tag:blogger.com,1999:blog-5951375.post7936750217447223628..comments2023-10-03T10:31:50.038-04:00Comments on Magmasystems Blog: One Trader's Opinion about Algo Trading and CEPmarchttp://www.blogger.com/profile/09487180059998380922noreply@blogger.comBlogger10125tag:blogger.com,1999:blog-5951375.post-16412766821412212042009-07-07T18:38:42.641-04:002009-07-07T18:38:42.641-04:00Let's not forget about the complexity of writi...Let's not forget about the complexity of writing a CEP engine in the first place. A rules engine is a quite complicated piece of code, and even many of the vendors (such as TIBCO) haven't yet got it right. As of version 3 they're still missing 'not' and 'exists' operators. That makes it rather difficult for the trader to implement a strategy unless you work around Steve Nunezhttps://www.blogger.com/profile/07279994810708623806noreply@blogger.comtag:blogger.com,1999:blog-5951375.post-91290328706840423932009-06-02T13:16:40.989-04:002009-06-02T13:16:40.989-04:00Louie, Java is not better than C. Maybe you're thi...Louie, Java is not better than C. Maybe you're thinking of C++.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5951375.post-45268678547802203322009-06-02T11:57:22.432-04:002009-06-02T11:57:22.432-04:00So there are many kinds of algorithmic trading and...So there are many kinds of algorithmic trading and not all of them require low latency. But low latency strategies are often the most accurate over time, so that is why latency is such a big deal. For the low latency strategies, it's an arms race to be the fastest. In other words, a better algorithm will provide inferior results if it is not able to enter its orders in time to beat others to a Hanshttps://www.blogger.com/profile/03057096345613832279noreply@blogger.comtag:blogger.com,1999:blog-5951375.post-80169133796601354922009-06-01T16:45:51.294-04:002009-06-01T16:45:51.294-04:00I don't think you guys appreciate the extreme low ...I don't think you guys appreciate the extreme low latency algorithmic trading requires. By the time your CEP engine has popped an order message from the queue for processing our trading engine has already acted on this information. Even running complete strategies in FPGAs is not far out... Microseconds count.Erik Rigtorphttps://www.blogger.com/profile/12054256810184481856noreply@blogger.comtag:blogger.com,1999:blog-5951375.post-38636297674272082302009-06-01T15:24:46.703-04:002009-06-01T15:24:46.703-04:00I think Louie said it well.
I couldn't help but ...I think Louie said it well. <br /><br />I couldn't help but wonder: Why would a trader think that implementing his algo on a commercial platform wipe out his competitive advantage? Surely his secret sauce is in his trading algorithm and not his ability as a programmer to write better (faster?) code? If he's got a superior algorithm, is there benefit to getting it into production sooner?<br /><br Jeff Woottonhttp://www.aleri.comnoreply@blogger.comtag:blogger.com,1999:blog-5951375.post-49782314653752425772009-06-01T11:49:14.298-04:002009-06-01T11:49:14.298-04:00Assuming that Louie was responding to my comment, ...Assuming that Louie was responding to my comment, it depends on how you do your P&L accounting.<br /><br />If you do the normal project by project and annual accounting, then every project needs to justify the cost. The 300K hit from a software package had better work out really well, or it will just drag down the P&L for that year.<br /><br />If you do your accounting over multiple yearsHanshttps://www.blogger.com/profile/03057096345613832279noreply@blogger.comtag:blogger.com,1999:blog-5951375.post-80715374877061232672009-05-28T17:52:46.622-04:002009-05-28T17:52:46.622-04:00People who think this way are missing the point ab...People who think this way are missing the point about <I>platform</I> technology. It's the <I>food chain</I> effect. Starting at the bottom it’s the reason Java is better than C. Java provides a wealth of class libraries, C has a barebones ANSI C lib, which means you have to write practically everything yourself. With a platform you move up the food chain. How many people would consider writing Louie Lovashttp://apama.typepad.com/my_weblog/louis_lovas/noreply@blogger.comtag:blogger.com,1999:blog-5951375.post-66794895800039000492009-05-28T07:22:03.086-04:002009-05-28T07:22:03.086-04:00But, does the language of the CEP engine let you e...But, does the language of the CEP engine let you express your secret sauce? And, does the performance of the CEP engine allow you to execute your secret sauce in front of the competition? (OK, the CEP engine is only one part of the entire infrastructure, but trading firms spend a substantial amount of time optimizing each little segment.)marchttps://www.blogger.com/profile/09487180059998380922noreply@blogger.comtag:blogger.com,1999:blog-5951375.post-24343225990175450762009-05-28T07:11:28.475-04:002009-05-28T07:11:28.475-04:00Buy or build - you still have to have your 'secret...Buy or build - you still have to have your 'secret sauce'tablewhitehttp://www.reuters.com/developernoreply@blogger.comtag:blogger.com,1999:blog-5951375.post-11266202866384538672009-05-27T10:44:07.128-04:002009-05-27T10:44:07.128-04:00Here's the most common objection I've heard: "Let'...Here's the most common objection I've heard: "Let's write the code ourselves and put that money toward our bonuses." Hard to argue with that.Hanshttps://www.blogger.com/profile/03057096345613832279noreply@blogger.com