Canadian exchange Aequitas Neo has begun using New York-based tick data and complex event processing software vendor OneMarketData's OneTickCloud managed historical tick data and analytics platform to create new datasets by performing market microstructure analysis of the Canadian equities markets.
"OneMarketData's tick data cloud enables us to conduct research on market microstructure with large amounts of data. This helps us to determine how the NEO Exchange impacts the market and improves quality of execution for long-term investors," says Karl Ottywill, chief operating officer of parent company Aequitas Innovations. "By utilizing OneTick's analytics functions, the NEO Exchange will be able to compute tailored metrics such as average trade sizes, execution statistics, and depth of book."
Aequitas initially approached OneMarketData early this year about using OneTick, which a member of the exchange's staff had used in a previous role at a large Canadian bank. The vendor then performed a fact-finding and requirements-gathering exercise before setting up a proof-of-concept test phase for the exchange that ran for around 50 days.
Though the total time from contact to go-live was several months, "We had them set up and accessing the cloud and our analytics very fast─hours versus days or weeks─compared to in the past," says Bryan Ruben, director of sales at OneMarketData. "For a company or exchange starting out that doesn't have the resources of an established company, having that on-demand data store combined with OneTick's analytics, with the added benefit of not having to manage that infrastructure... is pretty powerful."
The tick data store incorporates content from Great Falls, VA-based historical tick data provider Tick Data, which OneMarketData acquired last year (IMD, Nov. 3, 2015). "We are in the process of putting that [Tick Data] data into the cloud and combining it with other sources that we collect," he adds.
Aequitas' requirements centered around full coverage of Canadian markets, and the ability to perform "deep technical analysis around market microstructure... to find new strategies," Ruben says. While declining to provide specific details of how Aequitas is using OneTickCloud, he says other exchange clients use OneTick to analyze their performance against other exchanges and provide insights that will ultimately attract more order flow.
"In general... it's about enhancing transparency and quality of execution-especially as that world becomes more competitive," Ruben says. "We have several large Canadian banks, hedge funds and pension funds as customers already, and obviously another is a great thing. But... we think partnering with newer, progressive exchanges─and being part of that evolution of exchanges─is exciting."
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