Fast capture and analysis in rates trading

By Greg Bufton

MUSI is the English-incorporated, European hub of the global securities and investment banking business of Mitsubishi UFJ Securities Co. Ltd., which is part of the Mitsubishi UFJ Financial Group, one of the biggest financial institutions in the world (measured by total assets). Based in London, MUSI is active in most areas of the international capital markets, with particular specialization in the fixed income, equity, derivatives and structured finance markets.

“Since implementation, MUSI has doubled the number of currencies it tracks, allowing a richer view into market opportunities.”
-Greg Bufton

The Rates Trading Group, which includes 50 traders and salespeople, trades in bonds, derivatives and options, was given the charter to stand up the ideal system to deliver timely, reliable and accurate market data and analysis to meet the needs of the firm's traders. In addition to a database, relative value tools and pricing tools, system requirements included: fast capture of all tick data, predicting price movements and identifying arbitrage opportunities, processing real-time market data, storing massive amounts of data and retrieving this information rapidly, and quickly analyzing historical trends and price relationships. This platform would serve both the traders and algorithmic quantitative teams by providing reliable and relevant information, allowing extensive back-testing and ultimately, supporting the MUSI Rates Trading Group decision processes and enabling them to trade more profitably.

At the end of the benchmarking and evaluation process, the combination of Sybase RAP - The Trading Edition and Sybase Aleri Streaming Platform were judged to be the best solutions supporting pre/post trade analytics, risk monitoring and analysis. Sybase RAP - The Trading Edition manages high volume real-time data feeds and massive historical and market data sets, and allows multiple concurrent users to access huge histories of leaf-level market data.

Sybase Aleri Streaming Platform conducts real-time analysis of streaming data, absorbing and processing high volume data streams, applying custom logic to normalize and analyze the data. High level authoring tools allow custom processing logic to be specified to turn raw input streams into high-value output streams.

MUSI indicates a key advantage of Sybase RAP is that it performs well even when memory is truncated. The team was also impressed with the front-end functionality provided by complex event processing, allowing streaming data to be captured from data feeds at high message rates, validated to flag data anomalies (e.g. bid price is greater than ask price), and filtered for significance before adding to the data set in RAP - The Trading Edition for analysis and storage.

MUSI staff noticed a massive improvement in performance. The trading system, in the eyes of traders, went from a nice-to-have to a must-have. Since implementation, MUSI has doubled the number of currencies it tracks, allowing a richer view into market opportunities - without having to add more storage. It has also increased its data retention by four times over. With richer data stores bearing no overhead costs, MUSI has a solution that enables it to manage its business today and identify new opportunities into the future.

Customer: Mitsubishi UFJ Securities International plc ("MUSI").

Industry: Financial services.

Challenge: Meet real-time and historic market data analytics requirements for speed, efficiency, and support for multiple types of data.

Solution: Sybase RAP - The Tradition Edition for real-time and historical data analytics, Sybase Aleri Streaming Platform for complex event processing.

Benefits: Tracks twice the number of currencies, allowing a richer view into market opportunities - without more storage; increased its data retention by four times.

Biography

Greg Bufton is Executive Director of the Quantitative Solutions Group for MUSI.  MUSI is the English-incorporated European hub of Mitsubishi UFJ Securities Holdings Co., Ltd. - itself part of the Mitsubishi UFJ Financial Group, the biggest financial institution in the world.