Eurex Exchange’s New Trading Architecture – Functional Reference Eurex Exchange’s New Trading Architecture – Functional and Interface Overview Eurex Exchange’s trading system

Due to the mass of email/code/stuff one get each day, sometimes it takes me a while to get round to reading everything.  Hence somewhat delayed, but still worth mentioning is a now slightly old article by Low-Latency.com, Measuring Latency in Equity Transactions.  The article provide figures for  State-of-the-Art Latency general usage connections, coupled with a good overview of latency in financial markets from a viewpoint of exchanges.  Page 6 gives some  key latency numbers for asset...

Unclear of what Knight Capital’s testing policy is, but I suspect there will be improvements in this area after the $440 million loss in 45 minutes, coupled with improved monitoring. Outsiders questioned why Knight did not pre-test the new software more assiduously, and why the bad trades continued to be generated for more than half an hour, instead of being shut down by internal systems almost immediately.

Exegy’s Market Data Peaks (both European and US) provides a nice reminder of the quantity of market data that is part of the overall financial services big data problem.  Apart from market data, there is also the ever growing volume of order/trade data, and risk data.  As has been blogged about before, data growth is only on an upward road. It’s thus always interesting to see new products launched in the Big Data space.  Last month Nodeable launched StreamReduce.  StreamReduce is...

Sometime ago I under took the joy of building ZeroMQ on OSX.  It wasn’t actually that bad an experience thanks to the usual Google assistance.  Here are the notes for anyone following: Download the latest stable release from here The “To build on UNIX-like systems” is generally correct for OSX, apart from the fact that if you don’t execute “brew install pkg-config” prior to the building, you’ll end up with the “newline token” and...

Bit of a spaghetti posting, but possibly relevant at a future date   Although old, Design and Evaluation of Benchmarks for Financial Applications using Advanced Message Queuing Protocol (AMQP) over InfiniBand is worth a read in the context of Martin’s comments around the disruptor, Ultra Messaging and ZeroMQ (ØMQ) 0MQ did not exist when we evaluated message providers.  This was about 3 years ago.  It does look interesting for some usecases. When going for ultra low-latency you need...

Low-Latency.com’s article on Trading Infrastructure on Demand provides some interesting data on Proximity data centers in the New York metro area.  The article also discusses cloud adoption in the financial markets, referencing Xignite amongst others.

Todd Montgomery discusses messaging and how peer-to-peer messaging has changed capital markets, then takes a peek into its future pointing out that queuing is dead.  Excellent video, well worth watching.

Harnessing the Power of Big Data in Real Time through In-Memory Technology and Analytics train reading lead to the following thoughts: Page 93 of the PDF talks to finance, and modelling environments (I assume risk?).  With the push for more systems to become Near Real-Time (NRT), in-memory is clearly the chosen path.  With in-memory, the question come as to what product/Open Source solution will assist on this path.  GridGain is one such technology with offerings in this area.  RBS, as blogged...

HTML5 Lessons from LinkedIn using Node.js provides details of the Linked-In hybrid iOS applications from 36 mins into the video