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BlueCrest: StreamBase for Real Time Market Data Management
BlueCrest is one of Europe’s leading hedge funds, with over $15 billion in Assets Under Management. Under the direction of Justo Ruiz-Ferrer, BlueCrest’s Head of Trading Strategy Systems & Quantitative Development, BlueCrest has developed an innovative Real-Time Market Data Management System that allows BlueCrest to rapidly add or switch market data feeds, allowing for considerable choice and flexibility.
BlueCrest’s market data management infrastructure aggregates fixed income, equities, FX and related derivatives, exotic commodities, energy, and alternative asset classes. It stores each tick in the Vertica Analytic Database and using StreamBase calculates real-time analytics against the historic data in Vertica, ranging from simple data like last trade price to complex event-based analytics like volatility surfaces and correlation signals with time windows. The resulting system provides a firm-wide infrastructure to access, conflate, enrich, and distribute market data with minimal latency and assured compliance, in real-time.
“Great data management is as important to us as great quantitative trading models,” said Justo Ruiz-Ferrer, Head of Trading Strategy Systems and Quantitative Development at BlueCrest. He continues, “The combination of StreamBase and Vertica enables us to get a low-latency, aggregated view of ‘everything that ticks’ in the increasingly complicated, fragmented, high-speed financial markets. Their joint solution helped us get to market quickly and, more importantly, change our system quickly in response to new opportunities. We save weeks to months with each market or analytic we add, and that helps us capture trading advantage while it’s most lucrative. It enables our 24-hour global trading operations, and helps us optimize our market data licensing, all at once.”
Video: “What does StreamBase mean to you?”
Bob Giffords, an independent banking analyst and author of the BlueCrest Market Data Management Case Study interviews Justo Ruiz-Ferrer to learn more about the BlueCrest system.