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Largest trader on NYSE Liffe RSJ chooses Kx Systems for speed

Kx Systems, the leader in high-performance database and time-series analysis, confirms today that RSJ a.s. (RSJ), the biggest trader on NYSE Liffe and a large trader on other derivatives exchanges, has chosen Kx’s kdb+ to support its algorithmic trading.

RSJ is the largest trader of financial derivatives in the Czech Republic and needs to process vast quantities of data at very high speeds. The company collects data on numerous instruments, with over 10 million records per day on Eurodollar futures alone. It uses several months of tick data of the most liquid securities in the world, mostly Eurex, NYSE Liffe and CME futures, to run intra-day trading simulations and what-if scenarios.

During the evaluation process RSJ pushed potential systems to the limit before concluding that Kx Systems was the best provider, in terms of speed and the ability to process complex requests and large data sets, the key requirements. RSJ collects complex price data from multiple exchanges, using kdb+ for complex and sophisticated mathematical and statistical models.

Martin Ducháček, head of algorithmic system development at RSJ, says: “We are seeing substantial improvements with Kx’s kdb+. As well as very significant reductions in processing times, where previously a query on a day’s data would take a couple of hours - which is far too slow – with kdb+ we can write a query in a couple of minutes and see the results in seconds. This allows us to react to market situations almost immediately. kdb+ provides us with quick support for brainstorming and allows us to do things we were previously unable to do.”

Simon Garland, chief strategist at Kx Systems, says: “RSJ is the ideal client for making good use of Kx’s unique combination of powerful language and high-performance database. RSJ collects huge quantities of tick data and needs to access and query it very quickly in order to be able to create and test models, test strategies, identify unusual market situations and react to them.”

Robin Mess, Director of Business Development at DEVnet, a strategic partner of Kx Systems, comments: “With kdb+ available for a broad range of technical platforms, RSJ was able to integrate the Kx technology on its existing standard hardware immediately. After just three days of support from DEVnet the engineers at RSJ were able to build a historical database for tick data and then leverage the analytics using the expressive q language without the need for further consultancy.”

Ducháček adds: “We are still in the process of exploring the capabilities of kdb+ and expect to be able to do much more with it as the project progresses and anticipate even better performance as we optimise more processes.”