Building at scale: OPRA, HFT, and infrastructure insights from Quant Night London
Earlier this month, we co-hosted Quant Night in London alongside Man Group, Thalesians, and ArcticDB, bringing together quants, technologists, and data researchers for an evening of technical talks and informal exchange. Held at Man Group’s HQ in London, the event featured lightning presentations, an HFT panel, and networking focused on the challenges and opportunities of building in quantitative finance today.
We’re grateful to everyone who joined and helped shape the discussion. Below are some highlights and takeaways from the evening.
Renan Gemignani, Director of Engineering at Databento, opened the evening with a deep dive into how we handle real-time OPRA options data at scale. With over 200 billion quote updates per day and 96 inbound channels, OPRA presents one of the most demanding datasets in the industry. Key takeaways included:
- Channel sharding and buffer-level load balancing were critical to achieving lossless capture.
- Serving gapless live data meant normalizing at the wire rate — avoiding deduplication where possible and using regional quote filtering to reduce I/O volume by over 50%.
- To maintain low-latency delivery, we process NBBO-only streams with out-of-band subsampled schemas, such as OHLCV, computed separately from the main path.
Christina Qi moderated a fast-paced panel with Luca Lin and Saeed Amen, exploring the practical challenges of building and scaling infrastructure in high-frequency trading. The discussion covered how to store tick data, the relative importance of latency, emerging trends, and evolving market structure for HFT.
Between the talks, some of the most meaningful moments came from the informal conversations — trading journeys, experimental strategies, and infrastructure challenges.
That energy carried through late into the evening, with attendees sharing what they’re building, what they’re stuck on, and how we can build a more collaborative quant ecosystem.
It was energizing to be in a room full of brilliant minds… These are the kinds of conversations that remind you why you fell in love with markets and data in the first place.
— Sarthak Tupe, Portfolio Manager at Blackwater Associates
Events like this are a reminder that progress in quant finance doesn’t just come from new models or faster systems — it often starts with an open, grounded conversation.
We’re already looking ahead to the next one. Want to join the conversation or help shape a future event? Reach out — and follow Databento on LinkedIn for upcoming announcements.