Tuesday, February 08, 2011

High Frequency Trading World, Chicago

I've kindly been invited to talk at High Frequency Trading World, Chicago on June 27-29th 2011.

I suggested the following three talks. The real-time risk management one was chosen as the host thought this would be of great interest to traders. I've implemented this for real and gave a talk on Infosec Data Analytics and Visualisation which was well received so I thought I'd extend it to transactional logging. The basic idea came from work I did with Ian on triple entry accounting [sic] and "Notelets".

Real-time risk management and regulatory compliance
  • persisting transactions to the cloud
  • non-repudiation, risk management and distributed regulation using "triple entry" transactional logging
  • Market analytics using Hadoop
The next idea is more pioneering. Looking at new approaches to exchange technology and innovative delivery mechanisms.

Next Generation Exchange Technology
  • The transition to non-computational infra
  • Neat tricks with FPGA, DSP and memristors
  • Making the real virtual - multicast in software
  • Affordable networks: VPLS, QoS and IGMP snooping
And finally the day job.

Trading Engine Technology
  • Lockless design: avoiding data races
  • Shared memory techniques, superpages and reflective memory,
  • RSS, recvmsg() and kernel bypass for fast data acquisition
  • Real-time Linux, thread prioritisation techniques.
  • Tuning systems for HPC
  • Cheap, high accuracy time using PTP

1 comment:

Jason said...

Hi friends,

High Frequency Trading World Chicago focuses on innovation, technology and strategy for the global trading community. Take advantage of executive panels on the big issues facing the HFT community. Thanks a lot...

Hedging Strategies