Tag Archives: solutions

Barclays HFT uses with vendor panel including Solarflare and Corvil video: Decent Open source solutions?

Barclays HFT uses with vendor panel including Solarflare and Corvil video: Decent Open source solutions?

Here is another video on viewpoints on the important balance of network monitoring in an HFT environment

Open source solutions (looking for input or comments on this)

http://www.infoworld.com/article/2683857/network-monitoring/article.html

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Congrats to CME, the more you pay the faster the data you get with their HFT solutions

Congrats  to CME, the more you pay the faster the data you get with their HFT solutions

Here was a Tweet that was rather interesting

JoeSaluzzi8:38pm via Twitter Web Client

CME Group Connectivity Options chart:cmegroup.com/globex/files/c… the more you pay, the faster you get the data

http://www.cmegroup.com/globex/files/connectivityoptions.pdf

Thanks to this person

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Rigged markets because of HFT the problems and potential solutions

Rigged markets because of HFT the problems and potential solutions
From Jeff Solomon on Bloomberg TV
Sorry about the cummy typing as typed in a rush:
HFT and speed trumps price discovery. Inequity who gets the market feed.
More efficient markets today and faster. Small cap market require wider big spread and slower market.
Feeds are faster so run get stock before regular execution for normal.
Need wider increment for market depth for fundamental with real price discovery (buy and sell opp). Used to have it.
SEC needs pilot for wider increment in 5 cent increments. Need discrement for better price discovery.. Queue. Too many increments. Killing small cap companies but volume moved to larger cap for liquidity.
Small cap is 2% of volume for companies less than $750M.
Less market balance today so small caps getting killed.
IEX could be the crusaders from Mike Lewis. They are trusted. He said they are interesting service.
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Cannot afford expensive Matlab or Simulink? Open source solutions like Octave, Scilab, Scicos Python, or R

Cannot afford expensive Matlab or Simulink? Open source solutions like Octave, Scilab, Scicos Python, or R

 

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Here are some Matlab clones but don’t ask me on Matlab compatibility because I don’t know

 

http://ubuntuforums.org/showthread.php?t=1104917

http://www.scicos.org/downloads.html

R and Python would be better options if you don’t need a Matlab clone.

As for R, meh. It can do the job but I played with it for 6 months. Python looks better now and is even as fast as Matlab with even giving C/C++ a run for its money. I have not played with Python but I will be watching it in coming months for general scripting.

 

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Now looking at various COMMERCIAL vendors for lowest latency HFT solutions for both software and/or hardware based FPGA

Now looking at various COMMERCIAL vendors for lowest latency HFT solutions for both software and/or hardware based FPGA

My how things radically change on one phone. All I can say is I am investigating 3rd party HFT hardware and/or solutions for expediting the platform development. Geez, who would have thought.

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Decent over of commercial vendors who provide high frequency trading aks HFT solutions

Decent over of commercial vendors who provide high frequency trading aks HFT solutions

I would not venture into these as options as I am sure these are very expensive options. HFT is not for the cheap asses out there but you can still build open source software solutions that could get you close but nowhere at these vendors promise.

http://www.iss-mag.com/tech-innovation/study-provides-quick-analysis-of-market-data-fe\

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Are any decent articles on planning those popular big infrastructure solutions?

Are any decent articles on planning those popular big infrastructure solutions?

==

Yes, here is one of the most downloaded and referenced technical documents, “Cost to Serve Architectural Design” http://goo.gl/I6BZe

It includes best practices topics such as:

…layered, separation of concerns approach
…leverage existing investments in staff and system
…integration of result sets with existing reporting tools
…managing data proliferation
…role of ETL
…source systems stability
…importance of agnostic data structures

Currently under revision, you will be notified when the revised document is complete. This will include:

…identification and calculation of payback opportunities at pilot and institutionalization
…improved graphics detailing the agnostic data structure
…tactical, strategic and ancillary/spin-off benefits
…importance of mining your transactional systems first, to ready for big data

 

==

Yes, I have a paper which demonstrates how to more than double the compute power in the data center. Email me for my paper ron_cnxt @ yahoo.com Also, I plan to have models for my designs available.

