MayStreet, the industry’s leading market data technology and content provider, today announced the launch of the High Performance Query (HPQ) API. The new API complements the web-based Analytics Workbench and the firm’s existing APIs as an additional access method for tapping into MayStreet’s Market Data Lake, a cloud-based repository of ultra-high-quality global, cross-asset exchange data.
With the HPQ API, clients can stream near real-time and historical full-depth data at distinct time intervals of their choosing, resulting in significant bandwidth and compute resource savings by not having to pull down an entire day’s worth of market data. In addition to raw tick data, the new API also offers pre-configured calculations for TWAP, VWAP or Completion Time (i.e., the time at which a hypothetical order should have been filled based on historical market data). The HPQ API supports a number of use cases — including TCA, order routing analysis, volatility fitting, trade desk support and risk — enabling clients to leverage the industry’s highest-quality source of global market data for these workflows in an incredibly efficient manner. Future enhancements to the API will be introduced starting in Q1 2022.
Commenting on the launch, Naftali Cohen, MayStreet’s Chief Revenue Officer, said: “With this new API, we’re filling a large gap in how firms access order book data by providing access to ultra-high-quality, near real-time and historical full-depth-of-book data at any moment in time. By offering the complete order book as a service, users no longer have to download data, parse it, rebuild the book, store it in memory and then provide API access to their internal users. Beyond the obvious quality and convenience benefits this provides, it also offers significant TCO savings around the processes that today’s most advanced market participants use to derive the analytics that power their businesses.”
The launch of the HPQ API is the latest enhancement to the award-winning Market Data Lake, which offers data in a wide variety of formats (raw pcap, normalized, CSV, filtered or summarized) and delivery mechanisms (SFTP on premises, cloud or hybrid cloud). Last month, MayStreet added the full depth-of-book feeds for all U.S. equity options markets, and in May, the firm announced the completion of its global buildout of the platform with the addition of 19 new Asia-Pacific markets.
MayStreet’s cloud-native products deliver the highest-quality, most complete global market data available. The firm’s solutions – which include the Market Data Lake feed repository and Bellport Feed Handler – help market participants generate maximum value from exchange data by flexibly delivering it where, when and how they want to receive it, either on-premises or as a managed service. Combining ultra-low latency software with consolidated, top-of-book and full-depth-of-book data across asset classes, MayStreet enables clients to gain deeper insights that drive investing, trading, execution analytics and compliance. Visit maystreet.com for more information.