OneTick Database and CEP Engine for High Frequency Market Data Management and Analysis

Maria Belianina, Ph.D.

Abstract:

We will provide an overview of OneTick software that is widely used in the financial industry and demonstrate how OneTick can be integrated with R. OneTick database and Complex Event Processing (a.k.a. CEP) analytical engine are designed for High and Low frequency tick data management and analysis. It allows capturing, storing, retrieving and analyzing real-time and historical tick data for any asset class or frequency with no limitations on data volumes, peak rates or length of stored history. The database captures, compresses, archives and provides uniform access to global historical data, up to and including the latest tick. Data tick types are flexible and include trades, full order books and more. OneTick analytics can be either used in OneTick GUI, integrated with R, Matlab, Excel and SQL, or accessed via C++, C#, Java, Python or Perl API.