Blogs

Very interesting article talking about "Shielded CPUs" in Linux. Essentially it describes how to dedicate a CPU to a process, so that the only thing running on that CPU is the task you want to run and the interrupts related to that task. This creates an almost real-time capability on commodity Linux and I think can have big implications in the low latency/market data arena.

Read the article here

Interesting article from "Traders Magazine" on HFT:

High-frequency trading firms must be concerned about latency, but that level of concern should depend on "how much profit they intend to make from every millisecond or microsecond," Goldman's Faulkner said. He noted that firms must understand the "value of a micro or milli" for the particular strategy they're running.

From Risk Magazine:

I found this while profiling an internal QuickFIX/J application.

Rolling Stone magazine ran a story that described Goldman as "a great vampire squid wrapped around the face of humanity, relentlessly jamming its blood funnel into anything that smells like money".

Read the full fascinating article about GS in the online Sunday Times

Lasalletech had a great time at the FPL Americas 2009 conference. While we were pretty busy showing off our new product suite, I did manage to sit in on a couple sessions. Here are some interesting points from the panel on Low Latency trading:

There are two aspects of latency that you can measure
1) How fast are you getting prices
2) How fast can you execute

Each night, Bloomberg calculates pricing for 1.3 million hard-to-price asset-backed securities such as collateralized mortgage obligations (including cash flows, key rate duration and such). Since 1996, the market news giant has performed these calculations — single-factor stochastic models based on Monte Carlo simulations — on a farm of Linux servers in its data centers in New York and New Jersey. "These models are ideal for doing things in parallel, and we did parallelize them over traditional x86 Linux computers," says CTO Shawn Edwards.

...

The talk of the day was the new multi-touch UI concept, 10/GUI created by Robert Clayton Miller. Everybody has given their 2 cents to this subject. Although most people seem to have missed the point that Miller was trying to make with this concept. From the background page:

Unfortunately, Skype was likely too valuable a service and too valuable a property to languish under the clear lack of strategy being exhibited by eBay of late.
Private Equity announced a deal to acquire a majority interest in Skype as reported in the Wall Street Journal.

Security Industry News interviewed me in my role as America's Regional Co-chair of FIX Protocol Ltd. on the upcoming Options Symbology Initiative (OSI), the long overdue upgrade to options symbology within US markets. My compliments to my former employer, The Options Clearing Corporation for taking on the role of the bad guy to force the industry to do something that should have been done many years ago.