Data Analytics

Request historic market trades within Joule

Analytics tools integrated within Joule

View historic bid/ask order data

Latest API technology

DATA ANALYTICS

Utilise Joule Direct’s new sophisticated analytics tools and features.

Trayport® Data Analytics is a new product built to support our trading clients. Unlock data with a suite of sophisticated tools and features purpose-built for the energy markets. Utilise insights and analysis to spot trends, risks and opportunities to enhance your trading decisions. Develop powerful models and algorithms using the new Analytics API.

UNLOCK DATA – ENHANCE YOUR TRADING DECISIONS

Core Analytics

With Trayport Data Analytics, data from all venues connected to your Joule Direct company is normalised and stored securely along with your own trade and order information. This data is accessible via Joule Analytics, the Analytics API and the Market Abuse Regulation (MAR) file.

Joule Analytics

Access a suite of analytics tools seamlessly integrated within Joule to help traders and analysts validate market opportunities and strategies.

With Joule Analytics you gain access to the following features from the Joule screen:

Reconstructed Order Book

Select and view a contract to explore historic bid/ask order data over time, view bid/ask spread or include further price levels from the order book. Market activity can be charted over a specific time range or view a snapshot of the order book at any given point in time.

Live Volume Weighted Average Price (VWAP)

View and track the volume weighted average price for a contract or commingled contract alongside traded volumes throughout the day.

Advanced trade queries

Traders can request historic market trades within Joule, filter based on a specific market or product and quickly export to Excel or clipboard.

DEVELOP POWERFUL MODELS AND ALGORITHMS

Analytics API

A quick and powerful tool for integrating historic data queries from Data Analytics into your own models, algorithms and strategies. Specifically designed to be platform and language agnostic – this REST based API can be implemented within python (and a number of other programming languages) with just a few lines of code reducing time and cost when compared to implementing a bespoke data warehouse solution.

The Analytics API will provide the following functionality with further enhancements planned in the future:

Available initially

  • Querying OHLCV for custom time and interval
    ranges of individual or commingled contracts
  • Querying best bid/ask prices for custom time
    and interval ranges
  • Query market trade data for custom time range

Future developments

  • Query for order book events over custom time
    range
  • Query full order book for custom time and
    interval ranges

USE CASE: ALGO AND STRATEGIC DEVELOPMENT

Data Analytics allows you to programmatically access data at different levels of complexity providing an effective mechanism for developing models and trading algorithms.

1. Simple Modelling

Use Joule Analytics advanced trades query to retrieve trades from a specified time range. Look back beyond the default window provided by Joule. Export as a CSV file and use to build models in excel or other applications. From this point begin to develop a simple model or test a hypothesis for a trading strategy.

2. Model/Algo PoC

Use the Analytics API (with easy support for common data-friendly programming languages such as Python) to take your model or algo to the next step. Easily query for aggregated data (OHLCV) for trades and best bid/ask for orders over custom time intervals.

3. Backtesting

Once you have written an implementation of the Algo, use Data Analytics to source trade and order event data and evaluate the model efficiency.

NEXT STEPS

If you would like to find out more about Data Analytics, please submit our contact form or email clientmanagerstraders@trayport.com or call us on +44 (0) 20 7960 5511.

Enquiry Form

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