Magmasystems Blog

Blackberrys In Brazil

2012-01-13T07:36:00.000-05:00

I had lunch the other day with one of the IT staff from my client here in Sao Paolo, and we were talking about the work/life balance. I was asking him if he checked his Blackberry as soon as he got home, and he gave me the most astonishing reply. It seems that, unless you are on support rota (ie: on call), if you respond to a work-related message on your mobile device, then the company has to

A New Pub-Sub Messaging System from Apache

2012-01-10T13:48:00.000-05:00

Kafka is in incubation stage right now. Is it possible that this will be an alternative to Tibco/AMQP/29West ? ©2012 Marc Adler - All Rights Reserved. All opinions here are personal, and have no relation to my employer.

Brazil and Other Closing Thoughts for 2011

2011-12-28T08:30:00.001-05:00

Last week, I came back energized from the first two weeks of my engagement in Sao Paolo, Brazil. I am amazed at how Brazil is exploding, and there seems to be a lot of evidence to support my observations. But, before I go into Brazil, I want to backtrack a few weeks. After the demise of the investment banking arm of Citadel Securities (search Google News for the term "Citadel Securities" to

Hanselman's List of 2011 Dev and Power User Tools is Out

2011-12-01T10:25:00.000-05:00

One of my favorite recurring blog posts can be found here. Don't forget to read all of the user comments, as they often refer to great tools that Hanselman has skipped over. Unless you have admin access at work, you will most likely need to lobby your Chief Architect to get some of these tools approved. Or, if you have a TechArch committee, be prepared to abandon all hope. ©2011 Marc Adler -

I am going to be in Sao Paolo for Two Weeks

2011-11-29T12:22:00.000-05:00

The market in Brazil seems to be exploding, and I am going to be in Sao Paolo from December 4 to December 16 to kick off work for a major new client. If there are any Brazilian (or ex-pats living in Brazil) that might be interested in a coffee, please feel free to contact me. ©2011 Marc Adler - All Rights Reserved. All opinions here are personal, and have no relation to my employer.

HFT Trading Company Fined $850K

2011-11-26T07:49:00.001-05:00

(Thanks to John Bates for the pointer) According to this article, Infinium Capital Management was fined $850,000 for three separate incidents related to High Frequency Trading. It seems that they lost control of their algos at various times over the past 2 years. I was thinking about this article in relation to a friend of mine who was interviewing at various HFT firms over the past few months

There seems to be a shortage of .NET Developers

2011-11-18T14:23:00.000-05:00

http://techcrunch.com/2011/10/04/tech-job-site-dice-reports-shortage-of-net-developers/ As an aside, my company is looking for a few great .NET developers who can work at one of our hedge fund clients, so if you are really good and you are available, let me know. The skills required are WPF, WF, WCF, and Entity Framework. ©2011 Marc Adler - All Rights Reserved. All opinions here are personal,

Microsoft Droping Dryad and Concentrating on Hadoop

2011-11-16T20:44:00.000-05:00

Read about it here. From what I have seen from my new vantage point in the consulting world, there are a number of Wall Street companies who are making investments into the Hadoop infrastructure. Good move by Microsoft. ©2011 Marc Adler - All Rights Reserved. All opinions here are personal, and have no relation to my employer.

Time Series Foundation released by Microsoft Research

2011-11-09T06:20:00.000-05:00

Time Series Foundation Time Series Foundation (TSF) is an open, .NET platform for exploring and prototyping new algorithms in time series analysis and forecasting. TSF is based on state space model methodology that includes all types of exponential smoothing, some autoregressive algorithms, and innovative algorithms for event detection and

Caching for .NET Apps

2011-11-05T10:33:00.000-04:00

The goal ... find a simple distributed cache that can be used by a .NET enterprise app, supports the storage of large objects, and will result in no additional cost to the client. We don't care about cache notifications, and it's OK (but not desirable) to incur the cost of serialization from native .NET objects to XML strings. Memcached for Windows is here. I used the Linux version at Citadel

