Ex-EMS/SunGard Execs Bow Tick Data Startup

A group of former executives from SunGard and its Exchange Market Systems acquisition have set up a Montreal-based tick data venture, dubbed TickSmith Corp., to serve the needs of high-frequency traders and hedge funds that require historical tick data from exchanges to develop and test trading strategies.

The vendor completed its lineup of sample data last month, and will have data from every exchange worldwide by this spring, sourced from several data aggregators, says co-founder and chief executive Francis Wenzel, who was most recently vice president of product management at SunGard's Fame data business. "TickSmith takes all bid, ask and trade data across all exchanges, using millisecond-level timestamps -- and we create synthetic microsecond timestamps where exchanges don't have them," he adds.

Joining Wenzel in the new venture are former SunGard staffers Marc-André Hétu as chief technology officer and David Côté as chief information officer, both of whom also worked at Desjardins Securities, as well as senior vice president of development Tony Bussieres, who also worked at Desjardins.

Wenzel says the historical data service, dubbed HiTS (Historical Tick data Service) will appeal to firms already involved in high-frequency trading that are looking to include data from a broader range of exchanges into their strategies, and to hedge funds with $1 billion or less under management that are looking to enter algorithmic or high-frequency trading for the first time, allowing them to build and test models without making major infrastructure investments.

"A lot of money has been spent on being faster, but it also needs to be spent on being wiser, by going back to the roots of quantitative trading... and to make that work, you need historical data," he says. "You might ask why you would need data on global exchanges if you only trade US equities. Well, if you trade semiconductor stocks, for example, you would want commodities prices on copper from Brazil, so you can see the impact of changes in the price of copper on the cost of semiconductors."

Clients can license historical data by exchange on an ongoing basis or for specific periods, or TickSmith can provide datasets to meet one-off, specific requests. "For someone to try us out, we literally take the data, put it on a hard disk, and let them try it for a month. Then if they sign up, we put data onto CDs or a hard drive or server, and send it to them, with updates delivered by FTP download," Wenzel says.

Once a firm has the data and has tested their model, they can also tap TickSmith to assist with executing their strategy, using Blizzard HFT, an upcoming end-to-end data capture, normalization, analytics, connectivity, risk and trading system that pre-integrates TickSmith's historical data, developed jointly by the vendor and Kuberre Systems, a North Andover, Mass.-based provider of enterprise data management and high-performance computing technologies.

Aside from selling historical data, TickSmith will also license its software platform and storage hardware -- which the vendor has built from scratch to deliver the benefits of Big Data technology that cannot be achieved with off-the-shelf hardware when managing more than 300 terabytes of historical data, for example, which is the size of TickSmith's current database -- for firms to implement locally, should they wish. "It's optimized for historical tick data, but it can support any kind of data," Wenzel says.

In addition, the vendor may also offer to host firms' historical analysis processes in its cloud, to allow clients to reduce their hardware footprint. "Initially, we expect customers will take data in and run the analysis themselves, but the technology is there for us to do that. Right now, we don't expect customers would run their analysis in our cloud -- though that is something we are looking to do in future," he adds.