Wednesday, December 27, 2006

Congrats to Chris

Chris is the new columnist for Automated Trader Magazine.

C'mon Chris .... when are you going to get that venture funding!

©2006 Marc Adler - All Rights Reserved

Tuesday, December 26, 2006

Penn-Lehman Automated Trading Project

Here

Plus, an internship at the Prop Trading group at Lehman.

Another reason to make sure that your kids study hard for the SATs.

©2006 Marc Adler - All Rights Reserved

News Mining Agent for Automated Stock Trading

Here is a thesis on semantic recognition of financial news items.

... as we slowly move towards phasing out traders (as per IBM's prediction).

©2006 Marc Adler - All Rights Reserved

Coding for Humanity

At this time of year, one's thoughts sometimes turn to the larger things in life. You might ask yourself what your legacy is going to be. Does your coding and architecture skills somehow contribute to the greater good of the world, and will humanity benefit from your efforts?

I never put this on my resume, but I consulted part-time for 4 1/2 years for a company called Classroom Inc. From January 1997 to October 2001, I would devote part of my time to writing "simulations" for CRI, and probably over one million school children have used my programs.

Classroom Inc (CRI) was originally formed as a non-profit partnership between IBM, JP Morgan, and Bear Stearns. Lewis Bernard, who was very high up at JPMC, was the CEO of Classroom Inc. The mission was to provide education computer software to inner-city and rural schools where the children could benefit from an "alternative learning experience".

Each one of the "simulations" was an interactive game, where the student was put in a certain life situation. For example, one simulation put you in the role of a bank manaer, while another one put you in the role as the CEO of a paper company. Each simulation consisted of 12 or 15 "chapters", where each chapter was devoted to a certain issue.

When I started consulting for CRI, each simulation went out to over 100,000 students, and by the time I finished up, each simulation reached more than 250,000 students.

The entire framework was written in MFC/C++. A lot of the internal design came from the old Macromedia Director, which was very popular at the time for creating interactive storyboards. A typical simulation took 6 to 8 months to write. The team consisted of a producer, 2 writers, 2 artists, a QA tester, and myself. Every few weeks, I would get a ZIP file in the mail consisting of the script for a new chapter, and all of the graphics, plus some haphazard directions for one or more "activities" that the kids would have to do in the chapter.

My involvement with CRI ended in 2001 when IBM, who was one of the partners, decided that they wanted to move to a new, internal Flash-based system, and wanted to end all C++ development. It took the IBM consultants quite a while to get the first simulation out there in Flash, but they finally managed to recreate all of the simulations and re-release them.

I was proud to have been a part of this effort for such a long time.

I was inspired to write this by a post that was on Joel on Software a few weeks ago. Joel talked about some cool new jobs that his jobsite was advertising, and one of the jobs dealt with medical technology, which is one of the noblest enterprises. Another worthy position is at DonorsChoice, which reminds me a bit of CRI.


©2006 Marc Adler - All Rights Reserved

Automatic Resource Refactoring Tool

Here

Move all of your hard-coded strings automatically into resource files.

©2006 Marc Adler - All Rights Reserved

Skyler Technology

Yet another entry in the time-series, object-cache, feed handler world ... Skyler Technology's C3 Database. This is definitely a hot area to be in right now, as Skyler, Vhayu, Streambase, etc all seem to be vying for a piece of the pie.

Skyler has a nice use case for order book management.



©2006 Marc Adler - All Rights Reserved

Saturday, December 09, 2006

DevExpress XtraPivotGridSuite

Recommended by a colleague who is very interested in OLAP tools....

How long before Infragistics comes up with something similar?


©2006 Marc Adler - All Rights Reserved

OLAP/Analysis Services

Had a very interesting presentation from Microsoft on Analysis Services and OLAP.

What are traders and risk managers using OLAP for at your bank?

Any experience using OLAP is a real-time scenario to perform up-to-the-second reporting? Our feeling is that OLAP cannot be used successfully in a real-time environment unless you have very small cubes.

©2006 Marc Adler - All Rights Reserved

Wednesday, December 06, 2006

FPG911

Brilliant quote from a colleague:

If you need time off from work to test-drive a Porsche, just tell your boss that you are investigating hardware acceleration.

©2006 Marc Adler - All Rights Reserved

Less Reliance on Vendors

Even though there are a lot of things to be desired about working at Morgan Stanley, I must say that they have got the right idea about lessening their reliance on vendors. Their EIA group has their own XML-based pub/sub message bus (CPS), their own market data infrastructure (Filter), their own .NET client-side framework, and more. What they have done is cut companies like Tibco out of the loop, and are no longer beholden to vendor release cycles, upgrade fees, and huge licensing costs. Morgan owns the source, and has the staff to maintain and enhace their IP. In fact, a friend of mine at Morgan told me that, if they wanted to, Morgan could take CPS and give Tibco a run for their money.

©2006 Marc Adler - All Rights Reserved

Sunday, December 03, 2006

CAB, EventBroker, and Wildcards

I will be blogging about the CAB EventBroker soon. But, I think that I like mine (previously published here) better. I would like to see wildcard support in the EventBroker's subscription strings.

In CAB, you can define an event to be published like this:

[EventPublication("event://Trade/Update", PublicationScope.Global)]
public event EventHandler TradeUpdated;

........

public void TradeIsUpdated(Trade trade)
{
if (this.TradeUpdated != null)
{
this.TradeUpdated(this, new InstrumentUpdatedEventArgs(trade));
}
}

In some other module, you can subscribe to an event like this:

[EventSubscription("event://Trade/Update")
public void OnTradeUpdated(object sender, InstrumentUpdatedEventArgs e)
{
}

I need wildcards. I might like to have a function that gets called when any operation happens to a Trade object. So, I would like to see subscription topics like these:

"event://Trade/*"

or

"event://Trade

Both of these would cover the case when any operation happens to a trade. The subscription string would catch the following topic:

event://Trade/Updated
event://Trade/Deleted
event://Trade/Created

I need Tibco-lite as my internal message bus.

©2006 Marc Adler - All Rights Reserved

Saturday, December 02, 2006

CAB and Status Bars?

I have not gotten into the Smart Client Factory yet (preferring to learn the underlying CAB framework), so this question might be answered by the SCSF .... but has anyone made a UIExtensionSite for a statusbar object yet?

©2006 Marc Adler - All Rights Reserved

Grid Computing and UBS

Grid computing webcast here, featuring people from UBS, Microsoft and Digipede.

Our head quant tells us that UBS has an internal website that can price exotics amazingly fast. Something that all of us can strive for...

©2006 Marc Adler - All Rights Reserved

Microsoft Single Point of Contact

Microsoft DPE and MCS need to read this

©2006 Marc Adler - All Rights Reserved