Installing RabbitMQ on Your PC

2011-11-04T16:27:00.004-04:00

For the past 7 years, I have been running an old copy of Tibco EMS on my laptop, and I've been using this whenever I need to do some prototyping and development of new message-based apps. But in these cost-conscious times, many of my clients are looking for low-cost solutions. So, time to seriously consider RabbitMQ. This is a quick guide that I wrote to get RabbitMQ up and running on a local PC

Siri in Capital Markets

2011-10-30T09:15:00.000-04:00

My wife has been having all sorts of fun with her new iPhone 4s, constantly testing the NLP capabilities of the Siri servers. If you ask Siri "What is 2 plus 2", she (yes, Siri is my new daughter!) won't speak the answer, but she will show you the appropriate page in Wolfram Alpha. I don't know if Siri will ever be used for trading. With any mobile platform, the main worries are connectivity and

One of the Best and Simplest Explanations of HFT

2011-10-27T05:32:00.000-04:00

Free Visualization Controls for Silverlight

2011-10-26T05:43:00.000-04:00

From the Microsoft Research site: Dynamic Data Display adds interactive visualization of dynamic data to your Silverlight application. The download contains a set of UI controls for creating line graphs, bubble charts, heat maps, and other complex 2-D plots. The heat map part looks most interesting. ©2011 Marc Adler - All Rights Reserved. All opinions here are personal, and have no

Interesting Topic at STAC Research Conference in New York on Nov 2nd

2011-10-25T18:09:00.000-04:00

I am not going to be in New York that day, but STAC has a few topics of interest at their upcoming conference on November 2nd. "Hadoop for Trading Firms: Beyond the Science Project," by Jack Norris, VP Marketing, MapR “Standard Technology Benchmarks for Market Risk Platforms,” by Lars Ericson, Director, Citi It's nice to see someone from Citi presenting :-) Wish they had more people from the

Windows 8 Registered I/O Networking Extensions

2011-10-24T19:33:00.001-04:00

From Len The Registered I/O Networking Extensions, RIO, is a new API that has been added to Winsock to support high-speed networking for increased networking performance with lower latency and jitter. These extensions are targeted primarily for server applications and use pre-registered data buffers and completion queues to increase performance. Is Microsoft moving towards the day where

Raptor - Real-Time Analytics on Hadoop

2011-10-18T07:46:00.000-04:00

I am starting to get interested in what Hadoop and "Big Data" can do for capital markets. This talk at the upcoming Hadoop World in NYC looks pretty interesting, especially the part about predictive trading. Raptor combines Hadoop & HBase with machine learning models for adaptive data segmentation, partitioning, bucketing, and filtering to enable ad-hoc queries and real-time analytics. Raptor

.NET Parallelism and a Worthy Cause

2011-10-13T07:50:00.002-04:00

A fascinating case study is available from Microsoft on how Massachusetts General Hospital (MGH) greatly reduced the time (and cost) to analyze the results from a colonoscopy. For men over 50, a colonoscopy is practically mandatory, and the process is somewhat disruptive and uncomfortable. The use of parallelism has reduced the analysis time by many orders of magnitude, and has made the concept

Git and Jenkins working

2011-08-29T12:08:00.000-04:00

This blog post helped me get running with Git and Jenkins: http://www.xairon.net/2011/03/jenkins-and-github-continuous-integration/ The key was finding the Plugins Management page within the local Jenkins monitoring page. So, my build environment is now set up, and consists of Eclipse Helios (IDE) Maven (Build and dependencies) Git (Source control) Jenkins (Continuous Integration) Next

Maven and m2Eclipse

2011-08-29T08:21:00.000-04:00

The continuing saga of the ".NET Guy" exploring the world of Java.... After doing some cleanup from Hurricane Irene (my 2 300-foot trees remained rock-steady during the storm), I sat down with my task for the day, and that was to get familiar with Maven. In order to shield myself from command-line arguments and XML configuration files, I downloaded a very wonderful called m2eclipse. This tools

