an example of kpi from the financial sector
TRANSCRIPT
w w w . q u a r t e t f s . c o m
In-Memory Analytics
Head of R&D, Quartet FS
Antoine Chambille
“The financial industry’s secret weapon to turn data streams into actions”
w w w . q u a r t e t f s . c o m 2
Use Case #1: Fixed Income Trading Desk The Fixed Income Business
w w w . q u a r t e t f s . c o m 3
Initial price = 100 $
Use Case #1: Fixed Income Trading Desk The Fixed Income Business
Client Trader SELL
Initial price = 100 $
New price = 120 $
-20
+20
SELL
w w w . q u a r t e t f s . c o m 4
BUY
+20
-20
BUY
Initial price = 100 $
Use Case #1: Fixed Income Trading Desk The Fixed Income Business
Client Trader Bank A
SELL
Initial price = 100 $
New price = 120 $
-20
+20
SELL Trader Bank B
-20
w w w . q u a r t e t f s . c o m 5
Use Case #1: Fixed Income Trading Desk The Fixed Income Business
A
B
C
D
E
F
G
Clients
+ 120 $
- 130 $
+ 150 $
- 120 $
+ 110 $
- 90 $
+ 140 $
Trader
Datastream #1
w w w . q u a r t e t f s . c o m 6
Use Case #1: Fixed Income Trading Desk The Fixed Income Business
A
B
C
D
E
F
G
Clients
+ 120 $
- 130 $
+ 150 $
- 120 $
+ 110 $
- 90 $
+ 140 $
+
-
Trader’s position
Market moves
Datastream #1 Datastream #2
+/- %
w w w . q u a r t e t f s . c o m 7
Use Case #1: Fixed Income Trading Desk Previous Information System
Trader’s workstation
Datastream #1
Datastream #2
OLAP cube
. . . 5 min
Market data
. . . 5 min
OLTP Database
Book and record
w w w . q u a r t e t f s . c o m 8
Use Case #2: Central Counterparty The Central Counterparty Business
w w w . q u a r t e t f s . c o m 9
Use Case #2: Central Counterparty The Central Counterparty Business
Central Counterparty
Company
A
Company
B
Datastream #1 Datastream #2
Market moves +20
-20
w w w . q u a r t e t f s . c o m 10
New Batch
Use Case #2: Central Counterparty Previous Technical Solution
Datastream #1
Datastream #2
T0
Market prices RDBMS Deals
T+30min
Margin Call report at T+30min
Margin Call report at T0
w w w . q u a r t e t f s . c o m 11
The In-Memory Revolution
OLTP
OLAP CEP
w w w . q u a r t e t f s . c o m 12
The In-Memory Features
100 Mo/sec.
HARD DRIVE
10 milliseconds
20 Go/sec.
MEMORY
100 nanoseconds
VS
x200 faster
Bandwidth:
Access time:
x100,000 faster
w w w . q u a r t e t f s . c o m 13
In-Memory Improving Business Performance Use case #1: Fixed Income Trading Desk
Trader’s workstation
Datastream #1
ActivePivot Market data
Datastream #2
. . . 5 min . . . 5 min
Datastream #2
OLAP cube
w w w . q u a r t e t f s . c o m 14
In-Memory Improving Business Performance Use case #2: Central Counterparty
New Batch
Datastream #2
T0
Deals
T+30min
Margin Call report at T+30min
Margin Call report at T0
RDBMS ActivePivot
Alert Investigation
Data
Datastream #2 Datastream #1
w w w . q u a r t e t f s . c o m
Thank you for your attention Any question ?
Head of R&D, Quartet FS
Antoine Chambille