bi-temporal data special interest group (btd sig) · • daiwa institute of research • deutsche...

Copyright © 2011 Securities Technology Analysis Center LLCSTAC and all STAC names are trademarks or registered trademarks of the Securities Technology Analysis Center LLC

7 October 2011

Bi-Temporal Data Special Interest Group(BTD SIG)

Peter Lankford, Founder & Director, STAC

([email protected])Paul Smeaton-Russell, Architect, Bank of America Merrill Lynch ([email protected]) Craig Baumunk, Principal, bitemporaldata.com ([email protected])

TM

Copyright © 2011 Securities Technology Analysis Center LLCSTAC and all STAC names are trademarks or reigstered trademarks of the Securities Technology Analysis Center LLC

Agenda for today’s call

• Background on STAC

• Genesis of this SIG

• Proposed SIG objectives, deliverables, activities

• Logistics/Next steps

STAC Benchmark Council

Council members do not necessarily endorse or approve of any of STAC’s products, specifications or statements.All company names and logos are trademarks or registered trademarks of their respective owners.

Vi th t t d t li t f C il b t STAC h / b

Trading organizations• ABN AMRO Clearing • AHL • Algo Engineering • Allston Trading • Aspect Capital • Athena Capital Research • Automat Limited • Bank of America/Merrill Lynch • Barclays Capital • BATS Exchange • BAXTER-FX • Belvedere Trading, LLC • BGC Partners • Blue Capital Group • Bluefin Trading • Bluefire Capital • BNP Paribas • BNY Convergex • Boston Options Exchange • BTG Pactual • Cantor Fitzgerald • Capstone Holdings Group • Caxton • Celeritas Markets LLC • Chicago Board Options Exchange • Chicago Trading Company • Citi • Citadel Investment Group • CityIndex Ltd • CMC Markets • CME Group • CMT Asia • Cognitive Capital LLC • Commerzbank AG • Crabel Capital Management LLC • Credit Suisse • Daiwa Institute of Research • Deutsche Bank • Deutsche Boerse • DE Shaw • DRW Trading • Echotrade • Eclipse Options (HK) Ltd • EdgeCI • Eurex Frankfurt AG • FFastFill • Fidelity Investments• Final • Flow Traders US• Forex Capital Markets (FXCM)

• Fox River Execution• FXAll • Gain Capital Group, LLC • Gelber Group • Getco LLC • GFI Group • Gloucester Research Ltd • Goldman Sachs • GSA Capital • Hard Eight Futures LLC • High Speed Analytics • HSBC • ICAP Services North America • IG Index • IMC Financial Markets • ING • Intercontinental Exchange (ICE) • International Algorithmic Trading GmbH • International Securities Exchange • ITG • ITG/DE Trading Corporation • JP Morgan Chase • Jump Trading • Kapital Trading • Kohl Trading • Knight Capital Europe Limited • Kyte Group • Lime Brokerage, LLC • Liquid Capital Group • Liquidnet • Lloyds Banking Group• LMAX • London Metals Exchange Ltd • Marquette Partners • Marshall Wace LLP • Matlock Capital, LLC • MF Global • Millennium Partners • Morgan Stanley • MWD Trading • NASDAQ OMX • National Stock Exchange (NSX)• National Commodity and Derivatives Exchange Ltd• Nobilis Capital • NYSE Euronext • Optiver B.V. • Ortus Capital Management • Panther Energy Trading LLC • Pershing LLC • Peak6 Investments LP

