Latest release of Algorithmica History Server with added feeds and new tools

AHS file loaders for a suite of index providers has been developed. Support for MSCI Index, STOXX Index, Nasdaq Index, and Oslo Bors Index and corresponding constituent data and weights has been designed to a normalised data model. Raw data will be stored in the database as well as a user-friendly easy to use format. Where needed, data enrichment will be applied to normalise the data format for the end-user. AHS will ship with a number of api:s for system-to-system communication as well as a web-service and excel add-in. For enterprise usage, the AHS will enforce its built-in entitlements concept, to adhere with data governance and licensing issues.

Algorithmica Scoring (ASCO) and Common Review and Edit (CREW) are out of beta-testing and are now available as add-in modules to the AHS. ASCO is a programmable scoring model to automate and identify bad or missing market data. A number of pre-defined filters are shipped with the installation and additional can either be built inhouse or delivered by Algorithmica. Typical filters include warning and error levels on standard deviations, average size, max move, and move compared to average. All filters come with defaults that can be user-configured to adapt to certain data types. For example, using percentage shift levels for equity data but basis point shift for interest rate data.

The scoring model is normalised so that all sub-scores and top scores for groups of data are between 0 and 100. In order to reduce the number of warnings and errors, a grace level is set for all scorers, so that scoring only begins after a certain level of error. A comprehensive set of mailing options can be configured to have results of the scoring model sent to one or many operators, to get an early warning when running night batches.

To complement the ADMC web user-interface for monitoring and cleaning financial data, the Common Review and Edit (CREW) client tool can display data that is tailored to use the ASCO scores to find, filter and sort to get to the most important parts of the daily maintenance work directly. The CREW interface is also a more comprehensive visual environment, where data that naturally belong together, such as commodity forwards, interest rate curves and volatility surfaces, can be graphed and displayed together. This gives further efficiencies in finding outliers among very large market data sets. Full audit trail is implemented also in the CREW interface to see who did what when.

For more information about AHS please contact sales on +46 (0)8 4404400.

2016-12-09 News