Wednesday, January 28, 2009

Back from Seattle

I just returned home from a two day trip to Microsoft. I cannot say anything specific about this trip because of NDAs and my promises to the Microsoft team. But, there is GOODNESS coming out of Redmond soon, and I am totally pumped !!! And, the people there "get it". And, the people there are listening.

©2009 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.

Saturday, January 24, 2009

I Have Succumbed to the Facebook Phenomenon

I always said that I would never join a social network where my kids were active. The kids have a word called "teenile", which refers to an adult who tried to act like a teenager. I vowed that nobody woul dever describe me a teenile.

I establish a token account on Facebook a few years ago in order to try to see what my kids were up to. However, since I had to "friend" my kids in order to see what they were doing, and since any sensible kid will never accept a friend request from his folks, then I just let my Facebook account lie dormant. Over the years, I have received friend requests from various tangential business associates, but I have always ignored these.

Over the past few weeks, the pressure just became too much to resist. First, my high school graduating class (and the class directly before and after mine) established Facebook groups, complete with photos. Then, a few old girlfriends managed to track me down and sent me Facebook links to photo albums of me in somewhat embarassing situations. Then, a few of my college buddies. who I still see, got themselves up on Facebook.

So, with a beet-red face, I admit that I am now a Facebooker.

©2009 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.

Sunday, January 18, 2009

Some travel plans

I'll be at Microsoft in Redmond on January 25, 26 and 27. If any of the Microsofties who read this blog would like to talk to me about capital markets, please send me an email.

From February 11 to 15th, I will be in Paris to see the 3-nights of concerts by Magma to celebrate their 40th anniversary. I don't even want to think about work and capital markets during those 5 days ... I will be searching for a bar that serves Absynthe, so if you have any recommendations, please let me know.

©2009 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.

Friday, January 16, 2009

Followup on Horizon Graphs

(From Stephen Few)

This paper confirms the usefulness of Horizon Graphs.

Congrats to Panopticon and Stefan Odelik.

©2009 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.

Sunday, January 11, 2009

Reuters Feeds and Market Cap (Grrrr....)

We need to find out the market cap of a company that we are receiving quotes on from Reuters using RFA 6.x. We see a field called "MKT_CAP" coming through on the initial quotes. Looking at the Reuters documentation, this should contain the market capitalization of the company.

However, every MKT_CAP field has the value of zero.

Reuters support has confirmed that the MKT_CAP field will ALWAYS be 0 for every quote.

So, Reuters ... why are you sending this field with every quote if you are never populating it? And, how many other fields that come with each quote are not being populated with valid values? Don't you realize that low-latency means that you should be sending the minimum of data for a quote .... and we expect each and every field to contain something useful?

Brian ... please clean this up if you can.

©2009 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.

Blogs Influence Purchasing

References here to a study by Jupiter Research

I get a lot of private email with questions like this: "I read your blog. I want a buy system X. what do you think of it?" So, I can personally attest that people who want to purchase trading/CEP/algo systems do a lot of research on blogs. I think that it would be irresponsible to make a major purchase without researching every piece of information that is publicly available, and that include what people say on blogs.

I think that a blog, if written responsibly, can positively influence the development and quality of a product. If I was running a software company, I would certainly try to keep any negative publicity off of the blogosphere, and if that means doing a little bit of extra QA, then I would do it ... and that benefits all customers.

©2009 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.

Sunday, January 04, 2009

Two interesting posts from Scott

Scott is the main UI and build/deployment guy on the CEP team. He is also the one who has pushed us into the world of WCF and LINQ.

He just came out with two interesting posts that have ramifications for our development team.

We communicate with many of our external systems using Tibco EMS. However, between our CEP GUI and our one of our .NET-based CEP servers, we use WCF. We were experiencing some performance issues when a lot of users started to connect to our servers, and the issues were so bad that I had asked Scott to start to consider abandoning WCF and going to Tibco for communication between the GUI and server. Not even the Microsoft PSS guy that Microsoft sent us was able to help.

