Deltix: Untangling Data to Discover Alpha

Deltix: Untangling Data to Discover Alpha

CIO VendorIlya Gorelik, Founder & CEO I want people to recognize and remember Deltix by its motto—Aggregate-Analyze-Act,” announces Ilya Gorelik, Founder and CEO, Deltix. As an advanced badminton and tennis player, ballroom dancer and a Jazz enthusiast, who has 20 years of experience in managing large-scale software projects and teams, Gorelik believes in staying agile, competitive, and giving the best of performance in anything he lays his hands on. This attitude is what powers Deltix (Development Laboratory for Technology and Informatics) today on its journey to become a principal player in the growing domain of software for alpha discovery, algorithmic and automated trading. Established in 2005, Deltix today serves hedge funds, banks, brokers, Commodity Trading Advisers (CTA’s), and proprietary trading firms as clients.


Headquartered in Natick, MA, Deltix’s Product Suite provides end-to-end support for all phases of the alpha discovery and trading lifecycle, including data collection and aggregation, model development, back-testing, optimization, simulation, and deployment to production trading. The company ensures that their solutions not only meet the requirements of end users, but at the same time are flexible and extendable. With a product backbone that comprises TimeBase, QuantOffice and QuantServer software applications, Deltix supports equities, futures, options, and FX as well as synthetic instruments.

Developed by Deltix, the software for all applications has been optimized for run-time and functional performance. QuantOffice performs detailed analysis for quantitative researchers by expressing and back-testing their ideas through standard and user-defined events. The trading strategy can be based on market data, fundamental data, digitized news, crowd-sourced earnings estimates, Twitter, and other private and unstructured data. “The solution is intended for fast, intelligent decision-making and trading,” says Gorelik. “While it provides sub-millisecond latencies and high throughputs, it does this on standard commodity hardware, allowing it to reach a large audience of quant researchers, data scientists, and traders.”

I want people to recognize and remember Deltix by its motto— Aggregate- Analyze-Act

The approach undertaken by Deltix fits well with the PwC report on ‘Alternative Asset Management in 2020’. It highlights that the principal focus for many firms will shift to investing more time and resources into business strategy, operational design, and “data-informed decision-making.”

The benefit of QuantOffice that stands out among other solutions in the market is that it’s powered by TimeBase, Deltix’s event-based time-series data warehouse. Together they allow events to be processed in several million messages per second on standard Windows-based PCs as QuantOffice utilizes TimeBase’s integrated message bus for Complex Event Processing (CEP). The latest edition of QuantOffice and TimeBase software is optimized for cloud-based deployment and high performance computing; it operates on both Linux and Windows servers. During recent performance demonstrations, it showcased the data processing speed of one billion messages per second. The flexibility of Deltix software is an added advantage that allows end-users to extend QuantOffice on their own—thanks to an open and modular architecture and standard programming languages, the very foundation on which Deltix is built. Clients can further use various standard events—from OnDayOpen or OnDayClose to onBestBidAsk or OnOrderBookChanged—or create their own events through user-friendly tools. By virtue of the underlying data architecture provided by TimeBase, QuantOffice makes no distinction between real-time and historical events. As such, models developed using historical data can be deployed “as is” against real-time streaming data for live trading in QuantServer which converts trading signals into Financial Information Exchange (FIX) orders and executes them on a Direct Market Access (DMA) basis. The progress of the trading (status of orders, execution, P&L, performance, and risk) is monitored in Trading Console.

A One-Stop Shop for Algo Execution

Deltix is increasingly being deployed by sell-side firms to provide algorithmic execution and advanced analytical capabilities for their buy-side clients. Its award-winning technology provides Forex Market Makers with the ability to develop and customize their own dynamic price engines and implement risk, hedging, and smart order routing (SOR) algorithms on their own infrastructure based on their own quantitative intelligence without the dependency on software vendors.

In one instance, a Futures Broker/ FCM required a solution for its clients to trade using execution algos. When approached by the broker, Deltix came up with the objective of offering a range of execution algos (vanilla and exotic) implemented as a low latency market access solution which could be expanded globally from the local market. The solution also maintains a historical archive of tick data to allow for Transaction Cost Analysis (TCA) and algo research, providing the ability to apply unique value added services to clients and lower the total cost of application and infrastructure. After an initial proof of concept, Deltix enabled live production which was achieved within three months.

"We are working on dynamic algo execution allowing adaptation to situations on the fly"

While both buy-side and sell-side have different motivations, they both have a common thread in the need to monitor data flowing through their gateways in real time, perform complex analytics and to store this data for subsequent research and analysis. Deltix’s quantitative surveillance algorithms allows for both real-time surveillance with reporting of alerts and warnings as well as historical analysis of data for possible breaches of regulations. It also supports the modification of existing algos and their testing on the historical data set as well as the development and testing of new algos.

Mastering the Art and Achieving More

Winner of 9 awards since 2012, Deltix has also been recognized as the Best CEP Platform. Expressing that flexibility and access to a broad suite of tools is most beneficial for end-users when it comes to applying CEP to finance-specific tasks, Gorelik says “we see that in our market, clients are looking for solutions to problems rather than CEP in and of itself. It is the enabler of modern quantitative research and systematic trading.” CEP is critical to the solution, but the key is having the whole solution, including data management, market connectivity, math libraries and trading and risk, as well as CEP. Then the client can focus on solving the business problem rather than integrating disparate components from different vendors.

Having mastered the core offering, Deltix is now completing new solutions for high availability and failover. “We are working on projects to enable extremely fast communication between different servers, improving latencies and scalability. Additionally, we are focusing on dynamic algo execution allowing “in flight” adaptation to market conditions,” states Gorelik. He believes that in today’s market scenario, it is necessary to react to changes while it is happening, and not after. By providing both the infrastructure and software required for advanced analytics, alpha generation and execution of trading strategies, Deltix’s ready-made solution is, in fact, built for success in this industry for years to come.

- Syeda Tina Tabin
    February 14, 2017