While my wife and son cavort around Australia and New Zealand for the next few weeks (I get to stay home and watch my daughter, who only has one week off from high school), I hope to be able to catch up on some of the blog posts that I owe people.
One of the things that is most important for me in choosing a CEP vendor is the ecosystem that surrounds the CEP engine. In a company such as mine, we need to interface with many different legacy systems. These legacy systems can hold crucial data, such as historical orders, customer trades, market data, volatility curves, customer and security reference data, etc. This data may reside statically in a database, be published out as flow over some kind of middleware, or interfaced with an object cache or data fabric. We have every color and shape of database technology in our firm, whether it be more traditional relational databases like Oracle, SQL Server, and Sybase, or newer tick databases like KDB+.
From the input and output points of the CEP engine, we need seamless integration with all sorts of systems. Most CEP engines have the concept of in-process and out-of-process adapters. In-process adapters are more performant that out-of-process adapters. We would love to see as many in-process adapters delivered out-of-the-box by our CEP vendor. We do not want to spend time writing our own in-process adapters.
So far, none of the CEP vendors support KDB+ as an out-of-the-box solution. In fact, many of the CEP vendors did not even know what KDB+ was. (Is the same true for Vhayu as well?) My feeling is that, if a CEP vendor is going to be successful on Wall Street, then they must support KDB+. Is it even feasible for the CEP vendors to provide an abstraction layer around KDB+, and let the CEP developer write all queries in SQL instead of writing them in K or Q?
One of the most important things that I would like to see from the CEP vendors are tools to enable the analysis of all of the data that pass through the CEP engine. Many groups might not have the budget to hire a specialized mathematician or quant to perform time-series analysis on the data. Learning specialized languages like R or SPlus might not be possible for smaller groups that do not have a mathematical bent. The same goes for packages like Mathematica and Matlab.
Would it be worth it for the CEP vendors to come out with a pre-packaged "stack" for various financial verticals that incorporates analysis tools? Or, would writing a detailed cookbook be better? And, where does the responsibility of the CEP vendor end? Should we expect the CEP vendor to provide a one-stop shop for all of our needs, or should be just expect the CEP vendors to provide strong integration points?
Better yet, does this open up an opportunity for a third party company to provide this service? Like the many laptop vendors who buy a motherboard (the CEP engine), and slap together a disk drive, CD drive, screen and keyboard to make a complete system?
In examining the various CEP vendors, I have come to the conclusion that the offerings from Streambase, Coral8 and Aleri are very similar. Given another year, I might expect each vendor to fill in the gaps with regards to their competitors' offerings, and at that point, we might have practically identical technologies from 3 different vendors. In my opinion, the real win for these CEP vendors will come in the analysis tools they provide.
©2007 Marc Adler - All Rights Reserved