Buy-side analytics: Unified Analytics Platform

Further to the earlier posts on Execution venue analysisTCA for Fixed Income and Beyond TCA I want to set out some of the requirements for a platform to perform these four functions...
Performance Measurement and Attribution
Behavioural Analytics

There are a number of data and other items that are needed and there is some commonality between requirements:
  1. Access to a high quality time source for all internal trading systems clocks to ensure consistency of timestamps.  A GPS clock using PTP to distribute time such as this is the right sort of thing. Don't attempt to save money on this - if system clocks are inaccurate and/or inconsistent then the entire endeavour is cursed to deliver plain wrong and/or misleading results.
  2. Outbound trading information (orders, cancel requests, amendment requests).
  3. Inbound trading information (execution reports, busts, unsolicited cancels).
  4. Data to normalise inbound trading information (tag 30).
  5. Tick-by-tick market data for all product markets on which orders from the firm are traded.
  6. Tick-by-tick foreign exchange rate data, plus any fixings used for all currencies in which the firm holds fx or product positions or could hold fx or product positions.
  7. Portfolio holdings data.
  8. Portfolio cash flow data with accurate times (when the money was made available to the portfolio managers rather than a simple arrival time).
  9. Pricing data for all assets held and/or investible.
  10. Foreign exchange rate data at market accepted fixings.
  11. Corporate actions feed.
  12. Index constituent and weight data.
  13. Composite constituent and weight data.
  14. Index rebalance data
  15. Composite rebalance data.
  16. XML newsfeed for invested and investible stocks (entire universe).
Behind the scenes there is a requirement for a lot of compute and fast storage capability.  Tools that would be applicable include:
Market data gateways
This is a topic to which we will return...