Real Time Risk Analysis Using kdb+

A leading Tier 1 New York investment bank faced a significant business challenge – its existing systems could not monitor orders, integrate live market data, and provide flexible, real-time risk analysis. Real-time position visibility would allow traders to make informed decisions and capitalise on new opportunities rapidly. 

The bank realised it needed a solution that would transform its risk management capabilities –  a system that could streamline data aggregation, provide real-time insights, and empower traders to make better decisions on the fly. The aggregation also needed to be flexible enough to allow individual users to define their own aggregation levels and allow them to drill down to view the orders that form a specific position. The solution would also need to integrate seamlessly into the bank’s existing technology stack – namely the customer’s C# UI – and cater for 300 users with over 1000 unique aggregation views updated and interacted with in real-time. 

The bank engaged Version 1, and we provided a team of kdb+ experts to design and implement a custom solution. kdb+ is a high-performance database known for its speed and efficiency in handling time-series data, which makes it ideal for financial applications. We created a bespoke indexing and aggregation model tailored to the bank’s specific needs, allowing for efficient, real-time data handling and rapid position calculations published directly to the bank’s C# UI. 

The new kdb+ solution has revolutionised the bank’s risk analysis capabilities. Traders can now access a comprehensive, real-time dashboard displaying critical risk metrics. They can drill down to see individual orders influencing those metrics and adjust positions rapidly to manage risk and seize opportunities. The solution’s flexibility allows traders to customise visualisations, ensuring data is presented in a way that optimises their decision-making, and this enhanced visibility has significantly boosted the bank’s agility, allowing its traders to operate in flexible new ways. 

Outcomes

• Designed and implemented a custom kdb+ indexing and aggregation model for efficient, real-time risk calculations 
• Developed a multi-core architecture for stability, scalability, and high-performance 
• Created a user-friendly interface with drill-down capabilities at various aggregation levels for in-depth analysis 
• Built-in flexibility for end-users to configure bespoke risk visualisations that align with specific trading styles 
• Facilitated integration with the bank’s existing C# user interface and other risk management applications