Reference Data Realtime: Building Event-Driven Pricing and Analytics Services

Transcription

1 The New Generation of Reference Data Services from Interactive Data Reference Data Realtime: Building Event-Driven Pricing and Analytics Services Marc Alvarez Senior Director

2 Reference Data Use Case: Realtime Risk Analysis Cross asset, multi data type, empirical & dynamic data content Portfolio Security Master Information Issuer A 1. Instrument Lookup & Analysis Security11 Security1 Deriv 1 Deriv 2 Deriv n Security 2 Market_n Security 3 Security_N Security master data to define holdings, instruments and their issuers Issuer to instrument linkages Instrument to listing & derivatives linkages Security Master Information + Business Entity Data Security 2 Market_n Issuer B Security 3 Security_N Corporate Hierarchy Coefficeints Code Type Issuer ID My Security Unique Instrument ID Related Issuer Unique ID Security Master Information + Business Entity Data Security 2 Market_n Underlying Security Name Related Security Type Issuer C Security 3 Contract Type Security_N Related Security Description Security Master Information + Business Entity Data Security 2 Market_n Covariance coefficient Issuer N Security 3 Correlation coeficient Slope Security_N Daily Volatility Ticker Is s uera Security Is s uera Security1 Option Derivative Deriv Ticker Is s uera Security Is s uera Security1 Option Derivative Deriv Ticker Is s uera Security Is s uera Security1 Option Derivative Deriv Ticker Is s uera Security Is s uera Security2 Bond Cas h Ins trum ent bond nam e Ticker Is s uera Security Is s uera Security3 Bond Cas h Ins trum ent bond nam e Ticker Is s uera Security Is s uera SecurityN Bond Cas h Ins trum ent bond nam e Ticker Is s uera Security Is s uerb Security1 Equity Cas h Ins trum ent Security nam e Ticker Is s uera Security Is s uerb Security1 Option Derivative Security nam e Ticker Is s uera Security Is s uerb Security2 Bond Cas h Ins trum ent Security nam e Ticker Is s uera Security Is s uerb SecurityN Bond Cas h Ins trum ent Security nam e Ticker Is s uera Security Is s uerc Security1 Bond Cas h Ins trum ent Security nam e Ticker Is s uera Security Is s uerc Security2 Bond Cas h Ins trum ent Security nam e Ticker Is s uera Security Is s uerc SecurityN Bond Cas h Ins trum ent Security nam e Ticker Is s uera Security Is s uern Security1 Option Derivative Deriv Ticker Is s uera Security Is s uern Security1 Option Derivative Deriv Ticker Is s uera Security Is s uern Security1 Option Derivative Deriv Ticker Is s uera Security Is s uern Security1 Option Derivative Deriv Ticker Is s uera Security Is s uern Security1 Option Derivative Deriv Legal Entities & Hierarchies Business entity data to identify constituents of the full issuer group Security master data to define holdings, instruments and their issuers Historical pricing to calculate correlations & other statistical coefficients 3. Event Driven Analysis Intraday and/or streaming delivery to produce incremental updates to a matrix of calculated statistics Realtime calculation capabilities Ability to integrate other data sources, e.g., news, sentiment, web logs and vendor feed services Page 2

3 Requirement: Fully Integrated Reference Data A cross asset, multi source, open data model is required Core Security Master Information Interactive Data Apex Information Services Comprehensive Industry Symbology Support organization_id Primary Keys & Unique Identification Organization Master organization_id Global Security Master Asset classification Related securities Ratings Alternate Names Terms & Conditions Instrument details Issuer Information Entity data Corporate Actions Cross Referencing (Xref) instrument_id Instrument Master instrument_id Dividends Repurchase Information Announcements Capital Changes Redemption Shareholder Meetings Mergers Payments Earnings Maintenance Data Global Price Master market_id Market Master market_id Day end pricing Evaluated pricing Intraday pricing Market calendars Tick histories Sentiment feeds News feeds Third Party & Industry Symbology Press releases Research updates Corporate actions announcements Information Services Third Party, Internal, & Other Data Services Realtime feed services News feeds Blogs Industry research Internal research Internal databases Custodian services Evaluations services Sentiment feeds RSS Broker services Other data services Page 3

4 Requirement: Support for Significant Data Volume Some Basic Arithmetic Sizing Parameter Value Comments Average # corporate references 10 Average # securities & derivatives per corp. reference 10 No. price/timeseries attributes 3 Bid, Ask, Last No. day end price value observations No. of intraday price observations 15,000 Average storage requirement per value (bytes) Portfolio Size (unique securities): 200 In line with 200 day moving average 5 calendar 3,000 values/day (per Interactive Data PlusFeed) 11 Actual value per Interactive Data databases ,000 2,000 5,000 Daily values 6,000,000 30,000,000 60,000, ,000, ,000,0000 Intraday values 450,000,000 2,250,000,000 4,500,000,000 9,000,000,000 22,500,000,000 Data volume (bytes): Daily 66 MB 330 MB 660 MB 1.32 GB 3.3 GB Intraday 5 GB 25 GB 49.5 GB 100 GB 250 GB Page 4

5 Interactive Data A new generation of realtime reference data services Page 5

6 Apex Managed Database Service Fully populated and up-to-date database access ready when you are Page 6

7 Limitations This presentation contains information that is confidential and proprietary property and/or trade secrets of Interactive Data Pricing and Reference Data LLC and/or its affiliates.] This presentation is not to be published, reproduced, copied, disclosed or used without the express written consent of Interactive Data Pricing and Reference Data LLC. This document is provided for informational purposes only. The information contained herein is subject to change and does not constitute any form of warranty, representation, or undertaking. Nothing herein should in any way be deemed to alter the legal rights and obligations contained in agreements between Interactive Data Pricing and Reference Data LLC and/or its affiliates and their clients relating to any of the products or services described herein. Nothing herein is intended to constitute legal, tax, accounting or other professional advice. Interactive Data makes no warranties whatsoever, either express or implied, as to merchantability, fitness for a particular purpose, or any other matter. Without limiting the foregoing, Interactive Data makes no representation or warranty that any data or information (including but not limited to evaluations) supplied to or by it are complete or free from errors, omissions, or defects. Pricing, evaluations and reference data are provided in the U.S. through Interactive Data Pricing and Reference Data LLC and internationally through Interactive Data (Europe) Ltd. and Interactive Data (Australia) Pty Ltd. Interactive Data SM and the Interactive Data logo are registered service marks or service marks of Interactive Data Corporation in the United States or other countries. Apex, Plusfeed SM and RemotePlus SM are service marks of Interactive Data Pricing and Reference Data LLC. Other products, services, or company names mentioned herein are the property of, and may be the service mark or trademark of, their respective owners Interactive Data Pricing and Reference Data LLC Page 7

8 Thank you