DATA & ANALYTICS

Data integrity is a fundamental component of executing a systematic trading strategy.

SpiderRock analytics empower clients to make critical decisions with confidence. Our low latency market data, accurate and reliable live & historical analytics support portfolio evaluation, trade cost analysis, and other valuable data modeling.

Overview

Our analytics framework provides a low latency and scalable solution for clients to consume live and historical data. Below is a representation of our features and delivery mechanisms.

Overview

Our analytics framework provides a low latency and scalable solution for clients to consume live and historical data. Below is a representation of our features and delivery mechanisms.

Overview

Our analytics framework provides a low latency and scalable solution for clients to consume live and historical data. Below is a representation of our features and delivery mechanisms.

FEATURES

Our cloud-based managed infrastructure allows clients to save cost, time and resources.

RESEARCH

Low Latency Data Feeds

SpiderRock is a vendor of record and supports the delivery of raw or normalized US-based equity, options, and futures data feeds via multicast channels or our MySQL API (SRSE). We offer client-side APIs (C# and C++) suitable for turning high multicast packet volumes into individual messages at low latencies within your software.

Historical Data & Analytics

We maintain robust daily archives of data and analytics for all US-listed Equities, Futures, Equity Options, and Futures Options. End-of-day files, intraday snapshots as well as tick data are available with corresponding reference data. Delivered as tab-delimited daily files via cloud.

Greek and Volatility Feed

We have developed highly accurate and adaptive pricing methods covering all US-listed options. This allows us to deliver a low latency enterpise-level volatility and greek feed well-suited for risk management, portfolio evaluation and trade cost analysis.

IMPLEMENTATION

Trading Signal Generation

Users can leverage our market scanners (prior day changes, surface edge, market patterns, etc.) and historical volatility charting/database tools to create trading signals that tie directly into order generation.

Systematize Your Trading Strategy

Access and monitor live and historical data to compose and inject your theoretical volatility surfaces back into our system. This process can automatically generate new orders to shape risk as your strategy dictates. Edge-to-model performance metrics are available.

PERFORMANCE

Market Size and Liquidity Analysis

We provide a window into market dynamics so that our clients can granularly assess liquidity patterns and make proper decisions on how to gear their execution style. Metrics offered include: live and historical market width, average quote sizes, prints, open interest, trading cost metrics, and many more.

Trading Cost Analysis (TCA)

SpiderRock specializes in computing TCA for options as well as all other supported asset classes. Our TCA metrics take into account the mean-reverting characteristics of markets and help clients understand their true cost of accessing liquidity.

CONSULT WITH US

Our broad and rich analytics are easily accessible via multiple delivery mechanisms. This empowers you to scale while keeping cost under control.

Consult with our team of experts to explore the SpiderRock data & analytics offering.