"Technical trading is all about searching for patterns and trends," says Brandon Davies, head of Financial Information Technology at Barclays Bank Global Treasury Division in London. Davies heads an elite group of mathematical analysts, programmers, and product developers known as the Financial Engineering group. His team provides Barclays' dealers with trading support programs to analyze where the market has been and predict where it is going.
Barclays watches more than 50 foreign-exchange rates change in real time up to 18,000 times a day. Barclays uses PV-Wave to handle this expanse of data.
One custom PV-Wave application allows the bank's foreign-exchange traders to compare international currency performance usi
ng multilayered color graphs. Barclays traders use the application to request data about various currencies, specifying the time period they wish to examine, from the last 30 minutes to the last 30 years.
The exchange data comes over the wire and into a relational database on a Unix server. Subsets of this data can be selected, analyzed by PV-Wave on a variety of high-end Unix workstations, and then displayed as color contour plots, or "heat maps," as Davies calls them, which show performance at designated intervals (
see the photo
).
Color, shading, and intensity denote areas of high and low interest, Davies continues. A new rate, for example, will appear in a brighter hue than an older one, so a trader can discern at a glance the timeliness of the information. Other financial-modeling algorithms (e.g., relative strength analysis and moving and weighted averages) can be superimposed on these graphs in another set of colors. Thus, a change from blue to light blue to white might
represent the decline of a foreign-currency rate.
"Color is one of the most vital elements in the data-interpretation process," Davies says. "It allows the human brain to keep up with the computer processing speed. Most of the time, the traders will be uninterested in 90 percent of the information, but until they start digging, they don't know which 90 percent."
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PV-Wave can display financial data as a contour map, exposing patterns difficult to visualize otherwise.
Financial Engineering
