kACE Vol Aggregator

kACE Vol Aggregator

kACE Vol Aggregator - High quality data sourcing, aggregation and publishing

The kACE Vol Aggregator provides a robust, customisable data feed for FXO and metals options that can be used throughout an organisation.

Accurate modelling and valuations are only possible if the underlying information is of the highest quality and reliability. Our solution has four parts:

  • Data sourcing: Real time data is collected from a wide range of sources and data platforms
  • Aggregation: Quality is guaranteed through our aggregation modules and advanced data cleansing algorithims
  • Publishing: Our data publishing module provides distribution of volatilities to a wide variety of destinations, managing multiple price tiers and spreads, and including full validation of outgoing data

Please see below for more details:

Data sourcing

Our comprehensive approach to data sourcing involves:

  • Drawing data from a variety of sources based on client preference (over Thomson Reuters Enterprise Platform (TREP)/Reuters Market Data System (RMDS), the Bloomberg Market Data Feed (B-PIPE) as well as from ICE Data Services and via WebSphere MQ)
  • Data quality checks on source data removing outliers
  • List of sources, configurable by time, with weightings
  • Integration with kACE Gateway for receiving data
  • Backpressure handled through robust conflation solution


Aggregation

Our aggregation solution utilises advanced tech to guarantee the quality of the data:

  • Aggregation uses one of various sophisticated algorithms
  • Data quality checks undertaken on aggregated data
  • Automated spreading, with ability to vary per tenor and time of day


Publishing

Our comprehensive approach to distribution includes:

  • Publishing via TREP/RMDS and/or B-PIPE
  • Data validation generating alerts and/or preventing publishing
  • Configured integration to the kACE Pro Options and kACE TS products
  • Full audit trail


kACE Vol Aggregator: Key benefits

Consistency, transparency and reliability are among the key benefits of our approach:

  • Consistent real time golden source available across trading, e-Commerce, risk and middle office departments
  • Full control and transparency over sources contributing to the golden source
  • Robust solution addressing operational risks such as data outages and worsening quality of feeds
  • Enables out of trading hours automated production of quality, validated data based on traders’ logic