Hanweck Associates Adds European, Asian Markets to Analytics Feed, Historical Database

At the end of May, the vendor will make historical tick data from Deutsche Börse's Eurex derivatives market available in its hosted database product, covering equity options as well as index options such as the DAX and Euro Stoxx 50. This will be the first European historical dataset to be added to the database, though Hanweck has calculated real-time Greeks and implied volatiles for Eurex data on Volerafeed since 2010.

"This is the first pool of data from Eurex and Deutsche Börse in the database. The data comes directly from Eurex, so we have whatever data they have collected going back several years," says chief executive Gerald Hanweck.

The data was added in direct response to client demand for historical tick data on European options as US markets become "harder to trade," Hanweck says, and will be used to support clients' back-testing, risk management and historical charting needs.

Meanwhile, the vendor is also building out the global coverage of Volerafeed, which consumes prices from exchanges and the Options Pricing Reporting Authority's consolidated feed of US options quote and trade data, and calculates a real-time feed of implied volatilities and Greeks, which Hanweck distributes to customers and third-party vendors.

Having recently completed its US coverage with the addition of US futures from CME Group (which incorporates the Chicago Mercantile Exchange, Chicago Board of Trade, Nymex and Comex) and IntercontinentalExchange, the vendor is now calculating real-time values for Hong Kong Exchanges and Clearing (HKEx) and the Australian Securities Exchange, to meet demand from trading clients looking for other opportunities outside the US markets, Hanweck says.

Typically, Hanweck Associates sources the market data for its calculations. However, to offset the latency issues of bringing data from Asia to the US, the vendor is leveraging client data to calculate its HKEx analytics, which will primarily cover equity options and equity constituents of the Hong Kong Hang Seng index.

"Users who have datafeeds either from the exchange or from third-party data vendors can connect our system to their datafeeds, which avoids the problem of bringing in data from Asian exchanges. A lot of customers already had the data, so by plugging their data into our system, it was more cost effective, and reduced latency and other issues," Hanweck adds.

The analytics will be used by US firms for risk management purposes-for example, as a secondary source of data for checking their own calculations-or by customers who don't believe performing these calculations in-house delivers any competitive edge, and want to outsource the process.