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Everything old is new again July 10, 2008

Posted by James Webster in : development , 3 comments

Back 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:

Excel, multi-monitors and quant finance April 29, 2008

Posted by James Webster in : finance, development , add a comment

Whilst working with a couple of spreadsheets this morning I wondered; Why doesn’t Excel have better support for multi-monitor applications? More and more developers have at least two monitors on their workstations these days and practically everyone on a trading desk has Excel running and at least three (probably many more) flat-panels connected to their workstation. Realtime Soft’s Ultramon is a good Windows multi-monitor utility but it doesn’t rearrange the MDI windows within the main Excel frame. Might be something for Resolver Systems to think about… Or perhaps there is an opportunity for someone to write an add-in that beefs up Excel in this regard.

Some links from the intersection between Microsoft technologies and quantitative finance;

More thoughts on derivatives risk and grid computing April 25, 2008

Posted by James Webster in : finance, development , 1 comment so far

Like ‘em or loath ‘em, derivatives are here to stay… probably. For more on that discussion, check out Economist.com’s well-balanced article ‘Wither the derivative?’.

What the credit crunch and sub-prime crisis have highlighted is the ever increasing need for effective risk management of derivative contracts. My day job has involved enhancing a scenario analysis system to stress-test hundreds of exotic derivative positions; ultimately this means processing a huge number of quantitative finance calculations. Naturally a grid computing environment is involved.

So a few thoughts about that. I previously wondered about using Amazon EC2 to cheaply scale up on demand. It looks like DataSynapse, one of the leading grid vendors on the Street has had the same idea: see Today’s Grid forecast: “Partly Cloudy”.

GridGain, an open-source grid computing framework for Java has been coming along nicely. It would make a suitable alternative to Hadoop in my recommended open source derivatives risk platform stack. They are also thinking about EC2 on their roadmap:

We are working on seamless integration between external clouds like Amazon EC2 for on-demand discovery within GridGain. This feature will allow automatically or programmatically “boot-up” external cloud when load picks up and “power it down” when load subsides.

Nice. Where is the GridGain equivalent for .Net? Alchemi.Net looks fairly dormant. Also, Terracotta have almost released a new version of their ‘clustered JVM’ product; combined with its support for Ehcache is it an effective replacement for Oracle (nee Tangosol) Coherence?