Sayula Limited

Market Data Vendor Connectivity

Multi-Vendor Real-Time Market Data Connectivity

Multi-vendor real-time data retrieving and data contributing functions are a standard feature in every Anima-enabled Excel or in any internet browser accessing Anima's live spreadsheet models. Anima's generic real-time data retrieving function, A5Rt, is a high-performance non-volatile Excel function that will trigger value updates only on either actual market data changes or manual spreadsheet recalculation.

Similarly, A5Contribute, Anima's multi-vendor data contributing function provides for the real-time or clocked (maximum frequency) contribution of data either privately for a single user, internally within your team, or externally to market sources. Figure 1 illustrates the use of the real-time functions in Excel.

Figure 1. Anima's real-time market data functions in Excel.

Structured Market Data Elements

In contrast to A5Rt() which simply operates on the names of standard source, record, and field names, Anima also includes a set of real-time data retrieving functions based on higher level constructs collectively known as Anima's Structured Market Data Elements. A further description of these elements follows.

Anima Rates. Anima rates are individual rates with both multi-vendor and multi-market built-in capabilities. Each individual rate definition can contain a prioritized list of available input sources. I.e. a list of multi-vendor and multi-market available alternatives. Multi-vendor alternatives are simply controlled by the list of available vendors (e.g. Reuters and/or Bloomberg), and multi-market alternatives are controlled by a defined list of the rate's available sources (e.g., the Reuters page name, the broker's name, etc.)

Calculated Rates. A higher-level solution requires the definition of an Anima's Calculated Rate. This is simply a list of individual Anima rates and the name of a calculating function to be applied on all the rates every time any one of the inputs change. The result of the calculating function is then published as a real-time calculated rate. Examples of built-in calculating operations on rates are linear average; weighted average; max; min; continuous-compounding conversion; quarterly, semi-annual, or bond-equivalent conversion, etc. In case a proprietary version of a rate calculating function is required, this can be simply added as any normal Anima-managed function and the function's name specified as the rate's calculator in the Anima's definition of the calculated rate.

Rate Arrays. Going up in the abstraction hierarchy level, rate array definitions of any length can be defined as Anima data elements. Array elements can themselves be either simple or calculated Anima rates. Rate arrays are published as a unit every time any one of its constituent rates is updated.

Yield Curves. Anima swap curve definitions include in each one of the curve's defined nodes, a default market rate definition to be used when retrieving the node's current market rate. Thus, in a similar way to rate arrays, yield curve-based rate arrays use the swap curve definition to obtain the array's constituent rates in real time and publish the curve's current rates as a unit.

Real-Time Publishing Contexts

Often yield curves, volatility smiles and other complex enterprise-proprietary analytics should be made available in real time to a large number of mission-critical spreadsheets and client applications. Because of their heavy usage of valuable computation and networking resources, and the importance of consistent numbers for every user, ideally they should be implemented as single execution instances, with their results published on the enterprise's real-time data distribution bus.

Through Anima, any analytic function can be interactively made to execute within a server's "private" environment (a context) that can take real-time data inputs directly from their multi-vendor sources, plus other input parameters settable via Excel functions. At any time, only a single instance of a context will be running. The context computation results are continuously published as a real-time stream into multiple data distribution platforms like Triarch or Tibco/Rv for the consumption of client spreadsheets and applications.

Figure 2. Publishing real-time data from Excel.

Context Input

Context Input can be any one of the following:

Real-time market data individual fields.

Real-time market data full records.

The output of another context either as a field or as a record.

Data interactively input either from Excel or from a web browser's Flash client.

Figure 2 shows an example where some context input arguments are being set from an Excel spreadsheet.

Context Output

Depending on the context configuration, the output of the context is converted to the publishing platform's native format. So for example, when publishing on Reuters Triarch the output is sent as a RIC, and on Tibco Rv as an Rv record. If so configured, a context can read a pre-defined layout with platform-neutral field identifiers to be used when formatting the context's output record. Platform-neutral field identifiers are converted to native platform field numbers or names via pre-defined field dictionaries.

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