• Peregrine Financial Group • Pipeline Financial Group• Puppetmaster Trading • Quantlab Financial LLC • Questrade • RBC Capital Markets • RGM Advisors LLC • RiverCross • ROFEX • Ronin Capital • Rooftop Trading • Rotella Capital Management • Royal Bank of Scotland • Schneider Trading Associates Ltd • Societe Generale • Source Capital AG • Speed Trading Group • Spot Trading, LLC • Standard Bank • Standard Chartered • Storm Loan Marketplace • Sunningdale Capital LLP • Sun Trading LLC • SurfacExchange • Swedbank • Susquehanna International Group • TD Ameritrade • Tenth Sense Group Pty Ltd • Teza Technologies LLC • Tibra Capital• TMX Group • Townsend Analytics • TradeForecaster LLC • TradeLink LLC • TradeStation Technologies • Tradeweb LLC • Trading Machines • Tradition North America • Transmarket Group LLC • Tullett Prebon • Two Sigma Investments • UBS • Volant Trading • Wells Fargo • Warsaw Stock Exchange • Wellington Management LLP • WH Trading • Wolverine Trading • XHedge LLC • Xpert Financial Group

http://www.stacresearch.com/members


STAC

STACresearch.com subscribers3300+ individuals from 850+ brokers, hedge funds, vendors, ...

The STAC discovery cycle

Vendors & STACEnd-user firms

Private reports(STAC Vault)

STAC TestHarnesses

PublicSTAC

ReportsSTAC

Benchmark Specifications


An active community of technologists

• Research• Tools• Working groups• Conferences


Proposed BTD SIG Organization

• Co-chairs• Paul Smeaton-Russell and Craig Baumunk are initial co-chairs• Plan is for co-chairs to rotate

• End-user organizations will drive the agenda

• Participants may include non-DBMS vendors (such as MDM vendors)

• Participants may include DBMS vendors (not just RDBMS)

• Non-trading firm end users and academia participation is being considered


Please provide your input as we go along

• http://www.surveymonkey.com/s/btd1

http://www.surveymonkey.com/s/btd1


Current state of bi-temporal• We are assuming everyone has a basic knowledge of bitemporal data

• If not, see www.stacresearch.com/node/9653 or www.temporaldata.com

• Bitemporal data:• Wide variety of use cases today• Typically costly to develop, hard to maintain. Performance is an issue.

• Different approaches used today can be categorized into:• 2 timestamp (market data)• 3 timestamp (dimensional modeling)• 4 timestamp (the new ISO standard syntax)

• Substitutes for bi-temporal data used today:• Snapshots• Maintaining copies of all reports• Dimensional modeling

• It has not been very practical to implement bi-temporal data without DBMS support and/or integration into DBMS engines

http://www.stacresearch.com/node/9653

http://www.temporaldata.com/


Impetus for Group• New temporal extensions to standard SQL

• RDBMS vendors integrating support for these (or similar) extensions into their dbms engines

• Non-relational databases support for these (or similar) extensions into their dbms engines

• Time series• Unstructured data

• Application vendors incorporating bi-temporal functionality• Especially MDM vendors

• New recognition of power of bi-temporal• For decision making• For audit trail

• New regulatory environment• Makes the audit trail and data behind decisions more important

• There is a knowledge gap• Needs to be closed to get the most from existing and new bi-temporal technologies


Proposed group objectives

• To close the knowledge gap so that end users can get the most from existing and new bi-temporal technologies

• To help vendors to develop the best products

• To help companies evaluate vendors offerings

• To help companies most effectively utilize vendors offerings


Proposed group deliverables

• Simple functional tests (technical)

• Simple performance test (technical)

• Advanced functional test (business)

• Advanced performance tests (business)


Other proposed SIG activities

• DMBS vendor perspectives

• Non-DBMS vendor perspectives

• Briefings on new standard SQL syntax from ISO members

• Other subject matter experts• This happens to be a favorite topic of some top computer science

academics


Logistics/Next steps

• BTD SIG will meet in person at STAC events in London and New York in November• NY: www.STACresearch.com/nov2BTD• London: www.STACresearch.com/nov9BTD• End-user firms

• Monthly telecons• (Future telecons will enable you to speak!)

• STAC will communicate via an email list

• Private STAC web page

http://www.stacresearch.com/nov2BTD

http://www.stacresearch.com/nov9BTD

bi-temporal data special interest group (btd sig) · • daiwa institute of research • deutsche...

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