Wednesday, October 27, 2010

know what "nice" solutions work only on paper

We are talking about real technical value-adding, not interviews. Context -- non-trivial trading system design. Team of 5 - 20 developers.

If you can get at least one credible [1] dose of non-trivial first-hand experience in pricing / booking / real time mark2market -> real time pnl -> real time VaR / market data feed / execution ... then you can give real inputs to design discussions. Real inputs, not the typical speculative inputs from an "armchair quarterback". In other words, if you have done it, then you can speak from experience. Speculators can't be sure if their solutions will work. If it's a top brain, she can be fairly confident, but actual development invariably requires many implementation decision. Even for a genius, It's impossible to make an educated guess at every juncture and be right every time.

Most of the tools are made by "strangers". No one can be sure about the hidden limitations esp. at integration time. Some experience is better than no experience.

Here are a small sample of those tools that came to mind. These aren't trivial tools, so real experience will teach you what to *avoid*. In short, every solutions works on paper, but Speculators don't know what don't work.

temp queue
lock free
rv
cache triggers and gemfire updaters
gemfire
camel
large scale rmi
large scale web service
DB-polling as a notification framework

(I have a fundamental bias for time-honored tools like MOM, SQL, RMI..)

[1] need to be a *mainstream* system, not a personal trading system. Each trading system could have quite different requirements, so ideally you want to sample a good variety of, say, pricing engines.

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New York (Time Square), NY, United States
http://www.linkedin.com/in/tanbin