Excursions Back into the World of Java

2011-08-28T07:00:00.005-04:00

I did some Java development when it first came out. Honest I did. I even taught Java classes in the late 1990's at Bellcore, which was a division of AT&T. I have managed teams that have Java-based systems. And, as part of the CEP system that I did, I had to go and write Java-based web services and deliver a Java API so that other groups could hook into the Notification Services. Despite that,

First Steps in WPF and Prism

2011-08-15T10:31:00.005-04:00

As I mentioned in my last posting, I want to spend a little time to better educate myself on WPF and Microsoft Prism. I see both of these being used more and more in Capital Markets applications, and I want to see if these two will truly allow me to build better applications faster. I spent the last few days on a little sprint to come up with a prototype of a "Quote Workbench" that I could

On WPF, Prism, Grids, and Wall Street

2011-08-14T06:44:00.001-04:00

I am taking this time off to try to learn some technology that I have been planning on learning, but have not had much time to dive into. Two of these technologies are WPF and Prism. For the past few years, I have been managing teams that have been using WPF and Prism, but when I have had to write GUIs myself, I have fallen back to the old comfort zone of Winforms. When I was Chief

New Blog - Bootstrapping a Low Latency Trading Firm

2011-08-08T13:30:00.002-04:00

http://veyronb.wordpress.com Is this the same blog that was created and quickly shut down last year? ©2011 Marc Adler - All Rights Reserved. All opinions here are personal, and have no relation to my employer.

I am Free to Blog Again

2011-08-04T04:24:00.000-04:00

Hello???? Is there anybody out there??? Does anyone still have my blog on their RSS reader? Yesterday was my last day at Citadel. As everyone knows, when you join a secretive company such as Citadel, you are not free to blog and disclose any inkling of what you were working on. This is what I agreed to when joining Citadel. Now that these constraints have been removed, I will hopefully be

A New Blog on the topic of HFT Development

2011-02-03T04:49:00.002-05:00

An Update from the Ether

2010-10-30T07:05:00.000-04:00

As the regular blog readers know, I am not able to update this blog as much as I would like to. But, I just wanted to let everyone (if there is anyone left) what I am up to. I am now in charge of an effort to develop a new multi-asset trading system for my company. It brings me into some new technologies which I have not been exposed to before, and will reunite me with some old ones that I

Is Oracle a Threat to Java

2010-08-13T10:47:00.000-04:00

Oracle sues Google over the use of Java. I really don't follow what is happening in the Java community. But, any IT woker on Wall Street knows that there are an awful lot of trading systems whose server-side processing is written in Java. Many of those system rely on open-source efforts that may eventually come under fire by Oracle. Will this also affect alternate Java VM implementations that

C++ programmers consider themselves superior to C# counterpar... on Twitpic

2010-08-08T08:22:00.001-04:00

Microsoft Drops Quadrant

2010-08-08T08:16:00.000-04:00

http://www.infoq.com/news/2010/08/quadrant-dropsI have been considering asking my team to start exploring Oslo and M in order to create a DSL for automated testing of all of our systems, including the entire workflow for our Equity Derivatives traders. But, Microsoft's (non) strategy around Oslo, M, and Quadrant has me looking elsewhere .... back to the old standbys of Yacc/Lex or Antlr.I

Kolibrifx Blog

2010-05-23T20:28:00.001-04:00

A New Blog to Read

2010-05-23T16:06:00.002-04:00

More on Consolidation in the CEP Industry (re: Opher)

2010-05-02T11:54:00.003-04:00

Opher Etzion mentioned my latest blog posting and my "return to blogland". I am happy that, after all of these months, some people are still reading this blog. It's difficult for me to watch all of the blogging from the sidelines, but as many of the readers here know, when I started my new job, I gave my word that I would reduce my blogging my 99%. And, since my daughter starts McGill University

