The London equity derivatives desk of a global investment bank needed a system to analyse the historic correlation of equity baskets. The desk wanted to re-use existing time series data in the bank's FAME SiteServer databases and to easily generate and store derived data such as correlation matrices and volatilities. After assessing many competing systems, the desk decided its needs could be fulfilled by using the speed, ease-of-use and analytical functionality of Xenomorph’s TimeScape data management system in conjunction with the rich time-series data held within their FAME databases. Xenomorph, FAME and the client co-operated in the development of a TimeScape driver connection to FAME using the TimeScape Data SDK (Software Development Kit). Once implemented, TimeScape was connected directly to FAME databases, transparently leveraging this existing data infrastructure without duplicating or copying data from one database to another.
"FAME's users typically store large volumes of high quality market data in their FAME databases. Very often this data has been cleansed and filtered using both FAME and/or client systems. Such high quality data is a valuable resource for any financial institution. FAME's enterprise database platform is designed to allow institutions to distribute this data throughout their organisation through a wide variety of tools and applications. We believe that FAME's broad coverage and high quality databases, coupled with the end-user focused analytical capabilities of Xenomorph’s TimeScape system, are a compelling combination."
John Wallis, Head of European Sales, FAME
Xenomorph and FAME developed a solution which met the bank’s needs within two months of project initiation; the employment of a business analysis phase, prototyping and custom testing in the client's target environment enabled this rapid delivery timeframe. The driver was developed through a combination of 'C' and FAME's own 'C' Host Language Interface (CHLI).
Visual access directly to FAME databases via the TimeScape Workbench is now possible and more recently, the functionality has been extended in conjunction with the bank’s New York trading desk to allow index compositions and weightings in FAME databases to be easily loaded and analyzed via TimeScape. An added benefit of the TimeScape connection to FAME databases is the increased data transparency through the visual and financial markets focussed representation of market and instrument data in TimeScape.
"The use of the TimeScape Data SDK opens up FAME databases to all the easy-to-use TimeScape APIs in Excel, VB, C/C++, .NET and SOAP. These expose the full power of TimeScape’s extensible basket functionality, QL+ query language and SpreadSheet Inside technology directly on FAME data without users needing to know the intricacies of the FAME CHLI or FAME database architectures. These are seamlessly encapsulated into TimeScape’s overall infrastructure along with the TimeScape XDB databases and other data sources to present a common view to users on all their data needs."
Mark Woodgate, Director, Xenomorph
The bank also uses Bloomberg and Reuters data, which can be accessed through TimeScape to compare and complement existing FAME datasets.
FAME is a leading provider of data management technology software and consulting solutions to the world's financial, public sector and energy markets. www.fame.com