Progress introduces Apama EventStore data replay facility for algorithmic testing

Source: Progress Software

Progress Software Corporation (Nasdaq: PRGS), a global supplier of application infrastructure software used to develop, deploy, integrate and manage business applications, today announced the launch of Progress Apama EventStore.

Apama EventStore is a real-time event data store and replay facility that enables the backtesting of algorithmic trading strategies on historical data. Combined with the power, flexibility and ease of the Apama Algorithmic Trading Platform, it delivers true competitive advantage in today's fast-moving electronic trading markets.

Apama EventStore, which is already in use by two leading global investment banks and will be generally available in March 2006, can capture data from a wide range of market data sources, including Reuters, GLTrade, FIX, EBS and Hotspot FXi, as well as from exchange and institution-specific adaptors. EventStore can also capture internally-generated trading information, such as trade confirmations, or derived event streams like a weighted moving average (WMA) or a custom basket of securities.

EventStore is integrated into the Apama architecture through the Apama Research Studio. With Apama Research Studio, traders can replay event sequences reflecting any specified time period – a trading hour, day, week, month, or year. Using recorded data from EventStore, the performance of prospective strategies can be simulated to determine how a strategy would respond in certain circumstances. Research Studio also enables traders to conduct ‘digital forensics’ by stepping through their trading processes, as captured within the Apama EventStore, to analyze wins or losses. This allows financial institutions to analyze the market and their own performance, both to audit existing strategies and to develop new ones.

Dr John Bates, Vice President Apama Products, Progress Software, comments: "To stay ahead in the algorithmic trading market, buy- and sell-side firms must assess which strategies are working most effectively to determine how to replicate gains and minimize losses. EventStore enables traders to spot complex patterns within the market, formulate lucrative trading strategies that exploit those patterns, and test those strategies before they go live."

Mark Palmer, Vice President Event Stream Processing, Progress Software, comments: "Like TiVo for digital television, EventStore can "record" market data streams, preserving time order, and replay them on demand to evaluate new algorithms and gauge the projected performance of a trading strategy before it is deployed."

Palmer adds: "EventStore's capabilities will also help institutions comply with evolving regulatory and audit requirements for best price execution. By providing the ability to capture and replay all real-time trading data, EventStore can help firms ensure their automated systems offered the best price on a trade-by-trade basis and help correct compliance problems as soon as they are detected."

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