Palo Alto (20 Jun 2006) – Kx systems, leader in high-performance databases and timeseries analysis, today announced worldwide availability of the latest version of their kdb+tow application. Kdb+tow v. 2.3 allows traders to replay tick data more quickly so they can develop and test new algorithmic trading strategies. Depending on the level of granularity they require, users can now replay the data in bulk or record by record. A day’s worth of NYSE TAQ data (now about 120 million records) can be replayed in about one minute giving users more time to develop robust and accurate algorithms.
Kdb+tow v. 2.3 replays data from kdb+, Kx Systems’ relational database with built-in timeseries capabilities. Kdb+ stores streaming, realtime and historical data all within the same architecture so raw data from any time range – hourly, daily, weekly etc. – can be replayed exactly as it occurred in the trading day. Dynamic calculations such as rolling VWAP (volume-weighted average price) are updated continuously while the data is replayed giving traders an accurate view of exactly how they behaved during live trading. Other replay solutions take much more time because the data has to be retrieved and pre-processed from external databases.
With a simple configuration like a two cpu Linux machine, kdb+tow v. 2.3 can replay up to two million records a second. This significantly reduces the testing time for bringing new algorithms to market and minimizes risk because new trading strategies can be triple checked against real market data immediately. Kdb+tow v. 2.3 was developed to take advantage of the extreme speed increases of Kx’s latest multithreaded database, kdb+ v.2.3, which was recently released to help users capitalize on the latest multicore chip architectures.
“Many Kx customers are moving into cross-asset trading and other markets that require newer, more sophisticated algorithms,” said Simon Garland, Kx Systems’ CTO. “The competitive advantage lies in being able to develop, test and bring them to market more quickly than other trading firms. If you have to wait hours to see results because you’re pulling data from several sources or your replay module is already struggling against exponentially increasing market data volumes you won’t have the speed to stay ahead of the competition.“