Awards: MarketFactory

MarketFactory has been voted Best FX Market Data Provider at the 2018 FX Week e-FX Awards

Darren Jer
Darren Jer: lack of historical data hampers growth in the market

Market data in foreign exchange markets has been getting faster and more granular in recent years, as fragmentation in the space continues and several FX venues have moved to increase the frequency of their updates.

Thomson Reuters, EBS and Currenex have all introduced new and faster data feeds in the last 24 months, providing dealers with up to 25 times more updates than before.

“[Faster market data is] the latest move in the race for market share amongst the leading spot and futures venues,” says Darren Jer, co-founder and chief executive of MarketFactory.

MarketFactory has been voted the winner in the Best FX Market Data Provider of the Year category at the 2018 FX Week e-FX Awards.

The company’s Whisperer product connects to more than 75 foreign exchange venues with a single API, while its market data product is the largest tick store in all of FX.

If you get one thing wrong, the data is less useful. Six to nine months later, you can backtest against your own dataset. This effort [costs] millions in time and expense
Darren Jer, MarketFactory

While more frequent data updates have moved markets towards reduced last look times, they have also increased the technology and capacity requirements for institutional traders.

“I think most institutional trading participants have the technology capable of consuming these higher-volume feeds. This is particularly relevant given the elevated volumes we have seen this year,” Jer adds.

Granular data

More granular market data has also enabled transaction cost analysis to become more reliable in measuring and guiding execution decisions. But the lack of a central tape to back-test new strategies against is holding back growth in the market, says Jer.

“Imagine you are an asset manager, systematic fund or ‘quantimentum’ portfolio manager successfully trading equities or futures and have ideas to expand your trading into FX,” says Jer. “The first thing you would need is an accurately normalised dataset with nanosecond granularity of the FX market against which to backtest your theories. Sadly, it doesn’t exist.”

Instead, the portfolio manager would have to set up and capitalise a new over-the-counter entity and acquire a prime broker relationship to trade through. They would also have to sign legal agreements with dozens of venues to get a view of the market, and then set about writing and testing code for all those platforms. Then they would have to record all of the data themselves.

“If you get one thing wrong, the data is less useful. Six to nine months later, you can backtest against your own dataset. This effort [costs] millions in time and expense,” Jer says.

“Faced with so many hurdles, a trader can just go to another asset class with easier information and access. We lose opportunities to grow the pie all the time,” he adds.


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