Tales from a Trading Desk

Microsoft Azure Service Bus and AMQP

mdavey — Fri, 27 Jan 2012 13:33:51 +0000

Interesting reading over on Michael Peacock blog regards the recent AMQP 1.0 conference in NYC:

There was a very interesting talk from David Ingham, Microsoft, regarding the Azure Service Bus and their work supporting AMQP 1.0,

my-Channels Nirvana 7 – Driving Performance and Features

mdavey — Fri, 27 Jan 2012 10:25:33 +0000

Interesting chat with the my-Channels crew around Nirvana 7 in the last few days. Multicast for data group delivery makes we wonder how much business my-Channels might pickup now they are in the 29West “multicast” space MQTT support only adds to my-Channels credentials in offering a unified messaging platform. However the performance tuning provide in Nirvana 7 is possible at the top of the list of impressive features – especially the “45 Micro Seconds” for 50 events per second to 5000 clients.

However, the best is often left to last, and in the case of the my-Channels posting on Nirvana 7, the final paragraph is a must read:

Nirvana EA2 will be released soon. It includes a new shared memory driver for intra-host communications. This will allow Nirvana communications between processes on the same machine to bypass the network stack and considerably improve performance. Current benchmarks of this functionality are showing that a sustained throughput of over 800,000 messages per second is possible with latencies of sub 5 microseconds.

Very interesting.

High-Frequency Trading Paper

mdavey — Fri, 27 Jan 2012 08:25:33 +0000

High-frequency trading (HFT) has recently drawn massive public attention fuelled by the U.S. May 6, 2010 flash crash and the tremendous increases in trading volumes of HFT strategies. Indisputably, HFT is an important factor in markets that are driven by sophisticated technology on all layers of the trading value chain. However, discussions on this topic often lack sufficient and precise information. A remarkable gap between the results of academic research on HFT and its perceived impact on markets in the public, media and regulatory discussions can be observed.

The research at hand aims to provide up-to-date background information on HFT. This includes definitions, drivers, strategies, academic research and current regulatory discussions. It analyzes HFT and thus contributes to the ongoing discussions by evaluating certain proposed regulatory measures, trying to offer new perspectives and deliver solution proposals.

Anyone using Storm in Capital Markets?

mdavey — Wed, 25 Jan 2012 23:27:43 +0000

Storm was open sourced sometime ago thanks to Twitter. Storm, a scalable real-time computation system, so think CEP without the storage engine. The coolness is in the distributed and fault-tolerant features.

The important properties of Storm are:

Simple programming model. Similar to how MapReduce lowers the complexity of doing parallel batch processing, Storm lowers the complexity for doing real-time processing.
Runs any programming language. You can use any programming language on top of Storm. Clojure, Java, Ruby, Python are supported by default. Support for other languages can be added by implementing a simple Storm communication protocol.
Fault-tolerant. Storm manages worker processes and node failures.
Horizontally scalable. Computations are done in parallel using multiple threads, processes and servers.
Guaranteed message processing. Storm guarantees that each message will be fully processed at least once. It takes care of replaying messages from the source when a task fails.
Fast. The system is designed so that messages are processed quickly and uses ØMQ as the underlying message queue.
Local mode. Storm has a “local mode” where it simulates a Storm cluster completely in-process. This lets you develop and unit test topologies quickly.

Distributed Kanban Tools

mdavey — Wed, 25 Jan 2012 17:58:37 +0000

Kanban when the whole team is in the same location requires a different tooling (wall/board etc) than a distributed multi-timezone team. After some searching, the best I’ve come up with is HipChat or similar group chat with Asana for managing the tasks. Anyone get a better tooling for distributed teams?

AWS Storage Gateway

mdavey — Wed, 25 Jan 2012 15:36:00 +0000

The AWS Storage Gateway is a service connecting an on-premises software appliance with cloud-based storage to provide seamless and secure integration between an organization’s on-premises IT environment and AWS’s storage infrastructure

Market Model Typology (MMT)

mdavey — Wed, 25 Jan 2012 09:36:09 +0000

A consortium of exchanges and technology suppliers have developed a set of common standards designed to restore post-trade transparency in the European equity markets.

JavaScript Modules

mdavey — Tue, 17 Jan 2012 21:09:27 +0000

Interesting video over on Channel9 – SPLASH 2011: Sam Tobin-Hochstadt – JavaScript Modules. Also worth a watch, and from SPLASH-2011, Brendan Eich – JavaScript Today and Tomorrow

High Performance HTML5

mdavey — Mon, 16 Jan 2012 10:23:37 +0000

Definitely worth a watch. I’d forgotten about Browserscope, another site worth a look – IE 10 need to up its game!

Enterprise IT predictions for 2012 – A Capital Markets Spin

mdavey — Fri, 06 Jan 2012 12:29:09 +0000

Ross Mason offers some Enterprise IT predictions for 2012. On the big data front, it will be curious to see how the capital markets space takes to hadoop et al – Bank of America if I recall correctly has spoken at conferences in 2011 about its initial Hadoop usage. On the social enterprise prediction, one would expect single dealer platforms (SDP) to follow Hedgehogs from a social perspective. Prediction 6, “web goes real-time” is something I’ve been blogging about for some time. Socket.io coupled with the various other OSS/products will lead the charge.