The Prague-based proprietary trading shop, among the leaders in derivatives trading on NYSE Liffe, will use Kx's database and time-series analysis platform to support modeling for its algorithmic trading systems.
With a primary focus on market making, RSJ uses several months of tick data in liquid securities and collects over 10 million records daily for Eurodollar futures, alone, to run intra-day simulations and what-if trading scenarios. After evaluating several possible alternatives and deciding on Palo Alto, Ca.-based Kx, the firm partnered with consultancy Devnet to rapidly implement kdb+, doing so with minimal hardware changes over three days.
"We are seeing substantial improvements with Kx's kdb+. As well as very significant reductions in processing times, where previously a query on a day's data would take a couple of hours, with kdb+ we can write a query in a couple of minutes and see the results in seconds. This allows us to react to market situations almost immediately. kdb+ provides us with quick support for brainstorming and allows us to do things we were previously unable to do," says Martin Ducháček, head of algorithmic system development at RSJ.
Rich Newman joins to talk about challenges facing the alternative data space and why open data is becoming increasingly important.Subscribe to Weekly Wrap emails