Developers, Developers, Developers?

If I could summarise, in one word, the general trend in Investment Banking IT over the last 8 years I'd say it's been one of mediocrity. However, thanks to the demands of High Frequency Finance, the tide is turning back towards hiring talented programmers capable of working closely with the business to craft high performance, high quality solutions that deliver real competitive edge. It's beginning to feel like the old days, when the focus was on technical excellence and delivery.

This sorry state has come about by the ingress of consultancy-led management (ie writing endless documents not code) and reinforced by HR policies such as "segmentation" where the aim of the bank is to hire average programmers at average salaries - indefensible. I'd rather pay top dollar for a girl/guy who can get the job done in a 10th of the time and cost.

I'm sure we've all seen the infamous "Developers, developers, developers" video - quite bizarre. I beg to differ, in Investment Banking (IB) I'd say it's "Traders, traders, traders" - at the end of the day - the business pays the wages...

I remember my first interview with a scary looking, fast talking New Yorker who ranted for half an hour about "only hiring the best in the world" - gulp I thought. All of a sudden he stopped and said - over to you. I told him - hey look - I'm not the best in the world - but I've done x, y and z etc - he said - right - you're hired on the spot. It was a big shock, I turned up first day in a new suit, so nervous that I forgot to cut the tags off. I was working with 40 quants (mathematicians/physicists mostly), working on fixed income stuff that was way over my head at the time. And so began my career delivering production quality solutions. Some good advice given to me when I first darkened the doors of a prestige tier 1 IB in 1996:

- No one will tell you what to do here - it's up to you to make your own role.
- IB is all about making money - not about elegant, cost-efficient architectures.

Today, however, the attitude of some developers in beggars belief. I was talking a guy a little while back who said "I don't care if a trade takes half a second or a second to route - I like programming in language X on platform P - it has a nice environment and is very productive". Sure it's nice and quick, how stable is the platform though? What about scalability? What's the clock resolution of the platform? How fast can it handle low-latency high performance streaming messages?

High Frequency Finance demands high performance data, calculations and messaging combined with a stable platform which scales well. Some platforms just aren't up to the job - caveat architectos.

To illustrate, I was flying to the States last week and enjoying the in-flight movies. The interface was perfunctory and seemed to do the job. I paused the movie a couple of times and noticed that the screen froze as expected but when I resumed it had been playing in the background all along. I then tried to rewind - and that didn't work either. Now lying to users is not good - not good at all. Then someone complained that their movie had "crashed" - so the steward decided to "restart the system". As soon as the first selection screen came back up - the whole plane pressed the movie button - boom! The system had to be restarted again, and again, and again. I never did see the end of the film. So you think I'm going to use this platform to build a trading system? Perhaps not...

Beer in the Evening - Intel Fastercity Event

Intel are hosting a freebie beer in the evening event. Looks like it will be fun - I plan to attend.

Nigel Woodward of Intel writes:

A quick reminder about the FasterCity community event featuring: industry panel, discussion and Chief Wine Officer™ reception on the 2^nd of July 2007, registrations begin at 5pm after which the conference is set to commence at 5.30pm – the venue is Savoy Place WC2R 0BL.

The many bottles of excellent fine wine are waiting to be tasted, and the chef has prepared a canapé menu specifically to complement the wine. Peter McCombie will host the event (www.petermccombie.com) and you will hopefully leave entertained, educated and possibly with a prize or award.

I look forward to meeting you on the night.

Nigel Woodward

Head of Financial Services

Intel Corporation

Dir: 020 7614 8600

Web:www.intelfasterfs.com/fastertrading

LSE Electronic Trading

The Wall Street Journal Europe is reporting that the LSE has unveiled a new electronic trading system that will allow a trade to be booked and confirmed within 10ms, 130ms faster than previously.

The London Stock Exchange on Monday unveiled a new electronic-trading platform, TradElect, which promises to trade a share in 10 milliseconds -- 30 times faster than the blink of an eye and a speed that could help decide the fate of Europe's biggest exchange by market capitalisation of its listed companies.

The system cuts the time from placing an order to final confirmation to an average of 10 milliseconds from 140 milliseconds. It can handle 3,000 orders a second, up from 600 under the LSE's old system, known as SETS, a number the LSE said it has approached on several occasions in recent months.

By comparison, it takes 110 milliseconds for a trade to make its way through the main trading platform of NYSE Euronext's New York Stock Exchange. The Big Board intends to cut that to 10 milliseconds.

Another way of putting this is that someone can make 11 trades on the LSE while you are waiting for your NYSE transaction to complete.

How much XML can you process in 10ms?

Mining Massive Data Sets for Security

Semiophore points me to the forthcoming two week workshop on the above to be held in mid-September 2007 in Italy.

"It is the purpose of this workshop to review the various technologies available (data mining algorithms, social networks, crawling and indexing, text-mining, search engines, data streams) in the context of very large data sets."

I'd love to attend as this is an area I think is crucial for High Frequency Finance. Whilst working on a high performance trade order router for a tier 1, I did some research which I was allowed to present publicly at the Fiteclub, a forum which meets occasionally in London. I presented two papers of note - Financial Data Infrastructure with HDF5 which concentrated on high performance data delivery and analysis. In this presentation I proposed a machine which could be built for around $25K that could eat 20TB of data in 90 minutes - using COTS components. This was inspired by the seminal article on disk technology amusingly entitled "You don't know jack about disks" published by the ACM.

The second presentation, also at Fiteclub, was entitled Open Source Intelligence in Finance and was inspired by the techniques used in open source intelligence applied to finance. Here I build the case for news analysis applied to program trading.

Functional Programming Beer In The Evening Event Redux

Following our last meet up last week to speak about Functional Programming in the Finance. I'm setting up another beer around Smithfield in London, 14th June 2007, with Dominic Steinitz who has made considerable contribution Functional Programming via his Haskell crypto library and paper on Trends in Functional Programming. We'll be talking about Haskell in particular but also about Erlang and its use in service based analytics.

Following our last meet, Someone sent me a link to a pdf entitled Caml Trader: Adventures of a Functional Programmer on Wall Street by Yaron Minsky of Jane Street Capital which confirms the rise of FP in finance. Worth a read.

So if you fancy joining us, we'll be in the Long Lane Pub in Long Lane near Smithfield from 6pm onwards. Drop me a note (rgb at enhyper.com) or call my mobile +44 791 505 5 three eight zero.