Market Data Monopoly? - Part One
May 7, 2009
The provision of accurate and timely market data is truly the lifeblood of almost every financial services organisation worldwide. Every day these orgaisation rely on the latest stock prices, financial instrument attributes, corporate action events, rates and analytics in order to make trading decisions, reconcile their accounts and track their performance.
These requirements for a steady stream of vast quantities of data have give rise to a number of extremely successful market data organisations who collate their data from the exchanges and brokers and package it up so it can easily be consumed by banks, investment managers and anyone else who can afford to sign up for an account.
Two of the major players in the market data business are Bloomberg and Reuters. Their market data products are very similar and allow their clients to subscribe to market data feeds via several mechanisms, including ‘Pay-As-You-Go’ whereby you can make requests for information (eg prices and attributes) about a particular financial instrument (eg BHP Ordinary Shares) and they send back the details, for which you pay ‘Per Security’ - currently around $2(USD), depending on security tyep (Bond, Equity, Derivative, etc). Alternatively you can subscribe to entire segments of security data in a ‘batch’, for instance ‘Asian Equities’, and receive the entire universe of those securities daily. The choice of mechanism really depends on how many securities of a particular type the client needs data for and what the most cost effective mechanism is at the time. Read more
Legacy MetaData Analysis
August 21, 2008
Do you have complex legacy systems with extensive database components? Do you need to map out what you have in order to move forward efficiently?
This kind of analysis is time consuming and error prone if attempted manually. We have a fast and efficient automated solution that will save you time and money during this type of project.
Some of the issues your Business Analysis Team will face are:
- Legacy System with 000’s of Tables, Views, Stored Procedures and Functions
- Complex interdependencies between them
- No documentation and no original developers
- No-one knows what is being used and what isn’t
- Fragile environment as small changes in one place can have large impacts elsewhere
64 bit Windows: WTF: 64 bit dlls live in System32 dir, 32 bit dlls’s are in SysWow64
June 30, 2008
Here at Buildmasters, we have now moved all our development vm’s and other servers to 64 bit editions of Windows.
The 4GB memory limit is gone, and no more recycling IIS app pools and running out of virtual memory.
One thing to note however: The \System32 directory contains 64 bit dlls, and the legacy 32 bit emulation dll’s live in the \SysWow64 directory.
The is all done for backwards compatibilty, but it is very confusing.
Have a look at http://en.wikipedia.org/wiki/WOW64
for more info.
SqlServer2005: Move From TSQL To SQLCLR And Save Your Project
June 24, 2008
Many organisations have lots of business rules in TSQL stored procedures.
You’re right, that’s crazy but that’s what we see all the time, and our current project in Sydney, Australia using the Eagle PACE product is no different. Eagle PACE is an Opertaional Data Store for the financial services industry, in our case the Funds Management sector. At it’s heart is an enterprise database with a relational data model appropriate to the industry, and is surrounded by data feed mechanisms which in basic terms are a series of Stored Procedures.
Whilst a TSQL stored procedure is good for simple logic, eg stringing together a couple of selects and inserts, it is simply not up to the task of handling complex business rules and workflow.
I would say that a TSQL stored proc of more than 200 lines is just to complex to debug, enhance and test.
TSQL falls short in the following areas:
1) Code reuse.
There isn’t any.
No classes, no rowtypes, no inheritance of stored procs or functions.
No way to encapsulate functionality - the only way is, that’s right, you have to write another stored proc and have nested calls - yuk!
Absolutely awesome when you have 133 parameters to pass around.
[Dont laugh - we have this many parameters and more in the stored proc interfaces we have to maintain] Read more
Eating the Elephant
June 12, 2008
Our current engagement with a funds management company in Sydney, Australia is a large and complex beast, involving more moving parts than a swiss chronometer, an incredibly demanding business and the Eagle PACE Operational Data Store. The entire program will run for approximately 4 years, involve over 100 consultants, vendors and staff, and burn over $100 Million. We are interfacing with 3 front office trading systems (Charles River, Imagine and Blackrock Alladin), several downstream systems (Smartstream TLM, CoAcs and StatPro) and exchanging market data with Bloomberg, Reuters, Factset and S&P - Phew!
It’s taken nearly a year to truly appreciate the size of our ‘Elephant’ and learn that there’s only one way to eat it…one small piece at a time. Short term, realistic goals are the key to success, which fits beautifully into our development methodology - SCRUM. Read more
goosh - Google shell command line
June 3, 2008
Real programmers use the command line.
Now Google has a command line interface in beta.
If you are comfortable on the command line, then this is for you.
Process Explorer
June 2, 2008
I have always been a bit disappointed in the standard windows task manager. It simply does not give enough information. For years I have been using process explorer from sysinternals which is now owned by Microsoft.
One of the great things process explorer can do is find the handles of open files. How many times have you tried to delete a directory or file and windows reports something has it open. With Process explorer you can hit Ctrl+F type in the file that is locked then it will find the handle to the file. From there you can simply right click on the handle and select close. Much faster then rebooting.
Process explorer is available from Microsoft from the link below.
Process Explorer
Enterprise ETL - Keep It Simple Stupid
May 28, 2008
I wish I had a dollar for every time I see a consultancy roll in with a development framework of one sort or another that is the answer to all our problems. More often than not these cobbled-together code-bundles are merely a foot in the door for bringing in legions of more consultants to utilise the framework to build the solution. It’s all a big con. The value added by these frameworks is often less than the value of building the solution from scratch.
Personally I always apply the KISS principle. Keep It Simple (Stupid!). If the solution isn’t lean and straight-forward then it is likely to be more trouble than it’s worth.
Generally a simple ETL design can be applied for the majority of development. Ensuring that adequate coding standards are developed in conjunction with templates, can help with code consistency, simplicity and maintainability.
