Trading Floor

I am straddling two positions at the moment. I am still at my current position as SVP of Equity Derivatives at my company, but I am also doing a slow transition to the Derivatives Analytics desk on the business side. So, for the latter role, I have been sitting on the massive Equities trading floor at my company.

The contract in the physical difference in the two roles is stark. In my position in Architecture, I sit in a big office in an old Lucent campus in the middle of North/Central New Jersey, about 35 miles from Allentown, Pa. The place is almost like a morgue ... I could go there, sit in my office, and not see anyone for an entire day.

On the other hand, the trading floor is located in the middle of very hip Tribeca. This is not your father's Tribeca. You have 20 gourmet restaurants within two blocks of my office. You can look out the 20-foot windows that overlook the Hudson River and see the Statue of Liberty. You can see pretty girls walking across the floor all day long.

When I am sitting at the Derivatives Analytics quant desk, there is the amazing energy that accompanies a trading floor. I was lucky enough to be on the floor for these last two trading days, where the Dow dropped 500 points. There was cheering, shouting, tension, madness. It reminded me of the old days, when I started out on Wall Street as a consultant for Goldman Sachs, and then went to consult for Drexel Burnham. In those days, we developing the first cut of Windows-based trading workstations, so we would always get traders who looked over our shoulders, commenting on our work.

It has been no secret that I am fascinated with the quant world. I am sitting with truly brilliant people who talk a different language that I barely understand. Even though the quants at my desk are 50% Russian, they talk in English, throwing around terms like Kurtosis and Skew Risk, terms which have me madly scrambling to Google. Terms which may me wish that I had not shown up drunk to Statistics 101 class every day in college!

It is interesting to have these quants coming up to me, apologizing for their code. Maybe I can teach them a little bit about software and architecture, and they can teach me how to Delta Hedge my portfolios!

©2007 Marc Adler - All Rights Reserved

Next Gen Heatmaps of the Markets?

The next generation of heatmaps?

http://www.ted.com/index.php/talks/view/id/129

Can we also employ tactile feedback using Microsoft Surface? So we can FEEL the market? Make the hot areas really generate heat?

©2007 Marc Adler - All Rights Reserved

The Flavor of the Month is Acropolis

Now, after touting CAB for a few months, Microsoft has announced Acropolis.

A few months ago, the Microsoft DPE team came to me and tried to dissuade us from developing our .NET client framework in favor of using CAB. However, during those conversations, the word Acropolis came up a few times.

Now that Microsoft is touting Acropolis, what has become of CAB? Will this now be an officially supported framework (remember ObjectSpaces?). What about all of the financial service developers that committed to CAB? And, now you have some Microsoft people telling us that CAB was never officially supported by Microsoft, that it was developed by a small group of independent developers in some far off country that nobody ever heard of!

One thing about developing your own framework and making it a standard in the company is that it won't turn into a flavor-of-the-month entry. Goldman lead the way with OCEAN. Wachovia has OneSource, and Morgan Stanley has FidSharp and Concord. And we have ours. And, our companies tell our developers that they should use it.

No doubt that Acropolis will be "better" than CAB, and will have learned lessons and anti-patterns from CAB usage. Only, what will Microsoft come out with in another 6 months?

©2007 Marc Adler - All Rights Reserved

Short Sell Any Time

(Thanks to Wall Street Folly)

The SEC voted unanimously on Wednesday to finally get rid of the pesky and ridiculously outdated tick test. The tick test only allows short sales when the last sale price is higher than the previous price. That means a trader cannot short a stock if the movement prior to the short sale is down

Wonder what this means for all of the models out there? (I mean HFT and Algo models, not Giselle Bunchen-type models... but, I am sure that Heidi Klum is overjoyed too!)


©2007 Marc Adler - All Rights Reserved

Fun with Patents in Financial Services

It's great fun to browse the United States Patent Office to see what your colleagues have come up with in the financial industry. It's even more fun to see who has patented what. In the search page, type your favorite company into the "Assignee" field. Even though you and I can create a great technology, and we *may* be able to be listed as the Inventor, we usually have to Assign the work to the company we work for.

