Theoriem Preps TimeScape for Trading

by Vicki Chan

Philadelphia-based multi-asset quantitative trading firm Theoriem is preparing to go live with data management technology vendor Xenomorph's TimeScape database product, to support the firm as it moves from start-up phase into live trading, officials tell Inside Market Data.

Theoriem began using TimeScape at launch in February as an analytic engine to back-test and validate its models, using historical tick data from Tick Data Corp-although the firm is not yet using its models for live trading.

According to Paul Roland, managing principal of Theoriem, the firm needed a solution that would be able to store and process large datasets-including being able to manage large volumes of data while processing any gaps in the data to construct a time-series-and would allow traders to manipulate the data without requiring a developer or programmer.

"With TimeScape, we know the tick data is managed into a clean and proper state, and it also offers us the flexibility to build whatever we want," Roland says.

Over the coming weeks, as Theoriem puts its models into production, the firm will work with Xenomorph to expand its TimeScape rollout to provide real-time processing, using code written by Theoriem to process its models. This includes integrating real-time datafeeds into TimeScape, which Roland says Xenomorph has enabled by being "very quick to build adapters and APIs and upload scripts to bring the data into the TimeScape environment."

Initially, Theoriem will trade global equities, before expanding its trading strategies to include equity options, futures and currencies, Roland says, adding that TimeScape makes it easy for the firm to perform multi-asset class analysis.

Previously, Theoriem analyzed data in Microsoft Excel, which resulted in large and unwieldy files that took a long time to load and run. Storing the data and analytics in TimeScape enables Theoriem to work with a more lightweight file that is easier to manipulate and analyze, says Xenomorph founding partner Mark Woodgate.

As Theoriem automates more parts of its trading process, the firm plans to integrate TimeScape with a complex event processing environment and "really stretch TimeScape to its further limits to manage full-scale, high-frequency automated trading," Roland says. When that point comes, Theoriem will also look to link TimeScape directly to an order management system to execute trades automatically, he adds.

As this growth takes place, TimeScape will be able to continue supporting the firm's trading because of its scalability and flexibility to accommodate growth without any major rewrites, Woodgate says.

As well as providing tools to implement algorithms, TimeScape also works with models built in Maple, a data analysis program that integrates with The MathWorks' Matlab technical modeling software, which Theoriem uses to develop algorithms based on mathematical and scientific modeling.

Theoriem spent around six to eight weeks testing TimeScape before the initial rollout in February, working closely with Xenomorph to build its models within the platform, and also receiving remote support and training on how to use TimeScape, which included how to integrate Theoriem's calculations into the product, and ways to filter the tick data.

View the article on the Inside Market Data website.