Figment Software Limited

Case Study #3: ECN Market Data Loaders

The Fixed Income & Risk trading desk of the Asset Management arm of a tier-1 investment bank required assistance with the design and implementation of a suite of generic data loaders for various vendor data loaded into an existing data warehouse.

The data loaders retrieved data from vendors such as Lehman Point, CitiGroup Yield Book, JP Morgan, Bloomberg and others. Data was provided by these vendors in a variety of formats, which was transformed to a suitable format and imported into a data warehouse for use by the Fixed Income & Risk team using Matlab to build mathematical risk models.

Java J2EE (JDBC, XML) and Sybase T-SQL were employed in the implementation of this solution.

The automation of the data loading process, and in-fact the process of refactoring away from the existing tactical Python scripts to a strategic Java solution, has increased the reliability of the data loading process, reduced maintenance and support of the process (including manual intervention), and increased the availability of data to the business by permitting access to new and additional market data vendors. Providing multiple sources of the same data (let alone new data) to the business allows for cross-tabulation of values to evaluate the quality of the data prior to input into their mathematical models. Therefore, analysis is more accurate.

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