Made to morph

Xenomorph is a provider of cross-asset data management technology to approximately 30 sell- and buy-side institutions. It is privately held, was established in 1995, and has offices in London and New York. The firm's software is typically used by traders, fund managers, quantitative analysts, risk managers, IT and back-office staff.

Xenomorph describes its 'mission' as to close the gaps between high-performance database technology, data management, and end-user data analysis. The firm is candid about its aim: to change the market for data management applications by supporting any asset class – it currently supports in the region of 130 asset types – and allowing users to embrace the analytical and pricing side of data management. The firm has a number of alliances/collaborations with data vendors such as Bloomberg and Reuters and derivatives pricing vendors such as Markit, Numerix, FinCAD (Financial CAD Corporation) and SunGard Monis.

Xenomorph's chief executive is Brian Sentance who previously headed the pricing models development team in the equity derivatives group at JPMorgan in London. Chris Budgen, the firm's chief technology architect, founded Xenomorph after working at Bankers Trust in a front-office development role and at Daiwa Europe, where he developed bond trading and risk management systems. Matthew Skinner, director, joined Xenomorph from ING Barings, where he worked in quantitative research before trading derivatives for ING Barings in Hong Kong. All three met while studying at Imperial College, London.

TimeScape is Xenomorph's enterprise data and analytics management application. It is designed to capture, clean, and analyse reference, real-time, historical and derived data across all asset classes. TimeScape's ability to support simple and complex instrument types has driven its usage as a securities master data management system for institutions looking to improve their derivatives capability. This demand for derivatives support is being driven by buy-side firms' interest in hedge fund products and the extension of the UCITS III directive to embrace vanilla and OTC derivatives, in addition to topical investment management strategies such as liability driven strategies typically employed by pension funds.

TimeScape is also used for market data management, particularly when buy-side firms want to capture data from multiple sources. The movement of the buy side into algorithmic trading is also driving increased analysis and storage of tick data and other market data types. Mifid is likely to further fragment data sources and require buy-side participants to receive and store increased data volumes for the purposes of best execution.

Designed to make data accessible to technologists and business users such as risk analysts and managers, TimeScape presents database data to users in the form of financial instrument objects as opposed to complex database table structures. Multiple instrument types can be supported, as can multiple sources of data of all types, ranging from reference data, instrument static data, end-of-day data, tick data, complex data such as spread curves and volatility matrices, plus derived data for derivatives. Intra-day trading data can be stored in large volumes – TimeScape's primary database engine is capable of storing multiple terabytes of tick data – and data can be retrieved at high speeds. Data rules ensure that missing or poor quality data can be managed in real-time to deliver time-saving filling and interpolation of data points. Data validation tools ensure data quality management can be automated, freeing up business staff from data validation.

Xenomorph lists a key differentiator for TimeScape in terms of the way it can be integrated with clients' proprietary analytics and pricing models, due to its flexible data model. According to the vendor, it is customisable to each bank/fund/department's requirements, no matter how complex the instrument type.

Licensing is ordinarily done on an annual rental basis, which includes support, maintenance and upgrades. Licensing fees are determined by the number of servers, users and data management components needed. Licensing for a large asset manager would typically be in the $200,000 to $500,000 range, with global deals coming in at the $1 million+ level.

• Euro-VL – Société Générale Security Services

• ABN Amro

• Henderson Global Investors

• Insight Investment

• Dresdner Kleinwort

• ING

• Rabobank

Xenomorph also has a number of hedge funds on its client list, most of whom are UK based, although Brian Sentance confirmed that the vendor had recently signed its first Manhattan-based fund.

• Asset Control

• (Solutions built by in-house development teams)

• KX Systems

• VhaYu

• Streambase

TimeScape's original architecture grew from high-performance time-series analysis for derivatives and trading desks at Bankers Trust in the mid-90s (by virtue of Chris Budgen's stint at Bankers Trust). The product has since evolved into a data management platform encompassing capture, storage, cleaning and analysis of all data types from pricing data to volatility surfaces and from low- to high-volume tick data support.

The platform's architecture is based around a flexible data model for financial instruments capable of supporting any asset class. TimeScape, the firm's underlying database engine, is an object-orientated database designed for high-performance support of this data model. HoweverTimeScape is not tied to this proprietary engine (it is possible to integrate it with SQL Server and Oracle).

• Excel

• VB

• COM

• C/C++

• SOAP

•.NET.

Xenomorph also provides server-side software development kits (SDKs) for client customisation and integration of client data feeds, proprietary pricing models, and analytical techniques. TimeScape's main GUI application is a Windows application called TimeScape Workbench containing data capture, administration, viewing, cleansing and analysis tools. It features a query language capability for querying across instrument types and data types, including derived data and 'spreadsheet inside a database' technology. >