 

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Seeking quant development solutions for replay & back-testing on large sets of captured full depth market data

Seeking quant development solutions for replay & back-testing on large sets of captured full depth market data

Seeking solutions for replay & back-testing on large sets of captured full depth market dataMy firm is looking to upgrade our proprietary trading strats/systems from using top-of-book only data to instead using full depth of book market data in the hopes it will help us make more informed trading and order sizing/routing decisions and are interested in hearing other people’s experiences making such a transition, and in particular what solutions are out there for replaying full depth data in our research and backtesting environment. We have been capturing the depth data from all “lit” N.American Equity Exchanges for over a year and now have over 5TB of it captured in binary format. Ideally we would like to be able to utilized our existing captured data and replay it on demand in an efficient way without having to put much time/resources towards developing our own system to do so. What sorts of solutions are others using to do this? Interested in both hardware and software aspects, with a priority towards the depth data replay/backtesting capabilites, however if the system(s) can also be used in low latency realtime production environment, and/or have reporting or CEP capabilities that can aid in R&D, that certainly doesn’t hurt.
==-Have you looked at OneTick? My company produces SSD based hardware to act as either the application engine for these types of applications, or we can also configure as iSCSI storage for another server and provide over 3GB/s bandwidth and up to 600,000 IOPS from a single 2u box at under 500Watts. 10TB of SSD storage per system. Let me know if you would like more data or check out our url @ —
For speed and CEP, You might have a look on these ones : -StreamBase -TimesTen -kdb+ -Sybase ASE -Gemstone, Vhayu (mentioned too but We never tried these two last) You might need a bit of TIME to assess ,choose and setup the whole thing

 

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IBM Big Data” Scores Top Marks in the just released Q1 2012 Forrester Wave Enterprise Hadoop Solutions report

IBM Big Data” Scores Top Marks in the just released Q1 2012 Forrester Wave Enterprise Hadoop Solutions report

Check out the latest IBM Big Data blog:
http://www.smartercomputingblog.com/2012/02/03/big-recognition-for-ibm-big-data/

According to the just released Q1 2012 Forrester Wave™ Enterprise Hadoop Solutions report: “IBM has the deepest Hadoop platform and application portfolio.”

Speaks to the completeness and strength of the IBM portfolio to be able to address all types of big data problems.

 

Just goes to show you what money can buy 😉

 

 

-=-

They certainly have invested deeply in the technology and have big enough list of clients to create some of the most impressive business use cases for leveraging it.
BigInsights is also a pretty good package for those who want to get going fast with hadoop rather than get tied up with the details of installation and configurations. it includes hive, hbase, etc… What I would be interested in seeing is: how big of enhancements will they give back to the open source community…same as they’re doing with Java, eclips, and others.

 

==

Just downloaded that report, boy those are some seriously cooked numbers.

37.5% of the score comes down to a single category, “Strategic Direction” which is not actually defined anywhere in the analysis.

Come on Forrester, you guys are normally better then that, you should be embarrassed.

 

==
From what I can see, some of IBM’s largest clients are not turning to IBM for their ‘Big Data’ solutions.

Like I said, it just goes to show you want money can buy. Oh, I’m sorry, you thought I was talking about the high price of IBM’s consulting and software? My bad. 😉
(I kid, I kid. 😉

 

==

it has also been pointed out that Amazon scored a 5/5 for professional services, which is quite a feat given they don’t actually have any.

 

 

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Big data market survey: Hadoop Solutions for quant development

Big data market survey: Hadoop Solutions for quant development

radar.oreilly.com

In this survey, Edd Dumbill explores the Hadoop-based big data solutions available on the market, contrasts the approaches of EMC Greenplum, IBM, Microsoft and Oracle and provides an overview of Hadoop dstributions.

http://radar.oreilly.com/2012/01/big-data-ecosystem.html

Probably the first comprehensive list that gets most of the community right. I’m sure that some of the vendors will find gaps in the information and will want to add their own opinions and update the information.

 

 

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