$6M not enough for StreamBase

2010-04-29T19:56:00.002-04:00

Interesting post from Marco here.Sad to say, but Streambase is one of the last of the pure-play CEP vendors. What an incredible change that the CEP industry has seen in the past two years. I know of a well-known major company who needs to make a big decision about CEP in the next few months, and the playing field has been narrowed down to such as extent that I would have a difficult time choosing

A Few Notes on What I Am Up To

2010-03-06T08:41:00.002-05:00

I don't blog very much anymore. When I joined my new company, I agreed to cut down on the blogging, and I have been so incredibly busy that I would not have been able to blog even if given free rein.I run the desktop applications group at my new company. This means that I gather requirements from the various trading desks and built .NET-based apps for them. I run a team of 6 people now, and we

The Sybase / Aleri Announcement is out

2010-02-04T08:21:00.003-05:00

The announcement came out this morning. A very short press release.Don DeLoach (who was not mentioned in the press release) is leaving the company. As are others.My main question is where this will leave the legacy Aleri product. As we all know, Sybase RAP uses a copy of Coral8. And where does this leave the new "Ohio" product, which was the magical combination of Aleri and Coral8.I have a lot

Sybase/Aleri

2010-01-30T15:22:00.003-05:00

I am writing this a few days before the Sybase announcement that they purchased Aleri. I am absolutely stunned at the collective yawn that this news has produced. Nothing from Wall Street & Technology magazine. Nothing on the Streambase blog. Nothing from Tim Bass.I guess that the mere mention of CEP does not get anyone's pulse moving anymore.©2009 Marc Adler - All Rights Reserved.All opinions

Did Sybase Buy Aleri???

2010-01-28T13:35:00.001-05:00

Rumor today of this deal transpiring.In fact, I have heard that the announcement will come on Monday.©2010 Marc Adler - All Rights Reserved. All opinions here are personal, and have no relation to my employer.

A First Experiment with the RX Framework

2009-12-27T16:22:00.010-05:00

A first experiment with the RX framework. This generates 5 stock prices for 4 different stocks.using System;using System.Collections.Generic;using System.Linq; namespace RXStockGenerator{ class TestRX { public TestRX() { using (new StockPriceGenerator().Subscribe(q => Console.WriteLine("Quote: " + q))) { Console.WriteLine("Press any key to

LinkedIn Groups Created By Headhunters

2009-12-09T21:10:00.003-05:00

I have noticed that Headhunters who operate in a particular space in Capital Markets or have a job opening in a certain area will create LinkedIn groups for the sole purpose of identifying candidates. I never join groups that have been created by a headhunter unless they are personally recommended to me.For me, LinkedIn is becoming a bit like the Wild West, and its usefulness will be diluted by

Anything Happening in the World of CEP?

2009-11-22T09:15:00.001-05:00

Since starting my new job, I have not heard very much about the world of Complex Event Processing. Has the buzz disappeared?©2009 Marc Adler - All Rights Reserved. All opinions here are personal, and have no relation to my employer.

New York Word - Advertisement

2009-10-14T19:04:00.003-04:00

I was speaking to a very old friend and colleague from 1984, when I worked at Computer Associates. His start-up company, Scientia, was bought out by Sorcim, the makers of SuperCalc. In turn, Sorcim was gobbled up by CA.Out of curiosity, I Googled "Scientia", and I found out that Google has archived past issues of InfoWorld magazine.I came across this little ditty .....©2009 Marc Adler - All

Some Reading and Thoughts

2009-10-14T06:57:00.002-04:00

Smart Guys on Wall Street from the New York TimesRico Mariani looks back on his personal history of Visual Studio while working at Microsoft.Matt Davey is having some fun with StreamInsight (aka Orinoco). When I was at the Microsoft Design Review last January, I was jumping up and down about some of the interesting design decisions that the Orinoco team make concerning their adapter model.

