Thelonius (Large file data extractor)

Large-Scale Time Series Extractor for Fund-Level Analysis

Client

Investment Bank - Fixed Income (Market Risk)

Business Problem

Analysts were unable to perform historical analysis due to the size of daily trade and valuation files—each over 500 MB.

When imported into MS Access, the file size would rapidly exceed the 2 GB database limit, preventing storage of multiple days’ data.

As a result, analysts could only work with one day’s figures at a time, making it impossible to perform rolling comparisons, track emerging trends, or identify anomalies across time.

Solution Delivered

We developed an Excel Add-In that allowed analysts to extract, store, and analyse large data sets at the fund level without overloading Access.

Key capabilities included:

  • Segmentation of the 500MB daily data file into fund-specific datasets, each stored in a dedicated, optimised MS Access database
  • Multi-day archival within each fund database, allowing analysts to conduct time series analysis, rolling averages, and trend detection using PivotTables
  • A self-service interface where analysts select funds and date ranges, triggering automated data import and cleansing routines
  • Fast retrieval and refresh logic to maintain performance while working with large volumes of data in Excel

Results

  • Enabled time-series analysis across weeks and months, previously limited to one-day snapshots
  • Reduced file handling and processing time from over 30 minutes to under 2 minutes per fund
  • Improved analyst productivity and autonomy through a self-service interface
  • Eliminated file size constraints by breaking out and archiving data by fund
  • Allowed management to monitor fund performance patterns with greater granularity and historical depth

Technology

Excel | VBA | MS Access

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