Vhayu, a provider of streaming tick processing and persistence software, yesterday launched Vhayu Velocity for Fixed Income, which delivers real-time analytics and storage of critical fixed income market data.
Following increased customer demand for fixed income-specific features, Velocity for Fixed Income leverages Vhayu’s patented functionality to provide a single platform to capture and analyse data generated from market data streams as well as data produced internally as a result of custom calculations. Several European financial institutions have deployed Velocity for Fixed Income to provide real-time and historical quote and trade snapshots, with the ability to support best execution and MiFID compliance.
As the third asset class version of Vhayu’s Velocity market data platform, Velocity for Fixed Income was created with input from current customers, including four broker/dealers, with a view to meeting the myriad challenges of capturing and storing fixed income market data. Velocity for Fixed Income stores current and historical reference data together with captured market data, reducing the complexity associated with multi-asset algorithmic strategy development, back-testing and modelling, the firm says. The platform enables users to create custom calculations on historical and/or streaming real-time fixed income data, generating new custom data streams such as spread bars and mid-weighted quote bars that can also be stored and retrieved historically.
Vhayu customers have deployed Velocity to perform global, 24×7 capture, storage, analysis and publication of data from global market data streams and multiple asset classes including bond, futures, swaps, FX and synthetics. As brokers sweep the market for best execution, Velocity aims to help them store and analyse real-time data and trades to provide an instant picture of the market and meet the requirements of MiFID. Vhayu Velocity for Fixed Income includes data mapping for many existing data sources. Support is currently available for data from BrokerTec, TradeWeb, ESpeed, EBS and Reuters for over 750,000 symbols across five sub-asset classes. A feed handler development kit enables customers to develop their own connectivity between Vhayu and any desired market data source, reducing time to market and ensuring seamless integration with existing applications. Additionally Vhayu provides for the execution of third party (i.e. Tech hackers, IRIS, etc) or customer-developed analytics libraries in the engine. The nature of Fixed Income Applications requires frequent re-pricing, which fans out from a single rate change to affect all instruments in some cases.
“In order to meet the requirements of a streaming, real-time multi-asset class environment such as fixed income trading, firms today realise that generic platforms are no longer enough,” says Jeff Hudson, CEO, Vhayu. “They must employ a solution developed exclusively to manage the specific needs of financial market data or risk major scalability, latency, and fitness for purpose issues. As a company founded exclusively to help financial firms manage their market data business, Vhayu has dedicated significant resources to evolve the Velocity platform, providing tailored solutions for equities, options and now fixed income that meet financial institutions specific needs. As we continue to work in concert with our customers to deliver the most effective market data solutions, we look forward to introducing additional versions of Velocity customised for specific asset classes,” he adds.