Take a look at this Tibco/C# Consultant Solicitation

2009-09-29T20:27:00.010-04:00

This evening, I received the following message from a recruiter who must have me in his database:Hi Marc,C# Tibco contract, 40-60/hr, 12 months in NYC. Would you be interested in this?Thanks and have a nice evening,Mr. XXX YYYYManaging Partner(Contracting Company)Even though I am not in the market, I paused to consider this solicitation, and I found this rate to be somewhat insulting and way

Review of the Rock In Opposition Music Festival

2009-09-24T07:08:00.002-04:00

For those wondering what I am doing on my gardening leave, I am putting some effort into my other blog. Just returned from 5 days in Europe. Now I have to concentrate on reworking the lighting in my house.Thanks to all of the people who have written to me since I announced my resignation.Over the next few days, I actually might write a little blog post here on some of the lessons that were

Facebook Notifier

2009-09-13T10:02:00.007-04:00

OK, I've become hopelessly addicted to Facebook ... I admit it.Last night, with the rain pouring outside and the US Open tennis matches postponed, I decided to write something that I've wanted for a long time. An application that sits in the Windows System Tray and notifies me when I get a new Facebook notification. By "notification", I am referring to the red balloon with the number '4':By

Update on the Job Market

2009-09-10T12:50:00.002-04:00

(As I was in the middle of answering a question from someone during my hand-off, my Blackberry reset itself. When it came back on, I found my account terminated from the Citigroup Blackberry server. Oh well ... let them figure out the answers for themselves!)Some people have asked me what I think of the job market right now in Capital Markets IT.From my vantage point, the job market for good IT

Leaving Citi - Part 2

2009-09-10T06:55:00.004-04:00

I have been overwhelmed by the amount of good wishes and calls that I have received since I announced my resignation.I am in a period right now that is affectionately known as "Gardening Leave". In most companies, you give a two-week notice when you resign, and it is up to the management as to whether or not you serve out that full two weeks. In most companies on Wall Street (and especially in

Leaving Citigroup

2009-09-09T11:14:00.002-04:00

You may have noticed that this blog has been very quiet lately. The reason is because I have resigned from Citigroup (this is most likely the first and only time that I will mention my employer by name on this blog). I will be joining one of the premier names in Capital Markets, helping them bootstrap new businesses, build technology infrastructure, and building great teams.I am grateful for the

Gardening

2009-09-08T19:32:00.003-04:00

Orinoco vs Reactive Framework

2009-08-19T19:07:00.002-04:00

I have been doing a bit of playing around with the new Reactive Framework (Rx) lately. And, I like what I see so far.The first thing that came to mind was how the Orinoco team was going to resolve the fact that another LINQ-based streaming API was coming out of a "competitive" group in Microsoft.A little birdie has told me that recently, Microsoft merged several of the competitive division, and

New Magma Blog

2009-08-09T10:45:00.003-04:00

For those very few people who come here to read about Magma, the French Rock band ...I have just started a new blog just for Magma and Zeuhl music. Please come and visit, and remember to add the new blog to your blog reading software.©2009 Marc Adler - All Rights Reserved.All opinions here are personal, and have no relation to my employer.

Drools 5.0 for CEP

2009-08-07T14:50:00.003-04:00

The new 5.0 version of Drools seems to have CEP capabilities.Has anyone here tried it out yet? Do you think that it can handle about 10,000 events per second? Has anyone pumped market data through it?I am going to start reading up on Drools Fusion and see how it contrasts with the upcoming Microsoft Orinoco. Fusion is here right now. Orinoco .... well .... we'll see.©2009 Marc Adler - All Rights

High Frequency Trading

2009-07-29T03:46:00.002-04:00

I am sitting in my hotel lobby in Santiago de Compostelo, Spain, and trying to put in a half hour of laptop time while my wife and daughter are still sleeping. I am reading all of the hub-bub surrounding HFT and algo trading, all brought on by the arrest of the Goldman Sachs employee. This morning, Paul Wilmott has an editorial in the New York Times.What is going through my mind right now is the

New York Times HFT Article

2009-07-25T03:28:00.003-04:00

New York Times article and opinions on High Frequency Trading here. It also has a good explanation of what is called "gaming" in algo trading.(Sorry for the lack of posts ... I've been traveling in Europe for the past week and will return to New York in the first week in August).©2009 Marc Adler - All Rights Reserved.All opinions here are personal, and have no relation to my employer.

