Data Integration

The OpenGamma Platform comes with extensive support for the market data management necessary for modern quantitative finance.

Market Data

Market Data Transformation/Normalization/Aggregation

The OpenGamma Platform allows you to bring together multiple live data sources and present them to applications and the rest of the Platform in one consistent way. Our powerful identifier management lets you handle differences between market data providers and source data from one provider using the symbology of another, allowing you to make cost/quality decisions independently of the cost to upgrade existing systems locked into a particular symbology.

Historical Time Series Management

Consolidate your historical time series (from data providers or internally generated marks) into one consistent data management system. Supporting any number of data fields or observation times per market observable, our Historical Time Series system provides all the power you need for complex batch analysis.

Intraday Snapshot Management

Store named streams of market data snapshots and use them in any computation context:

  • Hand-calibrate curves, surfaces and cubes and publish to all users at the same time, with full history support.
  • Snap market data conditions for later forensic analysis.
  • Store complex scenarios and perturbations as individual snapshots in a sequence.
Integration with Major Data Providers
  • Bloomberg Open API Integration
    • Use the OpenGamma Platform out-of-the-box with a Bloomberg SAPI or Terminal.
    • Full integration of market, reference and historical data against the Bloomberg Open API.

The following market data integration modules are available under a commercial license:

  • ACTIV Financial Integration
    • Integrate ACTIV's low-latency, high-performance feeds directly into OpenGamma for near-real-time pricing and risk.
    • Support for real-time, historical, and reference data across the universe of ACTIV-supported exchange-traded instruments.
  • Integration with internal aggregated market data

Trade Data

Trade Data Management and Warehousing forms a comprehensive and consistent system to manage trading-related data to end-users. It incorporates full database support for all the data necessary for risk management and analytics.

Comprehensive Tools for Security/Trade/Position/Portfolio Management
  • All the tools necessary to consolidate, manage, and distribute security, position, portfolio and trade data.
  • Use as a risk management trade repository, storing and maintaining all trade and security reference data in our database schemas, or as an application framework for compositing different existing data sources into your applications.
  • Designed to work with and complement your existing order/portfolio management solution, giving you the tools you need to understand, rather than just process, your trading information.
  • Unlike operational trade processing systems, our trade data management is optimized for the performance requirements of a risk system.
Composition of Multiple Existing Data Sources

Our unique approach to trade and reference data means that you can work with all the databases you already have, rather than migrating to our data storage solutions, and get the benefits of the OpenGamma calculation engine and distributed data management.