updates at the speed of the market Stores every tick in a highperformance proprietary database Applies data management functions to the stored data, such as mapping, cancellations/corrections and on-demand normalisation by corporate actions Quickly retrieves stored content via an API Add in analytics whenever you want by upgrading to Reuters Tick Capture Engine Reduce your reaction times with historical and streaming analytics Reuters Tick Capture Engine * (RTCE) calculates your customised or preconfigured analytics at the speed of the market, so you can react in milliseconds to changing market conditions and execute your algorithmic strategies more quickly. RTCE pre-trade, post-trade and best-execution analyses are based on a high-volume market data update stream. Data from tick-by-tick real-time streams as well as tick history and corporate actions information are stored in a central location where they can be rapidly accessed for quantitative analysis and compliance. And because this central data repository publishes the same, continuously updated values to all applications, you can be sure the different parts of your organisation are acting on consistent and timely information. Analyse ever-increasing volumes of market data in milliseconds Ensure accuracy and low latency with Reuters quality data and reliable feeds Link to Reuters Market Data System (RMDS) for content integration, permissioning and publishing streaming analytics Send analytical inputs (e.g., moving averages, stochastics) to your trading models to inform trade signals Publish streaming analytics (e.g., VWAP) to trading desks and applications Reduce time to market for new trading strategies with powerful historical querying capabilities Plug in existing content, analytics and execution platforms Load up Reuters DataScope Tick History for ten years of global cross-asset, tick-by-tick data Ensure security master quality by applying corporate actions from Reuters DataScope Select * Powered by Vhayu Technologies 8 Reuters Algorithmic Trading

9 Testing and order execution The challenge for developers is to design repeatable, predictable tests without waiting for scenarios to recur naturally in the market Develop better trading models and applications Building successful algorithms requires intensive testing. And the more sophisticated the trading strategy, the more comprehensive the test environment needs to be. With Reuters ReplayService (RRS) for RMDS any scenario can be stored and played back on demand. RRS simulates real market data conditions so that developers can test and analyse their applications. Like a digital video recorder, it lets you pause, fast-forward, rewind and single-step through recorded market data, over your network or remotely on a laptop. You can recreate exact data streams or accelerate playback rates to stress-test applications and the interactions between them. Because RRS simulates the RMDS environment, you can use it to determine exactly how your models will behave under diverse market conditions. Once a model is working, daily regression tests with consistent datasets help isolate problems and fix bugs. Easy to install and run RRS comes with an elegant graphic user interface as well as a command line interface, allowing everyday users to create market data scenarios with a few mouse clicks. It requires minimal hardware, runs on multiple operating systems and can be used equally in desktop or server configurations. Action your trading signals and manage your orders in the market Algorithmic trading complements traditional, manual trading. It is most effective when an order is moderate in size, the issue is liquidity deep, the daily trading profile consistent and the trade sizes small. Manual trading is still the most popular approach when orders are larger, markets are less liquid and spreads are wide or unpredictable. In such cases traders can use their skill to capture more alpha. Machines and traders both rely on sellside trading and order management systems. Sharing capabilities between algorithmic and manual trading desks can be highly economical, and Reuters Order Management for Exchange execution (ROMEX) is one component designed for use by both. ROMEX is a sell-side trading and order management system for domestic and cross-border brokers and traders, offered by Reuters in partnership with Orc Software AB, a market leader in trading software and market connectivity. It s the natural tool for sending to and receiving from the Reuters Order Routing (ROR) network. Order flow can be managed using in-built rules management, which can both support direct market access and handle large institutional order flows. Cut through complexity ROMEX can connect users to over 80 markets with a single interface for each market, reducing the complexity of building and managing multi-market algorithmic trading engines. Orders received over FIX can be managed and executed within ROMEX or submitted to an external trading engine for algorithmic execution. Trading tools meanwhile let users execute simple order flows and use advanced trading strategies on all major equity and derivative exchanges. The system supports trading of spreads, combinations, baskets, VWAP orders and dynamic hedging, and offers additional synthetic order types not offered by exchanges. Market makers can also price derivative instruments and either respond to quote requests or quote on a continuous basis. Reuters Algorithmic Trading 9

10 The result: a scalable, flexible, integrated, high-performance algorithmic trading and order management system News Contributions Fixed Income Foreign Exchange Treasury Reuters Integrated Data Network Exchange/ ECN Exchange/ ECN 24x7 Management Reuters DataScope Tick History Reuters NewsScope Archive Market Reuters Reuters Data Feeds Reuters Data Feeds Plus Reuters Data Feed Direct Reuters DataScope Select Reuters ReplayService for RMDS Data Access Control System (DACS)/Open DACS Reuters Market Data System/Reuters Foundation API Open Message Model Info Desktop Reuters 3000 Xtra Reuters Station Reuters Order Management for Exchange execution Exchange/ ECN Reuters Tick Capture Engine Reuters Tick Capture for Storage Customer Algorithm Engine Customer environment Market 10 Reuters Algorithmic Trading

