Data Engineering

Market data engineering your trading desk can trust

We design and run the pipelines that move prices, options chains and fundamentals from vendors and brokers into the systems that trade, research and report on them.

Book a call See what we have built

You own the codeWhite-label availableWorking build from the first fortnight

Overview

Every trading system is only as good as the data under it. A stale quote breaks a risk check, a missing expiry roll corrupts a backtest, and an options chain with bad implied volatility makes every Greek wrong. Market data engineering is the unglamorous work of fixing that: ingesting feeds reliably, normalising symbols across brokers and vendors, storing history in a form research can query quickly, and alerting someone when a feed goes quiet.

We build financial data pipelines for our own live platforms, so the problems are familiar. Our options terminal pulls chains and Greeks from Interactive Brokers, Tastytrade, Polygon and ThetaData. Our MT5 feed publisher streams broker bars to the cloud through a three-tier fallback. Our AI research engine ingests SEC EDGAR filings daily. For clients, we apply the same patterns to real-time market data feeds, options data and a data warehouse for trading and quantitative research teams.

What we deliver

Symbol mapping across brokers, vendors and broker suffixes
Three-tier feed fallback with automatic source switching
Scheduled snapshot jobs that capture full options chains
Columnar history in DuckDB or Parquet for fast backtests
Postgres and Supabase realtime for live dashboards
Expiry, roll and holiday handling in historical series
Edge functions that validate and ingest inbound feed data
Gap detection and stale-quote alerts to Telegram or email
Storage designed around vendor licence and redistribution terms
Python and FastAPI services for internal data access APIs

What we build

Data Engineering, built for production.

Real-time market data feeds

Streaming ingestion from broker APIs and data vendors, with reconnect logic, heartbeat monitoring and fallback sources. Quotes, bars and trades land in a consistent schema whichever upstream they came from.

StreamingFailover

Options data pipelines

Full options chains with strikes, expiries, implied volatility and Greeks, captured intraday or at end of day. We handle contract identifiers, expiry rolls and the sheer volume a full chain produces.

OptionsIVGreeks

Data warehouse for trading

Tick, bar and end-of-day history in columnar storage, partitioned for fast backtests and analytics, with versioned loads so a research result can be reproduced exactly months later.

WarehouseDuckDBPostgres

Broker and MT5 data bridges

Publishers that stream MetaTrader 5 bars and positions from VPS-hosted terminals into cloud databases, including broker-specific symbols and synthetic indices that no public vendor carries.

MT5Bridges

Fundamentals and filings

Scheduled pulls from SEC EDGAR and fundamental data sources, parsed into structured tables of financial statements and filings that feed screening, research and AI analysis workflows.

SEC EDGARFundamentals

Data quality and reconciliation

Automated checks for gaps, stale prices, outliers and duplicate records, plus reconciliation between broker positions and internal books. Failures raise alerts before a trader or an investor sees the wrong number.

Data qualityAlerts

Approach

How we deliver it.

Audit sources and licences

We list every upstream feed with its latency, cost, coverage and licence terms, including what you may store and redistribute. Gaps and single points of failure are flagged before any code is written.

Design the schema

Instruments, bars, quotes, chains and fundamentals get a normalised model with stable identifiers. We decide what lives in Postgres for live use and what goes to columnar storage for research.

Build ingestion with failover

Ingestion services are built with retries, heartbeats and secondary sources. Each pipeline is load-tested against a realistic trading day of data, including the market open and expiry days.

Monitor and hand over

Freshness, completeness and latency are tracked per feed, with alerts routed to the right people. You receive a runbook for every pipeline, or we keep operating it for you.

From the systems index

Built by us, not borrowed.

Relevant systems from the 30 we have engineered. Product and client names are withheld.

Browse the full index

Dual-broker options terminal

Trading platforms

Browser terminal for index, futures and equity options: live chains, first and second-order Greeks, IV surface, risk graphs and P&L heatmaps, a strategy composer, a backtester and an order management system with a pre-trade risk gate.~120k lines, v30 in production

Next.jsTypeScriptIBKR TWS APITastytrade APIPolygonThetaDataDocker

Live

MT5 execution bridge and feed publisher

Execution and automation

Executes web-issued trade commands inside MetaTrader 5 with lot caps and a master kill switch, and streams broker bars to the cloud through a three-tier feed fallback, including builds for synthetic indices.

