MayStreet Adds High Performance Query API to Market Data Services

MayStreet, a market data technology and content provider, announced the launch of the High Performance Query (HPQ) API. The new API complements the web-based Analytics Workbench and the firm’s existing APIs as an additional access method for tapping into MayStreet’s Market Data Lake, a cloud-based repository of ultra-high-quality global, cross-asset exchange data. With the HPQ API, clients can instantly stream near real-time and historical full-depth data at distinct time intervals of their choosing, resulting in significant bandwidth and compute resource savings by not having to pull down an entire day’s worth of market data. In addition to raw tick data, the new API also offers pre-configured calculations for TWAP, VWAP or Completion Time (i.e., the time at which a hypothetical order should have been filled based on historical market data). The HPQ API supports a number of use cases -- including TCA, order routing analysis, volatility fitting, trade desk support and risk -- enabling clients to leverage high quality source of global market data for these workflows in an efficient manner. Future enhancements to the API will be introduced starting in Q1 2022.