Just take a look at one of the patents. It's from Goldman Sachs. Andy Smith is the creator of Goldman's .NET client framework, OCEAN. In that respect, we are counterparts.

It's also fun to se who was credited as the Inventors of a technology. For example, some Merrill Lynch patents list (the late) Don Trojan and Ed Keenan as the Inventors. I know for a fact that Don and Ed were managers at Merrill, and in my opinion, probably never got anywhere near the technology. (Ed was my wife's first boss at ML, and was a pure manager. Don was my wife's boss at Drexel Burnham Lambert.)

If you want to see the diagrams that are associated with the patent, then click on the Images link. However, you need to download a TIF viewer for your web browser before you can view the images.

As I write this, let's see if some of our favorite characters have patented anything....

John Powers of Digipede : Nothing.... But don't look at this and this.

Geva Perry of GigaSpaces : Nada .... (Maybe they have patents in Israel?) But let's try one of GigaSpaces' competitors, Gemstone. Well, lookee here and here. And here.

You guys should learn the lessons of old Xerox, and make a beeline to your favorite patent attorney! Patents are some of your greatest assets.

©2007 Marc Adler - All Rights Reserved

Google Spam

I have been fairly sparse on this blog lately. I have been incredibly busy at work. But, the main reason is that Google had mistakenly tagged my blog as a spam blog.

Everything is back to normal now.

©2007 Marc Adler - All Rights Reserved

Favorite new blog

http://enhyper.blogspot.com/

A lot of good stuff on implementing HPC within financial services firms.

The author of the blog just took a job with 29West in London, the makers of LBM (Wombat is a big user of LBM). He regularly hosts drinking sessions in London with interesting guest speakers.

(Since I showed Terry the blog, he has already found more reasons to stay late at work. Sorry, mate!)

©2007 Marc Adler - All Rights Reserved

Object Caches for .NET

Reminder to self ---

Now that Tangasol, Gigaspaces and Gemstone have native .NET APIs for their caches, I need to re-evaluate the three. The advantages of distributed object caching is being picked up by some other groups in my company.

©2007 Marc Adler - All Rights Reserved

Heatmaps

I decided to integrate the Treemap control (ie: Heatmap) from Microsoft Research into my .NET client-side framework that my company now uses. As a demo, I emulated the heatmap found on the Smart Money site. The free Microsoft heatmap was fairly easy to develop for, and in almost no time, I had real-time trades streaming from KDB+ into the framework, with the trade data displayed in the heatmap.

Given what we have, it may be more difficult to rationalize paying that big yearly license fee to Panopticon.

The Bubble Chart control is worthwhile too.


©2007 Marc Adler - All Rights Reserved

WPF and Vol Surface Editors

Microsoft came in the other day and showed some Silverlight and WPF demos. Infusion Development wrote a demo of a vol surface viewer (not an editor). According to the guys from MSFT, you can actually embed the WPF control within a .NET 2.0 Winforms app.

Our main col surface editor was written upteen years ago, using Open GL. It would be interesting to see how a WPF vol surface/curve editor would compare, especially when the CPU is busy handlign feeds and calculating greeks.


©2007 Marc Adler - All Rights Reserved

Anyone going to SIA?

I will be at the SIA convention on Tuesday, June 19. Big Microsoft/Intel party afterwards.

Anyone going?

©2007 Marc Adler - All Rights Reserved

Looking at ACE

Looking at high-performance frameworks for writing distributed systems, especially for high-frequency trading. ACE has been on the radar screen for a while.

http://www.cs.wustl.edu/~schmidt/ACE.html

I also found out that Bloomberg is using it in their PhatPipe product.

©2007 Marc Adler - All Rights Reserved

Performance Architect Wanted

Haven't posted in a while ... I have been super busy. My .NET client-side framework is taking off in a big way. I am off architecting other interesting things that bring me in touch with messaging acceleration, KDB+, visualizations, and more.

