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KX Flow Accelerator Overview

Introduction

The KX Flow Accelerator ingests FX price and order information from KX Flow and persists it in kdb Insights Enterprise. Price and order data can be streamed directly into custom Realtime streaming analytic pipelines, queried using SQL, or analyzed using enhanced Accelerator APIs via Python or any downstream application using REST.

More information on KX Flow can be found on kx.com.

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 pricing data from their existing KX Flow instance, paired with the power and performance of kdb Insights Enterprise, all without a lengthy implementation project.

FxChart-View

kdb IE + KX Flow Pricing Accelerator can power use cases such as:

  • Pricing analytics - Gain insight into price and spread behaviour from your upstream liquidity provider feeds and constructed client pricing.
  • Post-trade analytics and TCA – Gain fine grained access to price and order behaviour for execution traces and true cost analyzes.
  • Backtesting – Providing faster backtesting runs, which means quicker algo development iteration.

The Accelerator delivers a scalable, performant architecture including:

  • Pipelines for ingesting streaming pricing for quote (maker) and client quote (constructed pricing): fxquote and fxclientquote
  • Pipelines for ingesting request-for-stream (RFS) quote workflows: fxquoterequest, fxquoterequestlegs, and their corresponding fxquotereply, fxquotereplylegs.
  • Pipelines for order workflows: fxorderrequest, fxorderrequestlegs, and their corresponding fxorderreport, fxorderreportlegs.
  • Pipelines for reference data fxrefinstrument and fxholidaycalendar.
  • Schemas to persist data for all of the above
  • Query and analytic APIs via the FSI Library - including FX-specific price book returns appripriate for full amount and VWAP books.
  • An example Insights View for displaying streaming data
  • Example Jupyter notebooks, demonstrating Python and REST API access

KX Flow Pricing Accelerator Architecture

Further detail