Quantitative Investment Manager Man AHL to Open Source its MongoDB Powered Tick Store that Improved Processing Performance by 25x
Man AHL Gained 40x Cost Savings by Building its Financial Data Tick Store on MongoDB and Has Now Released the Code on GitHub
LONDON, UK – November 10, 2015 – MongoDB today announced that Man AHL, a leading quantitative investment firm, has released Arctic, its MongoDB-powered financial tick store, on GitHub as a freely available open source project.
By building Arctic on MongoDB, Man AHL realized a 40x cost saving when compared to the legacy time series data store. Processing performance improved by 25x. Man AHL is based in London, Hong Kong, Oxford and Pfäffikon, and has $17.9 billion in assets under management as of September 2015.
Gary Collier, Co-CTO of Man AHL, said: “MongoDB has provided tremendous value through the improvements it delivered to our Arctic tick store. It has enabled us to be more agile and it has delivered dramatic performance processing gains.”
A tick store is a specialized type of data tool for storing high frequency financial services market data. For instance, Arctic can be used to store time series data like the fluctuating cost of stocks as well as lower frequency data. Arctic is the primary market data store for the hedge fund manager’s quantitative researchers (“quants”).
Open Sourcing the Project on GitHub
The development team has now released Arctic as a freely downloadable open source project on GitHub, a popular code collaboration and management site.
“Making Arctic available as an open source project is just a natural extension of our company’s culture of freedom and collaboration. My hope is that we are planting a seed that will disrupt how financial data management tools are purchased, used and shared,” said Collier.
“What we’ve done with MongoDB has shown there may be a better and more powerful way to process modern financial data. Arctic’s technical performance has been truly outstanding and we’re excited to see what the community makes of our Tick Store,” added Collier.
Why Man AHL Selected MongoDB
Arctic, which has been under development by Man AHL since 2012, can now scale to hundreds of millions of rows per second for each MongoDB instance. It can also comfortably ingest 800 million financial messages a day – 50% more messages than there are tweets on Twitter a day.
MongoDB was originally selected because it fit so well with the development team’s preference for the open source Python programming language. However, early tests found the non-relational database to be a significant improvement in terms of development speed and orders of magnitude more performant than the incumbent technology.
Arctic was then put into production and MongoDB replaced a number of disparate technologies in the tick store’s data stack. With MongoDB, Arctic saw radical improvements that enabled quants to fit models 25x as fast as they could previously. The new tick store also cut disk storage down to 40% of the previous solution.
MongoDB is also used in other parts of Man AHL’s business, including as a replacement database for its Low Frequency Data, where MongoDB was 100x faster in retrieving data.
“The processing speed that Man AHL has achieved with MongoDB is truly staggering. A 25x improvement on a system that wasn’t slow to begin with? That’s incredible, and it’s the sort of thing that changes how industries operate,” said Joe Morrissey, VP of EMEA, MongoDB.
“We always support customers looking to give back to the open source community. It’s fantastic to see Man AHL take a leading role in adoption of, as well as contribution to, open source in the financial services.”
Man AHL is already seeing keen interest from the community in Arctic on GitHub. The team also believe that the tick store has use cases far beyond the financial services. For example it could also be deployed for a range of write-intensive workloads such as internet of things applications and social media feeds. One company has created its own fork of the code and using the tick store for sentiment analysis.
– Ends –
- Arctic can be downloaded from GitHub here: https://github.com/manahl/arctic
- Man AHL has launched the Man AHL Coder Prize, a coding competition. For more information on how to register, visit the competition website: www.ahl.com/coderprize
- Follow Man AHL on @ManAHLTech
- Read more on how Man AHL uses MongoDB
- Join MongoDB on LinkedIn and follow @MongoDB on Twitter
About MongoDB By offering the best of traditional databases as well as the flexibility, scale and performance today’s applications require, we let innovators deploy apps as big as they can possibly dream. From startups to enterprises, for the modern and the mission-critical, MongoDB is the database for giant ideas. For more information, visit www.mongodb.com.
About Man AHL Man AHL is a diversified quantitative investment manager dedicated to delivering a broad and innovative offering in alternative and long only strategies, with funds under management of $17.9 billion (as at 30 September 2015).
A pioneer in the application of systematic trading since 1987, Man AHL manages assets for institutional and private clients globally and has a range of momentum and non‑momentum strategies.
Backed by extensive research capabilities and a collaborative culture, Man AHL applies innovative quantitative methods, informed by market understanding, to locate potential opportunities in more than 400 markets worldwide. It benefits from a unique collaboration with the University of Oxford, the Oxford Man Institute.
Man AHL has over 100 investment professionals, based in London, Oxford, Hong Kong and Pfäffikon. Further information can be found at www.ahl.com.