Fat fingers on the ASX July 30, 2008
Posted by James Webster in : finance , 2 comments
A ‘fat finger error’ occurred at the ASX on Wednesday. A broker submitted sell orders for QBE within a range of 0.1-0.2c per share, when the prevailing market price was in fact $22.85. This was an error of several orders of magnitude. Needless to say, day traders and other market participants jumped on the opportunity immediately. Fortunately the ASX quickly recognised the error, suspended trading in the shares and cancelled the original and all subsequent trades.
As I am currently reading Michael Simmon’s Securities Operations, which whilst primarily focusing on post-trade reconciliation and settlement, has been reinforcing to me the need for validation at all steps of the process. I am also starting to work in the area of trade capture at the moment. So I’m wondering why more trade ticket entry screens don’t perform simple validations to prevent errors of this sort, given that this does seem to happen somewhat regularly. I may be wrong but even in a crashing market would you really want an order to sell at less than 1% of the current market price without your screen quickly asking you to confirm? If this QBE trade was issued as an agency order at the broker’s discretion it also raises issues of best execution standards; it would be quite an embarrassing conversation to have with your client about the quality of your service and why they should continue to keep it.
I know I have some friends and former colleagues now working at trading systems vendors, if they are reading perhaps they can shed some light on the issue?
Scotland Yard July 14, 2008
Posted by James Webster in : gadgets , add a commentI have many childhoold family memories sitting around the dining table playing board games. Some of the games we played more frequently were classics like Trivial Pursuit and Monopoly but also less well-known games like Rum Rebellion and Scotland Yard.
With Friday’s release of the iPhone 3G with integrated GPS the big question is whether this heralds the moment that location-based services (LBS) take off or whether they will be consigned to be a plaything of the digerati.
One of the aspects of LBS that haven’t been explored in great depth so far are location-based games. So I wonder if a GPS and Google Maps enabled version of Scotland Yard, played in London itself, would actually be enjoyed by anyone, other than perhaps the LARPing community? Traveling on London’s public transport network is frequently an exercise in frustration so running around town trying to track down someone playing the role of Mr. X might not be that much fun. It could be an interesting one-off event in conjunction with something like the London Festival of Architecture however.
Apparently a group of students in Germany, the home of the game’s publishers Ravensburger Spiele, have already had a go at implementing a GPS-enabled Scotland Yard.
Everything old is new again July 10, 2008
Posted by James Webster in : development , 3 commentsBack in the day, I worked at a startup whose mission was to build a multi-application smartcard lifecycle management system. One of the things I remember a colleague (hey Jelte!) developing was an ASN.1 encoder/decoder which was necessary for exchanging data with EMV smartcard applications. Around about this time XML/XSD was also foisted on the world - which you could possibly claim is a bloated text version of ASN.1 (which some would also claim is a bloated and vague specification itself).
So it was interesting to see that Google have open-sourced their Protocol Buffers project:
Protocol buffers are a flexible, efficient, automated mechanism for serializing structured data – think XML, but smaller, faster, and simpler.
In other words, their interpretation of an interoperable efficient binary encoding scheme but without the complexity of its forebears (ie. ASN.1 and Corba IDL).
At the moment there are only bindings to C++, Java and Python but I expect a .Net version to appear from the OSS community sooner or later.
Some thoughts/random ideas:
- Would a set of .proto files for describing standard FIX messages be possible/useful? Is the binary encoding of Protocol Buffers more efficient than FIX’s encoding (important to minimise the bandwidth required by streaming market data etc.)
- Could this plug into WCF easily?