My new intern starts on Tuesday. Every year, we get a bunch of interns from the top universities who have just completed their Masters or PHD in comp sci or physics. Mine will be devoted to expanding and maintaining my framework, but he has a lot of interests in hardware accel too.

Ted, our performance architect, has left the firm for a great new job at AB. So, we are looking for a great performance architect to work in Warren, New Jersey. Let me know if you are interested.

©2007 Marc Adler - All Rights Reserved

Somasegar, who I gather is the head of the Visual Studio product line, blogs that Microsoft will be giving full support to multicore processing in their dev tools.

When I was out in Seattle a few weeks ago, I met with the Microsoft Accelerator team about the future of their technology. Also their stuff is wed to GPU's right now, the Accelerator team claims that it can be used as an abstraction for multicore systems. The guys from the Accelerator team also predict that the world will eventually be moving to massively multi-core machines (ie: Intel's 80 core processor)

Word is that both Credit Suisse and Goldman have teams devoted to exploring FPGA technology. The problem with FPGA is the amount of effort that goes into porting code, and the entire develop/build/debug cycle is very slow.

It will be nice to get first-class support from Microsoft as far as development tools go.

©2007 Marc Adler - All Rights Reserved

CASTrader Blog

Came upon this while following blog links:

http://www.castrader.com

(Chris, you probably know about this one already...)


©2007 Marc Adler - All Rights Reserved

Any impressions of the Microsoft FinDev Conference?

I was on vacation with the family this past week, hiking in Moab (Utah), Ouray (Colorado) and the Great Sand Dunes (Alamosa, Co). Therefore, I sadly missed the Microsoft Financial Developer's Conference.

Anyone care to leave their impressions of the conference?

©2007 Marc Adler - All Rights Reserved

Airplane Boarding and Messaging

Interesting discussion on Marc Jacobs' blog on the airplane boarding process and some parallels to distributed programming. Also, one of the commenters on the blog gave this link:

http://www.math.duke.edu/news/awards/MCM2007lmw.pdf

At the airport, I always fantasize myself with a Jedi light sabre in hand, lopping off the heads of those people who block the aisles for ten minutes, trying to shove some ridiculously-sized carry-on into the overhead bin.

Of course, my solution is to equip everyone with their own private jets, ala The Jetsons. However, the New York Times threw cold water on this idea.


©2007 Marc Adler - All Rights Reserved

The Boss and Blogging

©2007 Marc Adler - All Rights Reserved

KDB+ Architect Needed

I need a KDB+ architect to work in my group. Please email me at magmasystems at yahoo dot com if yiu are interested.

©2007 Marc Adler - All Rights Reserved

Finetix and Sungard - It's Official

As pointed out by Matt:
http://biz.yahoo.com/bw/070425/20070425005824.html?.v=1

Funny thing that no comments from the owners of the acquired company was made in the press release, going against the tradition of each party stroking eachother's backs.

This acquisition harkens back to the 2001 buyout of PriceWaterhouse Consulting (PWC) by IBM Business Consulting Services (BCS). The consultants of PWC were paid about 40% more than the equivalent consultants at BCS. Immediately, many of the PWC consultants experienced "downwards salary adjustments". For several years after that, the BCS consultants got no merit increases, nor did they get anything that resembled a bonus. Many of the best PWC consultants left.

I know for a fact that SunGard does not pay the same excellent salaries that Finetix paid. (I have been contacted many times by recruiters for product and project management positions at Sungard, and the total comp was about 2/3 of the Finetix comp.... maybe the technical consulting positions pay better?) It will be an interesting next few years for the Finetix employees that decided to stay with the new SunGard organization. I know that, when I was hiring for Finetix, I received resumes from a number of people who were employed by SunGard. I cannot help but see how this cycle will not repeat itself.

Best of luck to all of my old colleagues from Finetix! You know where to reach me. My group has a number of openings.....

©2007 Marc Adler - All Rights Reserved