ETHEL Microservices (EMS)

Microservices

Bucketing Engine

The Time Engine allows for unspecified data sets to be aggregated in real time.

The Time Engine supports the following parameters, to allow for the aggregation of data over an unspecified time.

• Duration in milliseconds
• Start of Day e.g. 22:00:00.000
• End of Day e.g. 21:59:59.999 (Should we allow end of day to be specified or is it always start of day - 1?)

If Start of Days is not midnight then, based on the transaction date, a bucket date will be determined.

For example: -

If the transaction time is 2018-08-09 09:00:00 and start of day is 22:00:00, then the bucket date for this transaction is 2018-08-08. Is this correct?

Quantity Engine

The VIM Engine allows for unspecified data sets to be aggregated in real time by volume.

The VIM Engine supports the following parameters, to allow for the aggregation of data over volume.

• Duration in milliseconds
• Start of Day e.g. 22:00:00.000
• End of Day e.g. 21:59:59.999 (Should we allow end of day to be specified or is it always start of day - 1?)

If Start of Days is not midnight then, based on the transaction date, a bucket date will be determined.

For example: -

If the transaction time is 2018-08-09 09:00:00 and start of day is 22:00:00, then the bucket date for this transaction is 2018-08-08. Is this correct?

Mid Rate and Benchmark Calculator

Streaming mid rate and benchmark rate calculator for Spots and Outright Forwards

Parsing Engine

• CSV to FIX
• CSV to JSON
• ICE to CSV
• ICE to JSON
• FIX to CSV
• FIX to JSON

Price Direction Engine

• Spots
• Forward Price
• Outright Forwards

Forward Outright Rate Calculation Engine

Calculate Outright Forward rates by matching Forward Prices to Spot rate timestamp

Forward Basis Point Calculation Engine

Calculate Forward Basis Points

FX Graph Engine

The FX Graph Engine enables clients to specify their own graph models and computational algorithms for instantaneous analysis and monitoring of time series market data including:

1. spot rates (bid,ask,mid,spread)
2. forward rates (bid,ask,mid,spread, pipsBid, pipsAsk, pipsMid, pipsSpread)
3. forward pips (bpipsBid, pipsAsk, pipsMid, pipsSpread)
4. implied interest rates (previous, current, absoluteChange)
5. market velocity (activity, sumAbsoluteChange)
6. market volatility (previousDay, open, high, low, close)

FX Graph Engine graph models are developed using the robust and well-proven Cross Industry Process for Data Mining (CRISP-DM) methodology.