Mitsubishi UFJ Securities International plc (MUSI)
"We built an ideal platform to meet our real-time and historic market data analytics requirements for speed, efficiency and support for multiple types of data."
Executive Director, Quantitative Solutions Group, MUSI
With no significant legacy infrastructure to constrain their plans, the development team of the Rates Trading Group at Mitsubishi UFJ Securities International plc (?MUSI?) had a rare opportunity. They set about starting from scratch to build the ideal system to deliver timely, reliable and accurate market data and analysis to meet the needs of the firm?s traders. After testing and evaluating the alternatives, MUSI chose Sybase RAP ? The Trading Edition and Sybase Aleri Streaming Platform as the foundation of its state-of-the-art trading infrastructure.
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 institution 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. It provides a wide range of services in the worldwide securities and derivatives business to governments, their monetary authorities and central banks, supra-national and sub-national organizations, private financial institutions (e.g., banks and insurance funds) and corporations.
- MUSI built an ideal platform to meet real-time and historic market data analytics requirements for speed, efficiency, and support for multiple types of data.
- Provides rapid analytics using both real-time and historical tick data
- Stores massive amounts of market data in less space
- Creates centralized trade and risk market data repository
- Increases profitability for the firm through better decision-making
- Financial Services
Group Starts with Blank Slate
Formed a couple of years ago within MUSI, the Rates Trading Group had, at its inception, no significant legacy infrastructure. ?For us, this was an opportunity to develop the trading infrastructure that precisely fit our group?s needs for capturing and processing tick data, combining it with historically rich market data and developing models that would enable traders to take advantage of market opportunities,? says Greg Bufton, Executive Director of the Quantitative Solutions Group at MUSI.
The group, which includes 50 traders and salespeople, trades in bonds, derivatives and options. The group?s directors considered building an in-house solution, but decided instead to evaluate a variety of existing products to find the best fit and to take advantage of IT expertise within the organization to more quickly deliver a finished solution.
The group anticipated that their new infrastructure would comprise a database, relative value tools and pricing tools. The 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.
Solutions Provides Solid Basis for Selection
The group developed a short list of solution alternatives and spent a couple of weeks benchmarking them to determine how well they met such key criteria as:
- Fast data retrieval
- Rapid implementation
- Capture of real-time tick data
- Efficient storage
- Leveraging existing IT skill sets
- Maintenance and availability of
technical support personnel
All competing solutions were tested consecutively on the same hardware platform, which remained constant, enabling the group to assess the efficiency of the software. In addition, the hardware was intentionally scaled down to eliminate those solutions that would require extensive hardware and memory allocations. Database storage size needs were also a critical factor, since MUSI stores every tick for six months?necessary to supply enough data to fine-tune models.
Sybase RAP ? The
Trading Edition and Sybase Aleri Streaming Platform
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. Sybase RAP ? The Trading Edition is a unique consolidated analytics platform designed to manage high volume real-time data feeds as well as massive historical and market data sets. It allows multiple concurrent users to access huge histories of leaf-level market data stored in a column-based repository. In addition, Sybase RAP ? The Trading Edition can store additional data vital to capital market analytics. The result is greater speed and more efficient data compression, which is combined with an in-memory database for the capture of real-time streaming data.
Designed for real-time analysis of streaming data, Sybase Aleri Streaming Platform is a high-performance CEP engine. It can absorb and process high volume data streams, such as market data, in real-time, 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.
The Sybase RAP ? The Trading Edition combined with the high performance CEP Sybase Aleri Streaming Platform is the foundation upon which shared data and application services can be built using a common data model to support pre/post trade analytics, risk monitoring and analysis.
The MUSI team felt a key advantage of Sybase RAP ? The Trading Edition is that it performs well even when memory is truncated: unlike competing solutions that write to disk only once at the end of the day, Sybase RAP writes to disk frequently. As a result, if memory capacity is reached, there is no data loss and the database can pick up exactly where it left off, avoiding the disastrous scenario of losing a whole day?s worth of data.
?We found the Sybase solution easy to set up and the RAP-Trading Edition interface made it easy to connect with consuming applications,? says Bufton. Where other solutions were constrained by a single source of data, Sybase supports multiple market data sources?an essential capability for MUSI, which receives data feeds from both Bloomberg and Reuters.
The Sybase solution uses standard drivers, which makes it easy to plug in applications, is highly scalable, and takes advantage of the Sybase knowledge already existing in the organization. The team was also impressed with the front-end functionality provided by the Sybase Aleri Streaming Platform. Complex event processing allows 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. ?We felt the Sybase Aleri Streaming Platform front-end was another significant asset, because it gives us visibility into the information flow, which we can use to identify and alleviate bottlenecks,? says Greg Bufton, Head of the Quantitative Solutions Group at MUSI. ?That?s an important capability in an environment like ours that handles massive amounts of market data and receives feeds from several handlers.?
The Sybase Aleri Streaming Platform?s flexibility provides the MUSI team with an agile platform, key to accommodating market volatility and ever-changing regulatory requirements. Says Johnnie Chan, Associate, Quantitative Solutions Group at MUSI, ?The Aleri CEP engine allows us to change anything we need to. We?re not bound or restricted by what we cannot do.?
Measured Approach to Implementation
Once MUSI had selected Sybase RAP ? The Trading Edition and Sybase Aleri Streaming Platform, implementation took only a few weeks, with Sybase technical staff assisting in customizing the system. MUSI initially loaded half of the data into the database and then ran the system for a couple of months before giving the traders access. During that period, IT staff made sure data was reliably collected, verified its quality, and then transitioned from collecting overnight prices to live prices.
Once the data was loaded into the Sybase system, MUSI staff noticed a massive improvement in performance. ?Updating used to take minutes, but now, thanks to the ability to efficiently process and manipulate so much more market data, it?s immediate. The trading system, in the eyes of traders, went from a nice-to-have to a must-have,? says Bufton.
The Sybase solution also standardizes the market data and analytics in a single, cohesive system and avoids the scenario where traders work in isolation, using their own models and spreadsheets. ?We wanted to centralize the system so we could share an approach, and expand and improve it for everyone?s benefit over time,? says Chan. ?Our quant unit helped us figure out exactly what the traders want and would use, and that?s the system we built.?
The system is already drawing interest from other parts of the Mitsubishi organization. MUSI demonstrated it for Mitsubishi?s Tokyo office, whose team is much bigger than the London rates team; MUSI?s back office IT staff are investigating the feasibility of using it to store their data on behalf of other departments; ?Many of our traders came to us from large trading desks, and when they arrived, they found our trading information to be very basic - they were used to sophisticated trading infrastructures,? says Bufton. ?But that?s all changed with this new Sybase system - it?s very sophisticated and is a step up from what they had at their previous jobs. It?s timely, accurate and fast.?
Since implementation, MUSI has doubled the number of currencies it tracks, allowing a richer view into market opportunities ? without having to add more storage. With Sybase RAP ? The Trading Edition, it also has increased its data retention by 4X, from an initial estimate of six months to two years. 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.
For more information on MUSI: www.int.sc.mufg.jp