Tis the season for consolidation August 25, 2009
Posted by James Webster in : finance, development , add a commentTibco buys Datasynapse, which is pretty big news for the City since most derivatives houses probably have one or the other. Will this sort of consolidation at the big end of the market scare some architects off and make them focus on open-source players such as GridGain? Are there any grid deployments running GridGain for production intraday & overnight risk at a bank?
Open-source is no stranger to the consolidation trend either;
Terracotta acquires Ehcache: from a capital markets perspective, Oracle’s Coherence (which itself arised from acquiring Tangosol) seems to be the 500lb gorilla in the ‘in memory data grid’ space. The combination of Terracotta and a deeply integrated Ehcache might be an appropriate alternative solution for the primary use case of Coherence in bank deployments; a market data/trade/position/risk cache & time series database.
VMware acquires SpringSource which itself acquired Hyperic: VMware is gearing itself up to be a major cloud player by offering a complete virtualised Java development stack, after all isn’t the recently announced CloudFoundry Java’s answer to Microsoft and .Net’s Windows Azure? Is a database acquisition or purchase of Splunk that far away?
Co-operation rather than consolidation; the open source trading platform Marketcetera has established close relationships with Sky Road and NYSE Technologies’ to provide a hosted solution for Marketcetera. Given Marketcetera uses Spring extensively some involvement with CloudFoundry is a possibility as well.
No honour amongst code thieves August 19, 2009
Posted by James Webster in : finance, development , add a commentIts interesting that there have been a few stories about theft of code relating to trading systems lately…
The first to break in July was the story of ex-Goldman Sachs developer Sergei Aleynikov taking algorithmic trading code from his former employer. This event also seemed to be the impetus for greater scrutiny of the high-frequency trading that Goldman Sachs and many other Wall St players use to get their edge and increase alpha, albeit at the expense of retail traders. This prompted some exchanges/ECNs to reconsider their policy surrounding flash orders.
The second story broke in August; an Australian derivatives trading firm Optiver is suing a newly established rival, Tibra, over allegations that the trader who left the former to form the latter took core trading software at the heart of Optiver’s competitive advantage.
The significance of these stories is that they highlight the ‘technological arms race’ that pervades the professional end of certain markets (equities in particular). Whether these alleged thefts actually could benefit their recipients is arguable; however the increased information security regulations that will be imposed on their former colleagues are likely to have a negative impact on productivity and collaboration.
Commodity markets for the 21st century April 24, 2009
Posted by James Webster in : finance, gadgets, development , add a commentRecently there were a few news stories relating to potential shortages of NAND flash RAM due to Apple ordering a large volume of chips from Samsung (rumoured to be heading to a 32Gb iPhone).
From the DigiTimes article:
Downstream memory suppliers are striving to grab more NAND flash chips to meet substantial volumes of short lead-time orders from device makers
Clearly there is extensive risk for flash memory suppliers and OEMs in this market. I was wondering if an active futures market for buyers and sellers of memory would be feasible. A bit of further research uncovered DRAMeXchange which provides market data for various memory products (similar to Platts, one of the major market data providers for the energy market). Could they go a step further and set up a liquid market for buying and selling risk around memory supply? Obviously not all chips are created equal; the contract you use to hedge your risk may be for delivery of a particular type of flash memory that is slightly different to the one that you will be purchasing in the physical market. In financial/commodities markets this is known as basis risk and is understood to be something that needs to be monitored when hedging a risk exposure.
I also came across Zerobeta’s blog recently (via Park Paradigm). An interesting insight into Ztail (TechCrunch):
Whats interesting is if Ztail is selling naked puts on spot ipods, they have a synthetic position that is short the call option and long the futures. While I understand that they don’t really have that position, but it is an interesting position nonetheless and their guaranteed price should be a good (albeit hopefully low) gauge on what a 1 year out ipod futures are trading at.
Another interesting article over at Ars Technica, Why high-performance computing needs financial engineering:
If (Richard Bookstaber) is correct with his recently floated hypothesis that “the days for high frequency trading are numbered,” then this would be pretty bad news for Intel, AMD/ATI, and NVIDIA.
As biotech moves further from research to commercialisation it is the obvious candidate to pick up the slack in HPC demand if high-frequency trading does in fact fall off (a forecast I disagree with). Could a GPGPU-powered compute grid help a team win the Archon Genomics XPrize?
Finally, the source code for the JPMorgan CDS model (which I discussed here) was released and is available at cdsmodel.com.