In his blog post, Scott documents all of the steps he took in order to solve the performance issues. I advance the notion that some of these problems could have been avoided by documentation and patterns from Microsoft, either from the WCF group or from the Patterns and Practices group. Also, I would like tools like Resharper and Coderush to be able to identify possible performance problems in code like this:

MyDataTable GetData(...);

In another interesting post, Scott shows what it would take to use LINQ with KDB, and validates the notion that we can probably replace CodeRush templates with T4. (In this economic environment, if we can get away with a free templating tool that is just as good as CodeRush, then it is our fiduciary duty to use it.) Even though several people on my CEP team have started to learn Q on their own (including myself), it is more natural if we use LINQ to query our KDB database. (This is the approach that we would have liked for Coral8 to take when they wrote a KDB adapter ... why query KDB in Q when you could have queried it in CCL?)

©2009 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.

CEP 2009 Predictions

David Luckham has asked the CEP crowd to weigh in with their predictions for the CEP marketplace for 2009. While this is an interesting effort in mental masturbation, I think that you can only look foolish if you set yourself up as a prognosticator in an economic environment like the world is experiencing right now.

Instead, I would point you to certain facts that I have observed in 2008, and you can draw your own trendlines from these data points.

1) There has been a massive consolidation in the bulge-bracket financial firms. I know for a fact that most of the CEP companies had spent a lot of time and resources on POCs at some of the now-deceased firms. If a CEP vendor spent most of their time pursuing these IBs, then you can be assured that they lost some amount of money on pursuing these deals. Most of the acquirers of the struggling IBs (Wells Fargo, Bank of America) are not known for their pursuit of advanced technologies.

2) There has been a consolidation in hedge funds. Some are no longer with us. Most of the others have lost money and will have to start consolidating expenses.

3) The bulge-bracket IBs that are still around are consolidating expenses, and taking a very hard look at discretionary technology spending. In other words, it will be very difficult to convince the business to spend $250,000 on CEP technology because it looks "interesting". Technologies that allow machines to do what humans do now will be looked at favorable. Green technologies and data center consolodation (ie: expense reduction) are also looked at favorably.

4) The Gartner CEP conference was poorly attended by customers.

5) Cloud Computing is now the buzzword of the day. People do not go into a cold faint anymore when you mention that you are involved with CEP. Blog traffic is down in the CEP space. The bloom is off the rose.

6) Venture Capitalists are re-examining their investments. There is pressure on the CEP vendors to generate revenue. Several of these vendors had approached me with very interesting and peculiar financing deals in 2008. Some of the CEP vendors have had reorganizations and layoffs.

7) Several of the horizontal CEP vendors are now hotly developing for the financial vertical. Will these new products be used for alpha generation, risk reduction, or cost savings?

8) I get email frequently from people in the financial industry who have heard the term CEP, but have no idea how to apply it to their business. The interest is there. The ready-made solutions are not.

What does all of this mean in 2009? Although these are not predictions, things that I would not be surprised to see in 2009 are:

1) Consolidation of the CEP marketplace. It would be difficult to merge different CEP product lines. However, a larger company would be able to buy a smaller CEP vendor for a cheap price in order to get rid of some competition and to pick up some very good talent. (Hans and Tim predicted this.)

2) A push towards delivering realtime OLAP and integrated analytical tools. The CEP vendors will have to make it more difficult for IT staff to justify the development of their own CEP technologies. Ready-made stacks of CEP processing need to pushed out there. (This is analagous to Hans Gilde's "patterns".)

3) A greater push towards using LINQ as a streaming query tool.

4) The emergence of a new major player in the CEP marketplace, perhaps with CEP technology as a free add-on to their existing technology stack. This would make stream-based processing more mainstream, but would set a new (very low) price point that other CEP vendors would feel compelled to match.

©2009 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.

Thursday, January 01, 2009

Are You All Getting Ready for the New Options Symbology?

We are getting ready. Are you?

The new symbology (21 bytes per symbol)
Symbol – 6 bytes
Year – 2 bytes
Month – 2 bytes
Day – 2 bytes
Call/Put Indicator – 1 byte
Strike Dollar – 5 bytes
Strike Decimal – 3 bytes

©2009 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.