Paineiras Readies Xeno Tick Algo Data

by Max Bowie

Brazilian hedge fund Paineiras Investimentos is in the process of building statistical quantitative trading strategies into a deployment of Xenomorph's TimeScape data management and analysis platform, before using the system to deploy a broader range of strategies early next year.

The Rio de Janeiro-based firm, which was set up 18 months ago, has around $100 million under management, and trades equities, equity indexes and foreign exchange in Brazil and some international futures contracts, focused on macro-oriented strategies, says partner and trader Andre Portilho.

"Research into quantitative strategies has started to grow in the Brazilian market," Portilho says. "There are other funds already trading, and this area is growing fast."

Paineiras started talking with Xenomorph early this year, and-after a lengthy proof-of-concept deployment-decided to put the system into live production around August, vendor officials say.

"Right now, we are probably reaching the end of phase one of the deployment, which was building out the database and getting to know the system," Portilho says. "The next step will be to back-test our strategies against historical data, and the third phase will be to roll those strategies out to market and start trading. We plan to start sending real orders in around three months," he adds.

Portilho says the TimeScape platform will enable the firm to not only back-test strategies, but also build new ones. "Currently, we trade volatility a lot based on our experience as traders.... We plan to translate some of that knowledge and experience into strategies that we can test, and expand the number of instruments we trade," he says. "Now, I can maybe trade three to five strategies at one time. But if I can model those into formulas, we can run a thousand at the same time."

The firm would then send orders to its broker by loading the strategies into a trading platform from Progress Apama, from where it can then export its own trades back into TimeScape for further analysis.

"TimeScape has allowed Paineiras to move a lot of their processes out of Excel, which can become very bloated if you are using it for both storing data and running analytics," says Xenomorph founding partner Mark Woodgate.

"They were working in Excel before, with hooks from their data sources into the spreadsheets. With TimeScape, they are still largely using Excel [via the vendor's Spreadsheet Inside Excel-style interface]... but all the data storage and analysis and calculations are done centrally, so the process is faster, and the spreadsheets become more lightweight and can be given to other users, "Woodgate says. "Using TimeScape, Paineiras has also been able to automate some of its data update tasks that collect data from providers", he adds.

"We needed the statistical functions of TimeScape, but we also needed... the ability to handle large amounts of tick data, fast," Portilho says. "As traders, we mostly used Excel or SQL, but when you move to the tick level, it is basically impossible to use those," because of the amounts of data involved, he says.

Once the TimeScape system is fully rolled out, Portilho says Paineiras will also use it to improve the fund's existing proprietary risk controls, and will expand it to provide access to data and positions for everyone at the small firm-whereas currently only two staff use the system full-time, along with another two that use it occasionally.

However, this expansion will probably not take place until the middle of next year as the firm focuses on rolling out its strategies, he says.