11 Simplify integration of all your algorithmic trading components with the ultimate market data system The backbone of your algorithmic trading operation Algorithmic trading is putting huge pressure on the systems that support it. Integration of data sources and a single API and data model to access these sources is more important than ever. Success can depend on the speed, robustness and flexibility of your market data system. Reuters built one of the very first market data integration and distribution platforms almost 25 years ago. In that time we have worked with our largest customers to continually enhance and improve our core systems. Reuters Market Data System (RMDS) is the next-generation successor to the TIB and Triarch market data platforms. All Reuters engineering experience in real-time data distribution and integration has gone into the design of RMDS. The result is our fastest and most robust multi-source integration, normalisation and distribution system. Give your direct feeds bullet-proof resilience Reuters Market Data System is setting the standard for direct feed integration, integrating more customers direct feeds than any competitive system. Without a market data system, your applications would need to connect directly to the direct feeds, which creates challenges for algorithmic applications that need feed resilience or access to multiple exchange venues. With RMDS, direct feeds can be configured to run as fault-tolerant pairs so that in the unlikely event of feed handler or line failure, the failover will be managed in a way that prevents even a millisecond s data loss for downstream applications. Breaking the millisecond barrier Configured in a flat architecture and carrying loads typical of US equity and options markets, RMDS can deliver sub-millisecond end-to-end latency (the time between data entering and exiting the system). As well as raw speed, you need capacity, and RMDS can process more than 1.7 million updates per second from a single server reducing the number of servers you need while easily managing traffic growth. RMDS s speed does not compromise the system s scalability. There s no limit to the number of instruments or data sources, and zero downtime when adding sources. RMDS offers leading wide-area network routing technology, allowing applications to connect to exchange venues on other continents with very little additional latency. Integrating your applications with a consistent API Reuters has re-engineered its data model from top to bottom to create the Open Message Model (OMM). Built to handle a far broader array of data types than ever before and including Level II data, OMM supports full order books and is the ideal vehicle for the extremely rapid content delivery that algorithmic trading demands. Algorithmic trading applications need to scan and analyse huge volumes of data in milliseconds to spot trading opportunities and trigger orders. They also require programmatic access to a wider range of content, such as liquidity information (order book, market-maker data), deep tick history, news, portfolios, and even transaction messages. As this trend accelerates, there will be a constant requirement for low-latency programmatic access to new data types. Reuters has responded to these demands by redesigning its data model from first principles, prioritising speed and flexibility at every point in the development process. The result is OMM, a lightweight, zerofriction message format able to support all types of existing and new data structures including ones not yet invented. One of OMM s most important features is full order book support. You can access order books through snapshots or by creating an asynchronous event stream. The full order book data comes back as an image that may span multiple refresh/response messages. Updates are used to modify the order book based on a market activity (e.g., add order, modify order, delete order). Market by Order information is one of multiple types of data available for a market data instrument. You and your developers manage OMM through the Reuters Foundation API (RFA), a single multi-threaded messaging interface for RMDS and Reuters Data Feed Direct. RFA can access both direct and consolidated sources and also supports the new Reuters Wire Format (RWF). It s the key to OMM s openness. It allows developers to extend existing data types to suit your needs, or create completely new custom domains, without being tied to Reuters proprietary data structures. You design the type definition, code the new type into your application using the RFA, and then deploy it on RMDS, with the whole process potentially complete in less than two hours. The only limitation is the imagination of the application developer. Reuters synchronises data from multiple sources into a single, RIC-based format that is simple to integrate and analyse, making it easy to load data into your applications. Reuters Algorithmic Trading 11

12 Simplify integration of all your algorithmic trading components with the ultimate market data system Putting you in control of your data usage Trading systems require mechanisms for determining the identity of a user and for controlling what the user can view and do within the system. These mechanisms must satisfy a variety of constituents, from the exchanges, data vendors and other providers of permissionable content and services, to financial institutions themselves, who may want to provide different data or services to their own clients. The mechanisms must have the performance to cope with the trading floor environment, as well as the scalability and administrative tools to cope with internet populations. Open Data Access Control System (Open DACS) gives clients the ability to redistribute fee-liable data in a controlled manner by permissioning downstream applications. It is an API that gives direct access to the DACS sub system. Applications using it can make use of the comprehensive entitlements and reporting functionality of DACS even though the data they subscribe to is not sourced directly from RMDS. The Open DACS License provides the means to enable applications for DACS directly, rather than relying on an RMDS API to provide entitlements. Applications that use Open DACS get all the benefits of proven DACS technology for login control, data entitlements and usage reporting. Open DACS can be used in conjunction with RFA-based market data operations or can be used independently with other distribution solutions such as the standard Java Database Connectivity (JDBC) API. Join the Reuters Developer Community Should your developers need help getting the most out of the RFA, the deep expertise of Reuters global support operations are on hand in the form of the Reuters Developer Connect programme. It s a forum for application developers and gives your people access to a team of Reuters experts who will examine their code and make recommendations. The Reuters Application Providers partner programme provides an array of business and technical benefits to members. The programme already has over 300 leading capital markets software firms participating and integrating with RMDS, encompassing more than 50,000 applications. At Reuters we re working more closely with third-party firms to deliver winning applications that provide value-added flexibility and choice to our customers with a special focus on programmatic trading applications that can leverage the Reuters advantage where we are seeing the greatest customer demand. You can join at For more information: Send us a sales enquiry at Read more about our products at Find out how to contact your local office Access customer services at Reuters uses your data in accordance with Reuters privacy policy in the privacy footer at Reuters Limited is primarily responsible for managing your data. As Reuters is a global company your data will be transferred and available internationally, including in countries which do not have privacy laws but Reuters seeks to comply with its privacy policy. If you wish to see or correct data held on you or no longer wish to receive information about developments in Reuters Group products and services, such as free trials or events or you wish to change your preferred method of receiving a communication, please esupport.global@reuters.com writing Personal Details in the subject title. Reuters Allrightsreserved. Reuters and the sphere logo are the trademarks or registered trademarks of the Reuters group of companies around the world. Published by Reuters Limited, The Reuters Building, 30 South Colonnade, Canary Wharf, London, E14 5EP. EI-MAR