Tibco

Quote from squeeze:

The hardcore part of the microsecond maniacs have implemented their algos in FPGA. Very useful for allowing highly parallel processing so every quoted instrument can have it's own hardware to implement the quoting /trading algo. Messaging/middleware as far as it exists is just a bus on the same piece of silicon.

Taking that into account, a discussion of which software to use is really one step behind the curve. Perhaps we will see a thread on which FGPA to use as time goes on. Personally, I think it all starts to get so expensive that it is probably cheaper to gain an informational edge rather than trading on a latency advantage alone.
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Yeah, this would be the ultimate. I have been making an effort to port some of my stuff to GPUs. I just hate the tools.
 
Quote from rosy2:

ACE is huge. it really is a framework. if you use just a bit then you need it all.

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It took me one week to learn ACE, and I am almost done porting my middleware layer to it. Not sure what you mean if I use a little bit I need all of it. That does not appear to be the case so far anyway...
 
Perhaps y'all have been following very interesting development or a rogue programmer trying to steal Goldman Sachs proprietary code:

http://zerohedge.blogspot.com/2009/07/is-case-of-quant-trading-industrial.html

For me, one of the most interesting part is that TIBCO is mentioned in Sergey Aleynikov resume:

• Lead development of a distributed real-time co-located high-frequency trading (HFT) platform.The main objective was to engineer a very low latency (microseconds) event-driven market data processing, strategy, and order submission engine. The system was obtaining multicast market data from Nasdaq, Arca/NYSE, CME and running trading algorithms with low latency requirements responsive to changes in market conditions.
• Implemented a real-time monitoring solution for the distributed trading system using a combination of technologies (SNMP, Erlang/OTP, boost, ACE, TibcoRV, real-time distributed replicated database, etc) to monitor load and health of trading processes in the mother-ship and co-located sites so that trading decisions can be prioritized based on congestion and queuing delays.
• Responsible for development of real-time market feed handlers, order processing engines and trading tools at a Quantitative Equity Trading revenue-making HFT desk.
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I understand the decision to use almost everything but the TIBCO part. My guess is this is for the slow parts messaging. The rest of this resume has a very contrived feel to it...
 
Quote from squeeze:

On the topic of Erlang/OTP and messaging it is also worth mentioning retlang which provides a very fast messaging and concurrent execution framework for .net

http://code.google.com/p/retlang/

Using retlang on a quad CPU server should give a pretty decent second best to using FPGA.
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That's __really__ interesting. Thanks!

No source code though? :confused: :( :( :(
 
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