High Frequency Trading: The quest for zero latency

•August 15, 2012 • Leave a Comment

Wired magazine has a nice article on how high freequency trading outfits are pushing the technology barriers in order to minimise trading latency, its an arms race where profit and loss can be dictated by nanoseconds.

The article also talks a little to quote stuffing where massive volumes of orders flood the market, most of which are cancelled in order to drive price movement. HFT is getting a lot of bad press of late what with the recent BATS IPO, Knight Capital and RBS issues to name but a few but it seems the real problem is in high freequency quoting.

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Another Algo Goes Berserk …

•August 9, 2012 • Leave a Comment

Following the recent incident with Knight Capital where one of their algo’s caused hovoc – buying $2.6M worth of stock every second!!, it appears that RBS had a similar issue on Monday when one of their algo’s trading the Euro/Swiss Franc went berserk.

Given the rise in algo trading it would seem likely that this trend of algo’s going berserk is likely to continue/increase. Ray Kurzweil has an interesting post on the rise of algo’s on Wall Street, the suggestion being that high frequency quoting is the big issue, not high frequency trade per se.

DxWer

Wake up call for MSFT: Mac Book Pro–15” Retina Display

•August 2, 2012 • Leave a Comment

So I should start off by saying that anyone who knows me, will tell you I’m a big advocate of Microsoft technology and the platform as a whole. That’s hardly surprising having invested 8+ years working for MS shipping products, and working in Microsoft Consulting Services, aside form that I’ve spent the bulk of the rest of my career as a heavy user and advocate of the Microsoft platform.

So why then have I brought an Apple Mac Book and dipped my finger in the world of OSX? Well, largely because the current breed of windows hardware simply does not cut it…

A month or so ago I was looking to upgrade my laptop, my Sony Vaio 13.3” S Series laptop has been great, its an i7 Dual Core proc., 6GB RAM and 250GB Vortex SSD HD, my only complaint is that the screen resolution isn’t that great at 1366 x 768 making development work sometimes a little challenging, but given its as light as a feather I’ve put up with that for as long as I can. I’ve been waiting for the new 15” Vaio to ship with an i7 Quad since its weight is very close to that of the 13.3” model, I recently noticed that Sony had upgraded the available processor spec to support an i7 quad. My requirements for a new laptop were I feel, quite reasonable:

  • i7 quad processor
  • Greater than 6Gb ram
  • 500Gb SSD hard drive – either shipping with or upgradable to
  • 1900 x 1200 minimum screen resolution
  • Back lit keyboard
  • < 2Kg weight

The new 15” S Series came pretty close and given how pleased I’ve been with my 13.3” S Series was very nearly a slam dunk. But then, you’ve got to do some homework right, and see what the competition has….

To be honest I didn’t find anything that came close enough from the usual suspects, but as I have in the past decided to take a look at the Apple offerings. Of course I came across the new Mac Book Pro with Retina display, what can I say but WOW – it totally blew me away! There is simply nothing else in the traditional Windows world that even comes close, the screen is simply stunning at 2880 by 1800, but across the board the spec is unrivalled: i7 2.6Ghz quad processor, 16Gb RAM, 768Gb SSD, and weighing in at around 2Kg. To top this, in my opinion it is simply the most aesthetically pleasing piece of kit on the market. Down side, well its not cheap but then I’m a firm believer in compromising on hardware is a false economy.

So there you have it right there, a die hard Microsoft technologist switching over to Apple / OSX, its not just about the hardware, now I’ve had a serious play with OSX and you know what, I like what I see. Installing Windows so I can dual boot was something that my grandmother could have done, not to mention the ease with which I upgraded to Mountain Lion – great job Apple.

This for me should be a huge wake up call for Microsoft and their OEM’s. I really wanted to stay 100% on the Microsoft platform but, there is simply no innovation to speak of that I can see. The hardware is no match to what Apple has to offer. Yes I get the fact that the OEM’s are probably distracted by tablets and smart phones and probably diverting a lot of their attention into developing cool devices in those form factors, but they are losing the platform – for themselves and for Microsoft.

Microsoft’s decision to build its own slates is a good one, and I see some great innovation with things like the smart cover, I hope they can turn things around and I hope the OEM’s wake up and start to get it. The problem is, now I’ve tasted OSX, its intuitive and feels polished. I love the smoothness of the track pad and the gestures just work. Apple, have opened the door wide enough to get my curiosity, and I like what I see!

FpML at a Glance

•July 30, 2012 • Leave a Comment

Dodd-Frank has big implications on the $650 Trillion Swap market in terms of the regulation of Swap dealers and participants – yes that is a big number, think about it…the US stock market is around $17 Trillion! To put it another way, the population of the world is around 7 billion, I’m sure you can do the math to figure out the dollar amount per head…

One of the implications of Dodd-Frank is that OTC derivatives will be need to be electronically cleared, this will give greater visibility and control around the Derivatives market, though it does mean standardising on a common messaging format, Financial Product Markup Language (FpML) is already emerging as a major part particularly for describing the more complex deals, many IB’s and other organisations already use FpML or variations of it to represent their deals. The graphic below gives an overview of FpML.

FPML-Glance3

Windows Home Server–recovering files on ‘missing drive’

•July 23, 2012 • Leave a Comment

So my Windows Home Server has well and truly died, its reporting that one of the four drives is ‘missing’, the result being that a large portion of my data can be browsed through the directories on the shares but those files cannot be copied or opened. Closer inspection shows not only is the drive not missing but its working just fine. This leads me to believe that WHS has somehow un-mounted the drive or lost track of it, either way its pretty serious loosing a chunk of my data. I’ve had many attempts to repair the drive, check disk attempts as per the documentation but all have failed sadly.

My WHS, like most peoples I’m sure, holds lot of digital memories which I really don’t want to lose. So I decided to take matters into my own hands to see if I can find the data (photo’s, videos, etc) that had been stored on the ‘missing drive’ and recover it to my new NetGear NAS drive.

So this is a bit of a pain, but it seems to have worked and allowed me to recover my data. I removed the ‘missing drive’ from the WHS and mounted it in a stand alone USB drive caddy which I connected as a standard USB drive. At this point you can simply explore the file system. WHS keeps all the data on your shares in $\DE\shares, fortunately the data is stored as normal files (no replacement of file names with GUIDs etc I’m glad to say). WHS seems to shard the files across the multiple drives mounted in the same directory structure, so unfortunately you have to follow this process for all the drives in order to recover all the data – but that’s better than losing your data! Regardless, at this point I used RoboCopy to copy any missing data off WHS onto my new NAS drive.

It would be nice if Microsoft documented how the data was laid out across the individual drives for the catastrophic failure recovery scenario – it would have saved me multiple attempts to repair WHS which is extremely time consuming, regardless I’m very happy I’ve managed to recover my data!

The Big Data Landscape

•July 11, 2012 • Leave a Comment

The volume of data is exponentially growing, analysing that data to gain insights is clearly a huge opportunity in many fields, Dave Feinleib has put together the Big Data Landscape giving a view into the current set of products and technologies in the big data space.

Big-Data-Landscape-Jul-4-2012_00111

Microsoft Surface

•June 19, 2012 • Leave a Comment

Nice one Microsoft, first impressions of the Microsoft Surface are good, love the smart cover, now we just need a killer ultra book to challenge Apple.