Friday, August 31, 2007

IBM and Limitless "Vacations"

Catch this while the NY Times still has it for free:

Reminds me a little bit of myself ....

©2007 Marc Adler - All Rights Reserved

Bonus Paralysis

I have heard of a number of financial companies who are having a very difficult time hiring .NET developers, especially ones with WPF skills. The main problem with getting financial developers to move companies at this time of the year is Bonus Paralysis. Bonuses are typically announced in December and paid out in January, and nobody is going to sacrifice their bonuses at this time of the year to change companies .... unless ......

... there were little or no bonuses paid out. Because of the credit crisis, a number of news organizations have stated that bonuses this year will be drastically reduced. Everyone is now suitably warned and prepped to receive a significant decrease in last year's bonus (especially if you are in structured finance and credit derivs). And, at this time of the year, a new company would probably not guarantee your bonus.

If you are not expecting much of a bonus, would you stay around?

©2007 Marc Adler - All Rights Reserved

CEP Conference

There is a good chance that I will be at the first Gartner Summit on Complex Event Processing in Orlando, September 19-21.

I am especially interesting to see what Coral8 has to say. My interests are in using CEP for Business Activity Monitoring and Algorithmic Trading.

Matt and Chris have had some good things to say about Coral8 in the past, and if I had some time to breathe, I would like to download their SDK and start mucking around.

©2007 Marc Adler - All Rights Reserved

Wednesday, August 29, 2007

Working on the Trading Floor

A few weeks ago, Terry left a comment, asking what it was like to work on the trading floor.

I sit on a very large Equities trading floor that overlooks the Hudson River in lower Manhattan. Our particular area of the floor has the Derivatives Analytics group (my group) and Algorithmic Trading. The next row has the High Frequency Trading guys and some of the guys who control the high-speed market data systems.

Needless to say, the past few weks have been crazy. There is such an energy on the floor that, sometimes, everyone is our row just stops working in order to absorb the electricity. 15 minutes before the opening, things start humming. At the bell, it's chaos for about a half hour. People screaming out orders, groups of traders applauding and whooping when a trade turns out favorable. After 10, things really slow down until about 3PM.

Our group is composed of Quants. We trade our own positions, and we write software which enable us and other groups to trade. Almost all of our software is in C#/.NET 2.0, heavy use of generics and anonymous delegates.

The group is ethnically diverse. 4 Americans, 1 Brit, 3 Far-East Asians, and a couple of Russians for good measure (what's a good Quant group without the Russians!). 3 of the guys have PHDs, the rest have MS's. Actually, the head of the group does not have a Master's degree ... however, he got 3 Bachelor's degrees in 3 years at one of the top business schools in the world. Most of the group is fairly young. If you are in your early 30's, you are ancient. That makes me a pile of ash on the floor.

The group has its own framework. The framework is typical Russian mad scientist code. With this kind of code, it's never "A calls B". It's "A starts 5 threads, waits for completion signals, creates other objects via some dependency injection, does a few somersaults, and then calls B." But the framework is highly performant.

One of the things I am doing is writing some risk hedging apps using my own framework that my team developed for Equities. So, I am eating my own dogfood. I have not found any bugs in my stuff, but I have had to extend it a bit so that it cooperates with some of the stuff that Derivs Analytics have previously written (like Live Greek Servers).

As exciting as the trading floor is, I welcome the one or two days a week that I work from home. If I have to do really major thinking and design work, I cannot do it at work! It is hard to work at work. Luckily, a lot of Wall Street is starting to go to a model of allowing people to work from home part time. The three hours I save on commuting to NYC is time that I put into work. Now that my son is off at college, I don't have to worry about his heavy-metal bands coming into the house at 3:00 every afternoon to thrash around the basement.

©2007 Marc Adler - All Rights Reserved

Random Musings

Yes, I know that I have not been blogging very actively this summer, but at the insistence of some colleagues and vendors who demand continuous entertainment, I will try to embark on another series of stream-of-conciousness postings.

Let's see what's new ....

1) London again. More groups coming aboard with my .NET client framework, so I was asked to pay another visit to London during the week of July 16. That's 3 times in London in less than a year. I don't mind going to London ... the first-class service aboard Virgin Atlantic is stellar, and this time, I was treated to massages on both legs of the trip.

What was exciting about this trip is that the department that I was meeting with are going to be taking four of their separate apps and combining them in a single consolidated front-end, with each particular group's app "running" as a separate DLL, registering services, and communicating with the other "apps" through my internal message bus. Still no separate app domains though.

2) My son is in college now! Yeah! Spent the entire weekend cleaning the house of the carnage that he and his friends wrecked during the past few years.

3) Going to be revisiting Complex Event Processing soon. Coral8 looks like a strong contender in the space. Why doesn't KX Systems realize that Q scares the mere mortal?

4) I am taking a few members of the Derivatives Analytics team up in my plane tomorrow evening. A nice flight over the Catskill Mountains is planned. Usually when I ask people to fly with me, I get all sorts of excuses. However, the DA team is too young and too inquisitive to know what they're getting into! They will even help me pre-flight the plane. As long as they don't start asking me about auronautical mathematics, the flight will go well!

©2007 Marc Adler - All Rights Reserved

Panopticon Rebuttal

A few weeks ago, I made the comment that we have had some good success with the free Microsoft TreeMap control to implement heatmaps. I also mentioned the fact that, for our needs, the Microsoft product seemed to suffice and that I did not see any immediate reason to buy the Panopticon product for heatmaps.

The Panopticon people asked me for some time on my blog to address the difference between the Treemap and their product, so I have reprinted their comments verbatim:

“What we at Panopticon Software offer in the product called Panopticon Developer is an SDK for embedding visual analysis and monitoring functionality into applications by means of integrating components such as interactive visualizations and a powerful data model capable of aggregating real-time data streams. The Microsoft Treemap control seems in to be considerably smaller and restricted in its API and designed to be used as a simple chart library and therefore for example does not include analytical functionality. Collateral posted at (public url at provides more detailed information on how Panopticon Developer is compares in relation to more traditional chart libraries.

With this SDK we’ve built a rapid web deployment toolkit called Panopticon Enterprise which provides very low ownership costs, extremely short time to market while preserving the functionality available in the SDK.

We typically work out significantly cheaper than in-house build due to the lack of maintenance and ease of deployment for new requirements”

(end of Panopticon comment .. now back to Marc)

Like any company, we have a budget that is tightly controlled. If Panopticon, or any third-party product, provides fiunctionality that will cost us more to develop ourselves, then the decision is to go to a third-party product. We like the fact that a third-party will support the product, but on the other hand, custom developing something ourselves gives us tight control over the feature set without having to wait for release cycles from a vendor. But, if we can take an existing free product and, with relatively little effort, modify it to do what we need, then I would be neglecting my fiduciary responsbility as an officer of the company to purchase a third-party product and pay a continuing stream of license and maintanence fees.

We are only at the beginning of exploring what heatmap technology can do for us, and in addition to Panopticon, there are other fish out there like Fractal Edge (makers of what I like to call the Undulating Amoeba heatmap!)

If there are any of you out there who have used or evaluated heatmap products, I would love to get your comments.

©2007 Marc Adler - All Rights Reserved

Thursday, August 16, 2007

It's the Models, Stupid

I just can't think that, in the world that we deal with, our efforts spent on low-latency, code optimization, high throughput, best algo containers, etc ... are worthless if the models are not good.

Doesn't matter how fast you get your trades out to the exchanges if you are always on the wrong side of the trade.

©2007 Marc Adler - All Rights Reserved