Category Archives: Trading

The Trading Show Presentations

Here is an interesting set of presentations from The Trading Show. Checkout the first presentation from Blair Hull. For those who don’t know he founded a little firm called Hull Trading.

http://www.terrapinn.com/2013/trading-show-chicago/presentations.stm

FPGAs and High Frequency Trading

If you are looking for a brief overview of the use FPGAs in High Frequency Trading check out this. Cover the motivation for using FPGAs and the infrastructure needed to support a strategy.

Talk on High Frequency Trading

James Thomas from Headlands Technologies did an interview on a podcast earlier this year. If you involved in or follow the HFT industry it will be of limited interest but if you are tech savvy and want to listen to an industry insider talk about it then this is interesting. Ironically Headlands has an office located just a few blocks from our offices in San Francisco.

Paper on using OCaml for Trading

If you have not read the excellent paper by Yaron Minsky and Stephen Weeks titled Caml trading – experiences with functional programming on Wall Street I suggest you read it. It covers why Janes Street picked OCaml as the primary language they use. Many reasons related to safety of code.

Many of the same reasons drove Alpha Heavy Industries to pick Haskell as the primary development platform. I will publish in the future what I see as some of the short comings of the platform.

Bloomberg Open Symbology

At Alpha Heavy Industries we are using Bloomberg Open Symbology(BSYM) in all our internal tools. As BSYM is in the public domain we are making a versioned history of BSYM available in a git repo. These files will be updated daily. Please feel free to use them in your own projects.

Cloud Computing

Cloud Computing has got to be the most over used term today. As an abstract term it serves a useful purpose for marketers who understand that many cloud computing will mean to the audience whatever the audience wants it to mean. For me cloud computing means platforms like Amazon Web Services (AWS) and Azure which at their core offer compute and storage services in a remote data center. If you don’t have EC2 and S3 like services I don’t consider your offering to be a cloud. Note I don’t particularly care that iCloud does not fit this definition as it is a consumer service. I will be discussing Cloud from the perspective of a developer and from the business who prefers not to own physical infrastructure.

Last week saw NYSE announce its Cloud. The release as with many “Enterprise” software press releases is short on details. It will probably mean that NYSE will host more back office applications in its data centers. It seems to be the rage today to call SaaS a Cloud in finance. See this about a back office application being hosted remotely and called a Cloud.

What would be cool would be infrastructure for frontend strategy development. That should look something like Amazon’s EC2 and S3 with NYSE providing readily available data sets such as SuperFeed historical and realtime data, low latency connections to the exchange data center, a large compute farm with every machine having a Tesla card and API’s for accessing other pieces of NYSE’s infrastructure.

I am going to continue to use AWS. At least one company is building a finance focused platform on AWS although the approach I am taking relies on capabilities that are unlikely to be built into a commercially available platform. AWS has GPU compute instances which give it a decisive advantage over competitors such as Azure for building financial/trading applications.