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