19th October 2015, Paris: Horizon Software has today announced the launch of its innovative market data recording and replaying module. The Horizon Replayer allows financial institutions to replay an entire day of market data for a broad range of asset classes and instruments, including stocks, futures, options, bonds, indexes and ETFs. For the first time this enables traders to test and fine-tune their algo strategies using real-time data.
The Replayer records real-time market data, which can then be replayed at any time, giving traders the ability to analyse, benchmark and test trading strategies using real market conditions, in real-time. Simulated tests can also be run to establish a benchmark baseline for repeat tests. The Replayer allows institutions to reduce the risks and costs of running algos, as well as reducing time-to-market for both new and updated algorithms. An additional benefit is being able to provide proof of best execution requirements for regulations such as RegNMS and MiFID.
Sylvain Thieullent, CEO Electronic Trading at Horizon Software, says: “The Horizon Replayer is being used for real-time stress testing of trading strategies on the whole list of 50,000 instruments on the Euronext Derivatives exchange.” He adds: “This incredibly useful tool is now available to all our clients. If, for example, an algo is not performing as expected, using the Replayer allows the trader to replay the whole trading day and fine-tune their algos, and significantly improve their performance. We developed the module in response to client requests; Euronext’s experience with the Replayer to date has delivered significant benefits.”
The Replayer works alongside other Horizon Platform functionality, such as algorithmic trading, warrants, delta-one, options trading and market making.
The Replayer benefits are:
- Efficient and portable, hardware-independent data format, capturing all the real-time information being handled by the Horizon platform during the trading day.
- Ability to record a whole exchange feed in a normalised format.
- Level 1 (quotes and trades) and level 2 (market depth) data can be recorded, with one millisecond accuracy, metadata and system information.
- Run-time control via an interactive GUI or console-based commands; market data can be replayed at a user-specified speed (e.g. 1x, 2x or as fast as possible), and over a specified period.
- Ability to send orders and get them executed against the feed depth, in order to simulate execution services.
- Leverage extensive features of Horizon market connectivity solutions (added value services, integration with third party market data vendors platforms, etc.).
- Fully scalable.