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Delta Backtest is one of a number of modular products built by First Derivatives to harness the power of kdb+. In conjunction with Delta Replay, Delta Backtest enables rapid, simplified strategy validation within a single coherent framework that dramatically cuts time to market for algorithmic trading strategies. Delta Backtest offers a straightforward programmatic interface, rich visual reporting and huge scalability to deliver results - fast.



Key Features
  • Data can be loaded from disparate sources in either realtime or on a controlled batch run basis.
  • Data storage optimised for high volume, high frequency and unevenly spaced tick data.
  • In-memory storage delivers unrivalled performance.
  • Easy to use SQL variant specifically designed to facilitate complex statistical analysis of time series data, in real-time.
  • Open interfaces allow external interfaces with analytics written in (for example) C++ or MATLAB to be used.
  • Excel interface and easily configurable rich GUI’s to visualise data and results
  • Capture, cleanse and enrich data from multiple sources.
  • Provide derived and aggregated data during the capture and distribution process.
  • Slow down or speed up data delivery speed to facilitate strategy testing.
  • Exchange simulation functionality maintains a virtual order queue to determine likelihood of fills and better represent real world behaviour
  • Exchange simulator logic can be extended and modified for different venues with different priority rules
  • Comprehensive results via Results Analysis Module (RAM)
  • Archive results for future analysis

Key Benefits

  • Proven technology meets the most demanding back-testing requirements from both a functional and technical perspective
  • Reliable, long-term storage of high volumes of data
  • Copes with large numbers of concurrent complex queries while simultaneously capturing hundreds of thousands of ticks per second
  • Open, scalable and adaptable – data integration and interoperability are easy in practice, with numerous data source feedhandlers available
  • Scalability is constrained only by the hardware
  • Available – accommodates various high-availability configurations
  • Platform and hardware agnostic – not tied to one operating system or storage solution
  • Virtually unlimited scalability and programming productivity lowers total cost of ownership
First Derivatives provides a POC for quality prospects. Our approach goes beyond the conference room staged demonstrations with the following aspects covered:
  • Market Connectivity/ Feedhandlers
  • Data Loading
  • Application Integration
  • Integration of external code Incorporate external DLLs and libraries
  • Real-P/L and Risk Management
  • Full suite of reporting goods

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For further information on this and the Delta range of products please contact deltaproducts@firstderivatives.com


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