Thomson Reuters has begun rolling out the latest version of New York-based data technology vendor CodeStreet's ReplayService tool for capturing, storing and playing back streams of live market data to the data giant's clients.
Version 3 of ReplayService, which CodeStreet released to its direct client base in the fourth quarter of last year, features a redesigned user interface and support for Thomson Reuters' Open Message Model, used in the most recent generations of the vendor's products. The reason for the time difference between CodeStreet's launch and Thomson Reuters making the product available is not because of any material differences in the product, but simply the additional testing and internal training that Thomson Reuters performs prior to taking a third-party product to market, officials say.
From DVR to Developers CodeStreet chief executive Howard Pein likens the old front-end to a DVR interface for recording and playback, whereas the new version is "more like a developer's environment," which allows users to move one step at a time through changes in market data at the most granular level-for example, to gauge the effect of changes in Level 2 data on the way an algorithm would react, even if the changes don't impact the price at the top of book.
The new version includes a histogram chart showing data message rates over time and a list of datasets either recorded or imported from Thomson Reuters' Tick History product, which users can play back to see how their systems would perform over specific periods of time, or to track trends in reverse by spotting large orders and tracking backwards to identify the component parts.
"It brings the data to life, and makes it less intimidating... and when things are easier to use and understand, people are more likely to work with them," Pein says. "We developed this version based on feedback from clients who found that this was harder to do in the previous versions."
The addition of support for the Open Message Model is a key feature of the new version, since it standardizes on the same message format used by Thomson Reuters' Enterprise Platform (previously known as RMDS), and reduces messages to around half the size of Thomson Reuters' previous ASCII-based MarketFeed model, allowing clients to handle and record increasing volumes of market data faster for back-testing trading strategies, stress-testing their trading infrastructures, or for building and testing new applications using real-world data without having to subscribe to expensive real-time feeds.
"Delivering the vast amount of real-time data required to remain competitive in today's marketplace continues to be a challenge for financial institutions. The Thomson Reuters Open Message Model ensures you can handle complex data types such as order books, yield curves and tick histories," says Terry Roche, global head of Enterprise Platform at Thomson Reuters. "The binary format makes it simple for applications to ingest, and the small, efficient message size allows clients to stretch the useful lifespan of their networks, particularly when leveraging the Thomson Reuters Enterprise Platform for efficient highest-speed messaging."
"ReplayService V3, which supports OMM, provides an elegant means for performing capacity planning and stress-testing exercises to ensure that our customers' infrastructure and applications can support the high data rates and low-latency market data provided by the Elektron platform," Roche adds.
Thomson Reuters-which has offered CodeStreet's tools to its client base to augment its own services since the vendors signed a global software and services agreement in 2003 (Dealing With Technology, Dec. 8, 2003)-made the new version available for download via its website at the end of last month.
"CodeStreet's sales efforts are designed to promote sales through the Thomson Reuters channel-i.e., we help their salesforce sell," Pein says. "The agreement is important for us because while CodeStreet can sell in the US by itself, we can leverage Thomson Reuters if we want to sell to clients, for example, in Japan."