Nice Wall Street & Tech Article on Citi

2009-07-10T14:54:00.001-04:00

Goldman's "Stolen" Program Trading code

2009-07-06T21:05:00.006-04:00

(I am sitting here with a HP dv9700t laptop with two broken hinges, trying to cross my knees in such a way that the screen will be propped up in a way that I can see it. I am going to Spain for the last two weeks in July, so right before I go, I will send the laptop off for repair. I estimate the repair cost to be about $300. I cannot believe that HP makes a complete line of laptops whose hinges

SIFMA 2009

2009-06-24T22:05:00.004-04:00

Not much to write about SIFMA this year. I was warned by a friend that it was a ghost-town on the first day. I went to SIFMA on the second day, which is usually the most attended day, and unfortunately, my friend was correct.In 2008, SIFMA has 350 vendors, but this year, they had 201 vendors, which is a decrease of about 42%. The side corridors used to be jammed with small vendors, but they were

Cloud Computing

2009-06-24T21:56:00.004-04:00

Matt seems to have read my mind. I have just started a dive into Cloud Computing, and today, my questions to various CEP vendors were "Can I use you in the Cloud? Have you deployed to Amazon EC2 yet?"There are various reasons why, at this time, I feel that we should start looking at the Cloud. I will be posting more on this in the future. But, for apps that are not latency sensitive, and if we

Karen's Cancer is Gone

2009-06-14T12:34:00.002-04:00

DSLs for Trading using Microsoft Oslo

2009-06-12T07:50:00.004-04:00

Video on using Oslo and DSL's for testing trading systems.(Thanks to Terry for the link)I would love to explore using a DSL to have our traders register lightweight queries with our CEP system.Notable about this use case is their use of Microsoft's CCR.©2009 Marc Adler - All Rights Reserved.All opinions here are personal, and have no relation to my employer.

Some Small Ideas on Google Wave

2009-06-10T20:36:00.005-04:00

I went through the painful 1 hour and 20 minute bad-joke-athon that was the Google Wave video on YouTube. Nevertheless, I see some immediate things that I would love to deliver to our traders.The obvious thing would be the ability to drag and drop some of the interesting graphs that we produce from our real-time WPF-based dashboard onto a Wave, have the traders discuss the graphs in real-time,

Two New User Groups on LinkedIn

2009-05-31T09:01:00.002-04:00

I just created two new User Groups on LinkedIn.1) Microsoft Complex Event ProcessingThis is for discussions surrounding the new Microsoft CEP (aka Orinoco) product.2) AleriThis is for the newly combined CorAleri product. We can discuss the legacy Coral8 and Aleri products, and discuss the parts of the CorAleri roadmap that are not under NDA.If these groups interest you, please feel free to join.©

The First First Derivatives/KDB User's Group

2009-05-30T20:07:00.002-04:00

First Derivatives held it's first New York KDB User's Group meeting at LiquidNet in new York city on May 28th, 2009. About 100 people showed up, and it seemed that there was no more than one degree of separation between everyone in the room. Jacob Loveless did a great presentation on the things that he is doing at BGC/Cantor, and Dan Nugent showed a glimpse of a KDB unit testing framework.©2009

One Trader's Opinion about Algo Trading and CEP

2009-05-27T07:22:00.003-04:00

I was recently talking to a very technical algo trader from another company about CEP. I asked him why he did not use a product like Apama or Truviso for his algo trading needs. His reply was that it did not give him a competitive advantage if he used the same technology as other competitors used. He has the budget and the resources to build out a custom platform, one which he thought would give

A Brief Look at LINQ and Microsoft Orinoco

2009-05-25T07:43:00.005-04:00