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CorvilNet SDK

Financial Applications Decoder and Analysis Software Package

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Features

Trade Performance Database

Provides a complete historical record of trades and market data with nanosecond timestamps for use in trade compliance reporting, trade performance evaluation (e.g. implementation shortfall), fill rates calculation, and backtesting algorithms

CorvilNet is architected to capture all trade orders and market data with nanosecond timestamps. All messages and their contents are decoded and stored in the database for up to 1 year. This provides a wealth of historical trading data that can be leveraged for a number of applications. For example, the implementation shortfall of executed trades can be calculated based on the full record of all trades and their associated executions with the decoded symbol, quantity and price, combined with the market data record. On-demand CSV reports containing the decoded message contents can be generated for specific time periods, trading sessions, and orders for use with external analysis tools. Similarly, fill rates for a specific algorithm or trading session can be determined. The market data store can be exported as raw packet captures with nanosecond timestamps enabling replay tools to precisely replicate market conditions for backtesting algorithms.

Related Features

Benefits

  • Flexible trading strategy performance reporting for specific trading sessions or algorithms
  • Accurate backtesting of algorithms using historical market data with nanosecond timestamps
  • Trace compliance reporting based on a complete historical record of all trading activity
  • Free up trading servers from the burden of logging all activity

Key Features

  • Real-Time Message Decoding - Full decoding of all message contents for most trading and market data protocols
  • Historical Database - Multi-Gbps packet capture of all trade order and market data messages with nanosecond timestamps
  • Fill-Rate Analysis - Tracks the state of every order and all corresponding fills to report the fill rate. This is also available in a CSV report
  • Trade Order Reporting – XML and CSV reports containing the decoded message contents for selected time periods, trading sessions, trade orders and market data feeds including filtering on specific order IDs, symbols, price, etc
  • From Nanoseconds to One Year – Delivers both long term and short timescale reporting covering time ranges from one year down to nanosecond resolution