FinDEVr SV 2016 / Devexperts

Presenter Profile

Devexperts is a provider of professional software systems for on-line brokerage, exchange, and trading business on stock, options, futures and Forex markets. Devexperts market data platform, called dxFeed, offers unparalleled performance and cost-efficiency for real-time streaming of the most demanding data feeds, like the full set of option quotes from 14 participating exchanges in US equity option markets. With the total number of events peaking above ten million per second, they are simultaneously distributed on individual subscription to hundreds of thousands of on-line customers.

Presentation

Domain-Specific Compression for Historical Market Data

dxFeed on-demand historical market data platform enables long-term tick-by-tick storage of all market data, its efficient retrieval, and processing. With the ever-growing market data rates, the storage and hardware requirements, and thus cost, are made manageable using sophisticated data-compression algorithms that were specifically designed with market data in mind. Fully custom NoSQL data storage that runs on top private or public cloud infrastructure is optimized for the specific kinds of requests that market data processing entails, enabling such unique features like full-market data replay and tick-by-tick query of historical trades and quotes.

What You’ll Learn

  • Domain-specific compression reduces storage requirements by several orders of magnitude versus general-purpose data compression employed by out-of-the box storage and database implementations.
  • Full-market data replay is enabled by domain-specific data storage layout that optimizes data storage for the typical data access patterns.
  • Savings in storage translate to reduced retrieval times, reduced compute resources for data processing, and ultimately to reduced costs across the board.

Presenter

Roman Elizarov, CTO

linkedin.com/in/relizarov | @relizarov | elizarov@devexperts.com | 312.478.0219


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