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KX Equity Analytics for ICE® Data Accelerator Overview

Introduction

The KX Equities Analytics accelerator combines your own order data with ICE® (The Intercontinental Exchange, Inc.®) historical equities data to produce a suite of accurate anlaytics to evaluate your equities order executions. All ingested tick-level data is fully accessible, and can be further queried using SQL, analyzed using enhanced Accelerator APIs via Python, or accessed from any downstream application via REST.

The entire Accelerator can be configured and launched on an existing kdb IE installation in minutes. Quants, business users, and developers can get instant access to high quality ICE data, paired with the power and performance of kdb Insights Enterprise, all without a lengthy implementation project.

Use cases

The Equities Analytics Accelerator provides post-trade analytics with nearly 200 metrics, including:

  • Arrival pricing and valuation
  • Interval and sub-interval pricing, volume, and volatilty metrics
  • Post-trade reversion pricing and returns
  • Execution shortfall
  • Metric summarization and aggregation

All measures are fully customizable and extendable with user-defined analytics, and can be reported on from within kdb Insights Enterprise itself or externally via Python or any other REST-capable language.

Architecture and features

The KX Accelerator delivers a scalable, performant architecture including:

  • A pipeline to ingest ICE's Replay format L1 equities quote data icehistoricreplay-pipeline
  • A pipeline to ingest COREREF and CROSSREF reference data icecorereference-pipeline and icecrossreference-pipeline
  • A pipeline for ingesting EOD OMS order data for analysis eqeaorderingest-pipeline
  • Pipelines for ingesting exchange times and EOD FX reference rates eqeaexchange-refdata-pipeline and eqeafxrates-pipeline
  • Schemas for Quote and Instrument data for the above
  • Nearly 200 customizable and extendable analytic metrics
  • Standard FSI Accelerator analytic and query APIs via the FSI Library
  • An Insights performance report View that demonstrates summarization and visualization, including
    • Markout curves
    • Slippage distribution charts
    • Boxplot summarizations
  • An example Jupyter notebook, demonstrating Python and REST API access

ICE FI Screener Accelerator Architecture

Further details

For more information, refer to the following documentation:

About ICE®

ICE is a Fortune 500 company that designs, builds, and operates digital networks that combine data, technology, and expertise to connect people to opportunity. They operate exchanges, including the New York Stock Exchange, clearing houses, and mortgage technology that help people invest, raise capital and manage risk across asset classes. By aligning global price discovery data, comprehensive reference, alternative data, events data (corporate actions), analytics and benchmark solutions with proprietary fixed income & OTC capabilities, ICE is uniquely positioned to support the investment community. In addition to continuous investments in technology, what sets ICE apart is the human capital investment of professionals to monitor both liquid and illiquid markets.