•November 13, 2009 •
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Spending hours on Eurostar causes one to ponder on “stuff”. Real-time risk has been part of this “stuff”. Natixis has a case study that provides information on how it achieved real-time/intra-day risk coupled with P&L using various products, including Gigaspaces. Like most problems, the solution is either a complete custom build, a product or a hybrid. I suspect however that all real-time risk solutions need an in-memory cube to stand any chance of delivering the data in real-time. It’s a shame Natixis’s case study doesn’t provide a hint as to the latency from booking a trade to seeing the risk update on a traders desktop.
CEP also would appear to be important in the real-time risk space. Aleri Live OLAP is one such product that what offers real-time P&L. Aleri’s CEP engine is pretty good, but I don’t have a view on their Live OLAP server. I believe Aleri have had the Live OLAP product for a while, hence it would be curious to know if they have seen an uptick over the last year. Microsoft might also want to consider how it positions StreamInsight given that the group site inside the SQL Server team – StreamInsight coupled to Analysis Server would at least put them into the Aleri Live OLAP space.
Waters and Buy-Side Technology has an interesting view; “Although real-time risk management is still only possible in theory, the vendor has seen a large increase in interest in this area since the end of February. The firms looking to adopt this type of risk calculation are mostly large and mid-tier banks”.
Posted in Microsoft, Trading
•November 10, 2009 •
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I’ve not downloaded Patterns for Parallel Programming: Understanding and Applying Parallel Patterns with the .NET Framework 4 yet, but suspect its worth a read.
DDJ “Multitouch Gains Momentum” article provides some thoughts on multitouch. The article doesn’t mention that Silverlight also supports multitouch, which is a shame given that RIA’s are the preferred application of choice in certain instances. If you now look at the 10/GUI video, you can begin to see some interesting ideas for the next generation trading desk.
Posted in Microsoft, Trading