[Beowulf] Pricing and Trading Networks: Down is Up, Left is Right

Vincent Diepeveen diep at xs4all.nl
Sat Feb 18 00:23:59 PST 2012

On Feb 18, 2012, at 12:39 AM, Joachim Worringen wrote:

> Vincent,
> I haven't read all zillion lines of your posts, but as I'm heading
> software engineering of a very successful "prop shop" (proprietary
> trading company), I might add some real-world comments:
> - Execution speed is important, but it's not everything. Only the
> simplest strategies purely rely on speed for success.

Which is 90% of all strategies of all traders.

So statistics total refute you.
in a very very hard way.

The markets move total horizontal now - speed is the only thing that  
can make you good money at the
derivatives markets now.

> - Even more important than execution speed is time-to-market. It's of
> no use to have the superfast thing ready when the market has moved
> into a different direction nine months ago.
> - Equally important is reliability and maintainability.
> Our inhouse development is based on C++, but we make very good money
> with Java-based third-party solutions as well.
> FPGAs are not the silver-bullet-solution either. Finding people to
> program them is hard, development is complex and takes time, verifying

> them takes even more, and is required for every little change. Think
> about time-to-market. Therefore, they are mainly used in limited
> scenarios (risk-checks), or are used with high-level-compiler support,
> giving away significant fraction of the potential performance.

I don't see fpga as the silver bullet either, because of its huge  
costs - as i described before the costs
are much higher than a normal fpga development would be.

Your time to market argument is total nonsense. Only a civil servant  
would show up with such statement.

If you quickly tape out a trading product that's suck ass again, say  
100 microseconds latency - no one will buy it.

Fast/Fix was used 10 years ago and will be used 10 years from now.
And if some politician in nation A says: "we limit the exchanges",  
then they move to nation B.

> Oh, btw, we are always looking for bright, but also socially compliant
> developers.

yes all those social people you hire to work in the financial  
industry - they'd never sell a bad product to someone else -
making money is not the main concern - so so so social :)

>  Joachim
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