Chicago-based data and investment research provider Morningstar has partnered with RoZetta Technology to revamp its tick data delivery architecture into a cloud-based solution.
“We made the decision to use [RoZetta] because of the experience they had [as an AWS Advanced Consulting Partner and as builder and operator of Thomson Reuters TicK History]… and because they have a deep understanding of exchange data globally,” says Matt Spedden, Global Head of Equities and Market Data Solutions at Morningstar.
The new version of Morningstar’s Tick Data Solution, on the SaaS platform built by RoZetta, goes live at the end of July and will make it quicker and easier for clients to access tick data from Morningstar.
“Over the past couple of years, tick data has risen on firms’ priority lists,” says Spedden. He adds that the service should appeal to financial professionals performing best execution, transaction cost analysis, and regulatory compliance: “Tick data is one of the ingredients that customers need in order to fulfil those tasks.”
RoZetta’s SaaS platform makes managing, mining and visualising massive amounts of data possible
The data can also be used for market surveillance and monitoring by firms’ compliance departments and regulators, in the front office for back-testing trading strategies, for market and liquidity analysis, and by software providers to populate analytics and research applications, and to back-fill other datasets.
Morningstar’s existing Tick Data service stems from its acquisition of London-based ticker plant and datafeeds vendor Tenfore Systems in 2003. Since then, Morningstar has collected and stored — and in most cases, commercialised — around 2.5 petabytes of tick-level market data, which is growing exponentially year-on-year, covering 200 stock trading venues, or roughly 99% of global equities coverage.
The dataset includes historical tick data back to 2003, with 10 years of US composite data, exchange messages and outage information, and the ability to filter by symbol or exchange, and to view market-by-order or market-by-price. Data points include trade date and time, exchange time, volume, trade price, last bid and last offer.
RoZetta helps clients meet their challenges
“Our challenge was to get [the data] into the hands of clients — and the way that the data was traditionally stored made that challenging,” Spedden says, citing Morninstar’s legacy storage and extraction environment, which used older technologies and typically delivered data via flat file or physical media, such as hard drives, for large volumes of data.
Specifically, the legacy technologies extracted data from an on-site storage area network using a single-threaded process. Then, the data could be copied to hard drives and shipped via courier service.
“This single-threaded extraction meant data could only be extracted chronologically, and while we could create multiple single threads, this was a manual process, adding time and complexity to the extraction process,” Spedden says. “The data and new technology is all cloud-hosted, which means we can automatically scale the number of server instances – and therefore the number of threads – based on utilisation. This means we can dramatically increase the speed of extracting the data, putting the data into the hands of our clients quicker.”
“If a customer came to us and wanted all the US composite data for days, or even a year, historically it would have taken eight weeks to do that sort of extraction in the old environment. In the new environment, that’s reduced to a couple of hours,” he says. “We believe that turning around the data so quickly is a bit of an advantage.”
Clients will be able to access the data by visiting a password-protected Morningstar website that provides access to a variety of mechanisms by which they can obtain the data, including a front-end and an API — though clients can also still request hard drives if they want.