Friday, June 22, 2007

Next Gen Heatmaps of the Markets?

The next generation of heatmaps?

Can we also employ tactile feedback using Microsoft Surface? So we can FEEL the market? Make the hot areas really generate heat?

©2007 Marc Adler - All Rights Reserved

Saturday, June 16, 2007

The Flavor of the Month is Acropolis

Now, after touting CAB for a few months, Microsoft has announced Acropolis.

A few months ago, the Microsoft DPE team came to me and tried to dissuade us from developing our .NET client framework in favor of using CAB. However, during those conversations, the word Acropolis came up a few times.

Now that Microsoft is touting Acropolis, what has become of CAB? Will this now be an officially supported framework (remember ObjectSpaces?). What about all of the financial service developers that committed to CAB? And, now you have some Microsoft people telling us that CAB was never officially supported by Microsoft, that it was developed by a small group of independent developers in some far off country that nobody ever heard of!

One thing about developing your own framework and making it a standard in the company is that it won't turn into a flavor-of-the-month entry. Goldman lead the way with OCEAN. Wachovia has OneSource, and Morgan Stanley has FidSharp and Concord. And we have ours. And, our companies tell our developers that they should use it.

No doubt that Acropolis will be "better" than CAB, and will have learned lessons and anti-patterns from CAB usage. Only, what will Microsoft come out with in another 6 months?

©2007 Marc Adler - All Rights Reserved

Short Sell Any Time

(Thanks to Wall Street Folly)

The SEC voted unanimously on Wednesday to finally get rid of the pesky and ridiculously outdated tick test. The tick test only allows short sales when the last sale price is higher than the previous price. That means a trader cannot short a stock if the movement prior to the short sale is down

Wonder what this means for all of the models out there? (I mean HFT and Algo models, not Giselle Bunchen-type models... but, I am sure that Heidi Klum is overjoyed too!)

©2007 Marc Adler - All Rights Reserved

Fun with Patents in Financial Services

It's great fun to browse the United States Patent Office to see what your colleagues have come up with in the financial industry. It's even more fun to see who has patented what. In the search page, type your favorite company into the "Assignee" field. Even though you and I can create a great technology, and we *may* be able to be listed as the Inventor, we usually have to Assign the work to the company we work for.

Just take a look at one of the patents. It's from Goldman Sachs. Andy Smith is the creator of Goldman's .NET client framework, OCEAN. In that respect, we are counterparts.

It's also fun to se who was credited as the Inventors of a technology. For example, some Merrill Lynch patents list (the late) Don Trojan and Ed Keenan as the Inventors. I know for a fact that Don and Ed were managers at Merrill, and in my opinion, probably never got anywhere near the technology. (Ed was my wife's first boss at ML, and was a pure manager. Don was my wife's boss at Drexel Burnham Lambert.)

If you want to see the diagrams that are associated with the patent, then click on the Images link. However, you need to download a TIF viewer for your web browser before you can view the images.

As I write this, let's see if some of our favorite characters have patented anything....

John Powers of Digipede : Nothing.... But don't look at this and this.

Geva Perry of GigaSpaces : Nada .... (Maybe they have patents in Israel?) But let's try one of GigaSpaces' competitors, Gemstone. Well, lookee here and here. And here.

You guys should learn the lessons of old Xerox, and make a beeline to your favorite patent attorney! Patents are some of your greatest assets.

©2007 Marc Adler - All Rights Reserved

Thursday, June 14, 2007

Google Spam

I have been fairly sparse on this blog lately. I have been incredibly busy at work. But, the main reason is that Google had mistakenly tagged my blog as a spam blog.

Everything is back to normal now.

©2007 Marc Adler - All Rights Reserved

Favorite new blog

A lot of good stuff on implementing HPC within financial services firms.

The author of the blog just took a job with 29West in London, the makers of LBM (Wombat is a big user of LBM). He regularly hosts drinking sessions in London with interesting guest speakers.

(Since I showed Terry the blog, he has already found more reasons to stay late at work. Sorry, mate!)

©2007 Marc Adler - All Rights Reserved

Object Caches for .NET

Reminder to self ---

Now that Tangasol, Gigaspaces and Gemstone have native .NET APIs for their caches, I need to re-evaluate the three. The advantages of distributed object caching is being picked up by some other groups in my company.

©2007 Marc Adler - All Rights Reserved


I decided to integrate the Treemap control (ie: Heatmap) from Microsoft Research into my .NET client-side framework that my company now uses. As a demo, I emulated the heatmap found on the Smart Money site. The free Microsoft heatmap was fairly easy to develop for, and in almost no time, I had real-time trades streaming from KDB+ into the framework, with the trade data displayed in the heatmap.

Given what we have, it may be more difficult to rationalize paying that big yearly license fee to Panopticon.

The Bubble Chart control is worthwhile too.

©2007 Marc Adler - All Rights Reserved

WPF and Vol Surface Editors

Microsoft came in the other day and showed some Silverlight and WPF demos. Infusion Development wrote a demo of a vol surface viewer (not an editor). According to the guys from MSFT, you can actually embed the WPF control within a .NET 2.0 Winforms app.

Our main col surface editor was written upteen years ago, using Open GL. It would be interesting to see how a WPF vol surface/curve editor would compare, especially when the CPU is busy handlign feeds and calculating greeks.

©2007 Marc Adler - All Rights Reserved

Anyone going to SIA?

I will be at the SIA convention on Tuesday, June 19. Big Microsoft/Intel party afterwards.

Anyone going?

©2007 Marc Adler - All Rights Reserved

Looking at ACE

Looking at high-performance frameworks for writing distributed systems, especially for high-frequency trading. ACE has been on the radar screen for a while.

I also found out that Bloomberg is using it in their PhatPipe product.

©2007 Marc Adler - All Rights Reserved