Case Studies
BBG Data Storage
Project goals
- To develop technical solution that source and decriminalise historical data from TRTH, Barcharts, CSI
- Technically support it
Description
Data granularity - tick (level 1), 1/5/10/60 minutes bars, daily bars. Fields sourced - last price, bid, ask, traded volume, cumulative volume, open interest, trading conditions (aka trade qualifiers), expiry date, last trade date, first notice date. History goes 10-15 years back in a history (limited by history of data source). Sourcing historical corporate actions. Adjusting Futures data based on research roll schedule. Building filters based on trading conditions (not trivial as they vary between exchanges, asset types and change over time) and price action. Sourcing historical calendars. Tracking and reacting on ticker renames (very common for Reuters). Universe of unique symbols consists of around 3000 names.
Technologies
Results
- Secured and fail-safe solution created
- Number of error and production incidents dramatically went down
- Cost of sourcing new names/market reduced considerably
- Quality of data improved
Risk Report Automation
Project goals
- Create solution for generation Risk reports automatically
- Technically support it
Description
DB used as storage for any report related data (both historical and reference). MS Excel add - in created for working with the data. If requested info is missing from DB - it will be requested from Bloomberg and stored in DB. Users can create report templates using MS Excel with minimal set of macros for report API. System supports running reports on schedule (daily, weekly or monthly) with sending results in email, storing it on network location. Reports can be generated as excel files or PDF. Reports can be requested to be generated on demand, using Web - site, which also can be used as admin console.
Technologies
Results
- Flexible and reliable solution for report generation
- Client adopted solution and made it prod critical system
- Quality of data improved