AHL, a part of Man Group plc, is a quantitative investment manager based in London and Hong Kong, with over $11.3 billion in assets under management. The company relies on technology like MongoDB to be more agile and therefore gain an edge in the systematic trading space. With MongoDB, AHL can better support its quantitative researchers – or “quants” – to research, construct and deploy new trading models in order to understand how markets behave.
Importantly, AHL didn't embrace MongoDB piecemeal. Once AHL determined that MongoDB could significantly improve its operations, the financial services firm embraced MongoDB across the firm for an array of applications. AHL replaced a range of traditional technologies like relational databases with a single platform built on MongoDB for every type and frequency of financial market data, and for every level of data SLA, including:
Low Frequency Data – MongoDB was 100x faster in retrieving data and also delivered consistent retrieval times. Not only is this more efficient for cluster computation, but it also leads to a more fluid experience for quants, with data ready for them to easily interact with, run analytics on and plot. MongoDB also delivered cost savings by replacing a proprietary parallel file system with commodity SSDs.
Multi-user, Versioned, Interactive Graph-based Computation – This includes 1 terabyte of data representing 10,000 stocks and 20 years of time-series data, so as to help quants come up with trading signals for stock equities. While not a huge quantity of data, MongoDB reduced time to recompute trading models from hours to minutes, accelerated quants’ ability for interactive research, and enabled read/write performance of 600MB of data in less than 1 second.
Tick Data – Used to capture all market activity, such as price changes for a security, up to 150,000 per second and including 30 terabytes of historic data. MongoDB quickly scaled to 250 million ticks per second, a 25X improvement in tick throughput (with just two commodity machines!) that enabled quants to fit models 25X as fast. AHL also cut disk storage down to a mere 40% of their previous solution, and realized a 40X cost savings.
According to Gary Collier, AHL’s Technology Manager: “Happy developers. Happy accountants.”