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The Trading Mesh

Velocimetrics's Blog

Assessing market data quality: Taking it to the next level

February 17, 2016 Comments (0)           

 
By Shimrit Or, Senior Professional Services Consultant, Velocimetrics
 Assessing market data quality often splits into two levels.  At a basic level there is examining the quality of the channel itself, by which I mean looking at information to determine, for instance:
• What amount of bandwidth is my market data consuming?
• Am I experiencing microbursts?
• Do I have sequence gaps?
• Am I missing packets? 

Answering these questions allows us...

MiFID II: Clock synchronisation and meeting the divergence challenge

December 7, 2015 Comments (0)           

By Adam Woolhouse, Head of Sales, Trading Systems, EMEA and APAC at Velocimetrics Ltd
 
MiFID II will introduce the requirement for trading venues, their members and participants to synchronise the business clocks used to record the date and time of reportable events to UTC (Coordinated Universal Time). According to the latest regulatory technical standards, published in September, for this information to be valuable, these parties will need to adhere to a maximum divergence from UTC....

MiFID II: Clock Synchronisation and the performance visibility benefits standardisation could deliver

October 30, 2015 Comments (0)           

By Adam Woolhouse, Head of Sales, Trading Systems, EMEA and APAC at Velocimetrics Ltd
 
In late September, the most recent MiFID II guidance, detailing the proposed technical standards, hit the shelves.  Amongst the many pages that comprise this much-anticipated tome, is a section dedicated to explaining the levels of accuracy that business clocks used to record the timings of reportable events will need to achieve (but considering this section is roughly 500 pages in, you’d...

Effective system and algorithmic testing: Why using real-world data really should be a pre-requisite

June 26, 2015 Comments (0)           

 
By Shimrit Or, Senior Professional Services Consultant, Velocimetrics
 
There will always be edge cases that weren’t considered when a system was originally tested.  You probably know what I mean, those cases where the little nuances you don’t see everyday emerge.  These can occur for instance in big IPOs or on triple witching days, when the stars align just so, to create a very unique set of circumstances that nobody ever considered creating a test case...