OneMarketData, a software solutions provider, has launched its European Composite Trade and Quote (ECTQ) database to provide support for different elements of Transaction Cost Analysis (TCA).
The ECTQ service aims to eliminate firms having to construct their own tick database from raw data files, saving time, resources and expense. It aggregates 33 market sources, including exchanges, MTFs and dark pools as well as covers over 18,000 entities which trade across more than one venue.
Subscribers, which can access the service using OneTick and OneTickCloud on either a per International Securities Identification Numbering or all ISIN universe, will have access to historical data from May 1, 2018, with current days’ composite data available prior to the following days’ market open or on a T+1 basis.
The OneTick ECTQ service offers a range of functions including ISINs being mapped to historical and current symbols which trade across multiple venues, with data being provided in either the trading or base currency. It also comprises adjustment factors – composite trades can be delivered adjusted or unadjusted, for current and historical data – as well as data aggregation. It has a daily storage universe of venues in excess of 40GB, which is required to identify and compute composite data, and over 20TB to store the data for a 24- month period.
Moreover, the service covers all trades ordered by exchange matching engine timestamp using OneTick’s cloud server aggregation technology, and published timestamps are also supported from Trades and Quotes to address inconsistent timestamp granularity. Trade conditions can also be attributed to each trade and filtered to include only relevant trades, such as auction trades and off book trades.
Jeff Banker, Senior Vice President at OneMarketData, said, “Recent volatility has significantly increased market volumes and message rates, increasing the infrastructure necessary to collect and aggregate intraday tick data. ECTQ consolidates these sources and enables clients to access just the data they need, without the significant overhead associated with maintaining their own tick data infrastructure, reference data and high-performance time series database.”