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Inside Market Data
22 June 2004
by Max Bowie
Xenomorph’s New Language
London-based data management software vendor Xenomorph has developed a database query language for users to perform complex searches and calculations on both static and time-series data.
The language, which allows users to specify data searches by typing instructions into Excel in close to plain English, will officially launch over the next month. It will be released in standard updates of Xenomorph's TimeScape frontend software, which is used to access the vendor's multi-asset XDB database.
Managing director Brian Sentence says the function is already being evaluated by traders and risk managers at two investment banks and will be rolled out to existing users under the terms of their licenses.
The "self-describing" query language—dubbed QL+—is similar to SQL but has been enhanced to be able to deal more efficiently with time-series market data. SQL and relational databases are not the most suitable ways of storing and analyzing data, Sentence says. It follows the expansion of the XDB database to include full tick-by-tick data in addition to timeseries price data at regular intervals.
Previously, selection of instrument by criteria and calculations on the instrument, to produce last value figures, for example, were performed by separate queries: one to identify an instrument; then another to define a calculation. "There was a good reason for that—there are around 300 functions", Sentence says. But he says that while the querying functions were quite flexible, they only performed specific tasks.
Users define a data query in QL+ by typing a series of selections into an Excel cell, separated by a full stop. They select which database they want to query (such as XDB's credit database), then the item they want to view (such as a curve) and what other associated values (such as Bloomberg ticker) they want displayed with it. Then they select the calculations they want to perform.
QL+ is aimed at risk managers and fixedincome and equity derivatives traders who need to filter instruments by criteria and look for specific correlations between instruments for pricing baskets.
by Max Bowie
Read PDF version© 2004 Incisive Media Investments Limited. All rights reserved. Used by permission. First published in IMD June 28, 2004