SIFMA CEP Tool Kit Vendors Announce Products Featuring Lower Latency, Better Visuals
Since the early days of the NYSE when a clerk read ticker-tape prices aloud to floor traders, tracking the parade of stock and news data has been a part of daily life on the Street. Traditionally, Wall Street developers that built software for watching real-time streams of news and stock events for algorithmic trading, real-time market making and pricing, and risk management applications started from scratch using C and C++. That changed about three years ago.
Now developers use complex event processing (CEP) tool kits to build these applications — the tool kits process and analyze streams of high-speed events; the developers write the rules to be applied to the data streams as well as interfaces to other applications and databases. "These products are gaining traction because in the end, they provide a competitive differentiator," says Tom Price, senior analyst at TowerGroup.
At the SIFMA show today, CEP tool kit vendors are announcing products with lower latency; better dashboards and 3-D modeling; and more management tools.
In complex event processing, latency — the delay from the time an event message arrives and the time all processing is completed — is typically a few milliseconds. To cut this lag, Chicago-based CEP player Aleri (booth #2505) has built both an in-memory data manager and a disk-based data manager. While in-memory offers better performance, data is at risk; if the system goes down, you lose all data in memory.
At SIFMA, Aleri is introducing a new feature as part of its Streaming Platform server: support of dynamic data models that enable users to change and add new logic to their models on the fly. In an automated trading application, for instance, someone could use dynamic data models to change or disable rules throughout the day without having to interrupt current processes, the vendor says. Aleri also will unveil Windows server support for Streaming Platform, which formerly ran only on Unix and Solaris (although the authoring tool did run on Windows), and announce that it is offering a full version of the software as a free 30-day trial download.
Coral8 (booth #1618), of Mountain View, Calif., is announcing the fruits of a product partnership with New York-based Wombat Financial Software (booth #1434), which offers a low-latency market data platform that the companies say can help resolve data latency issues for Coral8. In addition, Coral8 is releasing version 5.0 of its CEP server product, for which the vendor says it has ramped up its ability to deal with extreme uptime environments and high throughput.
Progress Apama (booth #2217) is introducing a new Market Aggregation Accelerator for its CEP platform. The Bedford, Mass.-based company has built an array of adaptors to connect its CEP engine to various liquidity sources, including banks, Hotspot, eSpeed and others. Users can see different sources of liquidity in real time and make trading decisions based on that information, Progress Apama says.
Of course, CEP analytics need to be seen by human eyes for decision-making, so improving visuals is important. "[Wall Street] managers are looking for a dashboard view of the enterprise that they can use for risk products, back-office processes and hedging," says TowerGroup's Price. "It's all about the ability to see in real time the pitfalls and danger points. For a trading desk, it's how much risk has an individual trader gotten into, then aggregating that at the desk level and beyond."
Aleri is introducing a real-time dashboard and data visualization tool that can be used to build and customize tabular and graphical displays. "This is new to Aleri — to date, we've left displays of data results to our clients, other than the Excel integration tools we've provided," says Jeff Wooten, the vendor's VP of product strategy. "But there's only so much you can do in Excel."
Coral8, consulting firm Lab49 (also at booth #1618) and Microsoft are debuting a joint algorithmic trading framework based on the Windows server and the Windows Presentation Foundation (WPF). WPF, a part of Microsoft's .NET 3.0 framework, is a set of libraries and a tool kit for building visual applications in Microsoft Visual Studio. "WPF technology and event processing technology marry each other nicely," says Daniel Chait, managing director and cofounder of New York-based Lab49, which also is announcing a new Complex Event Processing practice at the show.
"WPF is a natural front end to CEP's real-time back-end processing because it's a scalable user interface that can perform 3-D visualizations," Chait says. "Say you're on a bond desk and a new economic indicator comes out, such as an unemployment figure. ... A huge amount of market data is pushed through your network quickly, and inferior front-end applications will freeze up at the moment you want to be trading most. WPF tools and libraries are geared around using hardware-accelerated graphics." The graphics card in any modern computer contains a huge amount of processing power; WPF attempts to harness some of that power for business applications, Chait explains.
Progress Apama offers a graphical modeling tool, Event Modeler, that lets traders and quants develop applications themselves without requiring IT support. With the debut of its Market Aggregation Accelerator at the show, Progress now can provide dashboards that show available prices, foreign exchange pairs and interleave prices, and depth of market along with event analysis so traders can trade based on which source provides the best price and best market depth, the company says.
Some vendors are announcing tools that help manage complex event processing. For example, Coral8 and Wombat added a layer to their joint software that they claim allows for a "single version of the truth."
"We're seeing individual departments start to work with CEP and embed it inside the algorithmic trading application," says John Morrell, marketing director at Coral8. "The problem is, if five different departments do this, you've completely lost control of what those algorithms are, what they're calculating, and how you're going to report to regulators how you're doing these calculations and why you made certain actions." The Coral8/Wombat solution, Morrell says, provides a central place to manage all algorithms, make changes, add new algorithms, and validate and verify calculations.
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