High-performance trading architecture.

Quote from Waterloo:

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I hope you get the idea. Would you really use TS and a T1 if you had 100mil fund? I wouldn't think so, so where would you start to design an "enterprise solution"? Are there off the self solutions?
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I designed and built them for > 1B funds. Like the other poster said, smaller funds dont need that level of detail.

We use my designs in our proprietary systems - we own the trading systems designs. Few people have this option.
 
The size of the fund (in $) would have very little, if any, bearing on the IT infrastructure requirements. I coded the pub/sub messaging broker for Bank One, and never once did I need to ask "how much money does the bank have" :)
 
Hire me for a week and I will tell you and implement it for you.

nitro
Quote from Waterloo:

Hey All

I've tried searching both Google and ET with little success. Here's what I'm hoping for...

I would like to find some resources (books/papers etc..) that provide an outline/architecture of a high performance trading environment. For example, if I were a hedge fund, what type of hardware+software architecture would I have? ie. how many data feeds(main + failover), raid systems, backups, db's(Oracle/SQL/in memory). Would I use a message queues? How about clusters(metooxx)?

I hope you get the idea. Would you really use TS and a T1 if you had 100mil fund? I wouldn't think so, so where would you start to design an "enterprise solution"? Are there off the self solutions?

In my head I see this (I'm pulling the ranges out of thin air) ...

Joe DayTrader -> HF w/ 10mill uses TS and a T1 with a Raid.
HF w/ 10 mil+ -> HF w/200 mill uses ??????(fill in with resources here!)
HF w/200+ builds their own.

Any resources would be appreciated.
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Quote from jason_l:

The size of the fund (in $) would have very little, if any, bearing on the IT infrastructure requirements. I coded the pub/sub messaging broker for Bank One, and never once did I need to ask "how much money does the bank have" :)
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..Huh ?

Messaging brokers in one form or another have been implemented by many people/teams at various financial insitutions. I have run across several that were ultimately discarded because the designers did not actually complete their due diligence on the designs and assumed infinite scalability - which is not possible but often sold.

Most organizations that have this need are looking to standardize these implementations rather than use one off designs.
 
Quote from nitro:

Hire me for a week and I will tell you and implement it for you.

nitro
More...

I expected to hear from you. :) You seem to be techish.


PRT_SYSTEMS - Interesting.

Anyone care to share a topology? Software or hardware.

Here's what I found...
http://www.irisfinancial.com/techno...es/VolumeTradingPaper.pdf/ref:O40040D196DC08/
http://www.egenera.com/pdf/wp_app_blueprint.pdf

I tired http://www.ssrn.com/ with no luck. Lots of good papers though.

I have yet to find anything that isn't an ad.

Why are there no books on this? If I build a website I can find plenty of book help. There just doesn't seem to be any in this area. Seems like a topic waiting for an author. :)
 
Quote from prt_systems:

..Huh ?

Messaging brokers in one form or another have been implemented by many people/teams at various financial insitutions. I have run across several that were ultimately discarded because the designers did not actually complete their due diligence on the designs and assumed infinite scalability - which is not possible but often sold.

Most organizations that have this need are looking to standardize these implementations rather than use one off designs.
More...

To be fair, maybe that's all jason_l was permitted to see. I think you eluded to this in one of your earlier postings - you dole out small pieces to different people for IP reasons.
 
Quote from Waterloo:

I expected to hear from you. :) You seem to be techish.


PRT_SYSTEMS - Interesting.

Anyone care to share a topology? Software or hardware.

Here's what I found...
http://www.irisfinancial.com/techno...es/VolumeTradingPaper.pdf/ref:O40040D196DC08/
http://www.egenera.com/pdf/wp_app_blueprint.pdf

I tired http://www.ssrn.com/ with no luck. Lots of good papers though.

I have yet to find anything that isn't an ad.

Why are there no books on this? If I build a website I can find plenty of book help. There just doesn't seem to be any in this area. Seems like a topic waiting for an author. :)
More...

Well there are books on this ... they just dont explicitely tell you that you can use the ideas to build a trading system, and if they do, only provide toy examples.

The idea of using an asynchronous/synchronous message delivery mechanism is nothing new. There are a number of implementation "gotchas" . Often designers and programmers never finish the required design work before putting these into production - they never fully specify or validate the break points of the design. A common problem that often escapes discussion until there is a problem.....
 
prt_systems - no obligation to respond but
if you don't mind sharing, you went to grad school I believe, was it in finance or engineering. How did you get into such high end stuff? I find it a nice balance between my engineering background and my financial interest.

Just curious.
 
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