MQL5Supabase Edge FunctionsVPS

Live

Options income screener

Quant and analytics

A scan framework for income strategies, with 80 scans specified across five strategy families, expected-value and probability maths, P&L profiles, earnings backtests and an optimiser.

PythonFastAPIThetaDataPolygonSQLite

R&D

Options strategy backtester

Quant and analytics

Desktop engine with Black-Scholes, Black-76, implied-volatility and surface models, higher-order Greeks, scenario heatmaps, a step-through backtester and a rules engine for delta, DTE and P&L exits with combo order routing.

C#.NETIBKR APIDuckDBEF Core

R&D

AI equity research engine

Data and AI

Daily research pages for S&P 500 stocks and ETFs, written by three AI analysts with opposing mandates and backed by a five-factor composite score.

Next.jsFastAPIAnthropic APISEC EDGARPostgres

R&D

LiveIn production and operated by usBuiltComplete and shippedClientDelivered for a clientR&DWorking build, still in development

Why Aurion Labs

The difference is operating experience.

We consume the data we build

Our own trading platforms depend on these pipelines every market day. When a feed drops at the open, it is our software that suffers first, so resilience is designed in rather than bolted on.

Options data is home ground

Chains, implied volatility surfaces and Greeks under Black-Scholes and Black-76 sit at the core of several systems we have built. We know where vendor options data goes wrong and how to check it.

Integrations already shipped

Interactive Brokers, Tastytrade, MetaTrader, Polygon, ThetaData and SEC EDGAR are among 13 broker, data and payment integrations we have delivered, which shortens discovery and lowers integration risk.

Technology we work with

PythonFastAPIPostgresSupabaseDuckDBSQLiteIBKR TWS APITastytrade APIPolygonThetaDataMQL5SEC EDGARDocker

FAQ

Data Engineering questions, answered.

Still deciding? A 30-minute call usually answers the rest.

What drives the cost of a market data pipeline?

The number of sources, the asset classes and instruments covered, and whether you need real-time streaming or end-of-day loads. Options data is heavier than equities because of chain volume. Retention periods, data quality checks and how many downstream systems consume the data also matter. Vendor data fees are separate and paid directly to the vendor under your own licence.

How long does a data engineering project take?

A single feed into a single store is a small project; a multi-vendor warehouse with reconciliation is a much larger one. We agree a phased plan after the source audit and deliver the first working pipeline early, so you can validate its output against data you already trust before we extend coverage.

Who owns the pipelines and the data?

You own your data, and on full payment you own the pipeline code too, unless we agree otherwise in writing. Vendor data remains subject to the vendor's licence. We design storage and access so your usage stays inside those terms, but the licence relationship sits between you and the vendor.

Can you help with regulatory reporting data?

We build software, not regulatory submissions. We can structure trade, position and pricing data so your compliance team or reporting provider can produce what regulators require, and we document data lineage clearly. Responsibility for the accuracy and filing of regulatory reports stays with the regulated firm, as does any judgement on what must be reported.

How do you secure market and trading data?

Broker and vendor credentials live in managed secrets, never in code or client-side bundles. Databases use role-based access, with row-level security where users share infrastructure. Services run in containers with minimal permissions, connections are encrypted in transit, and access to production data is restricted and logged.

Who maintains the pipelines after launch?

Vendors change APIs, brokers rename symbols and exchanges add holidays, so pipelines need ongoing care. We offer maintenance with monitoring, alert response and updates whenever an upstream source changes. Alternatively, we hand over code, runbooks and dashboards to your own engineers with a structured walkthrough.

Related services

Start a project

Start your data engineering project.

Tell us what you are building. You will get a written scope, a clear estimate and a working build early.

Book a call Send a brief

Prefer email or phone? hello@aurionlabs.io · +44 7832 617626