Estimation – The Guessing Game

September 20th, 2014 / Tales from a Trading Desk

InfoQ offers an interesting read on agile planning and estimation. Here are a few key quotes :)

All numbers are based on assumptions. Your figures are only as good as your estimates and guesses – and there may be serious flaws in your assumptions.

If we approve a project based on a year’s worth of work, and we estimate it and we think it is all good, there is a lot of risk inherent in there. But also, and this is worse, we might ditch doing something really, really valuable for the company because we have clumped together all this value into a year-long project and we are making a really big decision – to go or no go – based only on that clump.

What happens when Non-Functional Requirements (NFR) are forgotten

September 18th, 2014 / Tales from a Trading Desk

“Behind the Curtain of the Rollout” offer a few excellent quotes.  I particularly like the quote around the number of concurrent users:

After the launch, HHS officials sharply criticized CMS’s management leading up to the launch of Referencing an email in which a CMS official admits the system could not handle more than 500 concurrent users, Mr. Baitman wrote “Frankly, it’s worse than I imagined!” and Mr. Sivak replied, “Anyone who has any software experience at all would read that and immediately ask what the fuck you were thinking by launching.”

Data Collision

September 17th, 2014 / Tales from a Trading Desk

Oracle GoldenGate and HotCache offer an interesting (but expensive) solution to solving certain classes of problem.  Assuming an application stack that is Java, leveraging Oracle Coherence, backed by an Oracles database, where the application stack is installed in two locations, with the requirements for bi-directional replication of data, so each application sees the others data, and can perform actions on the data.  GoldenGate leveraging HotCache provides a mechanism to achieve replication, with the added benefit that not only does the data get replicated between databases (GoldenGate), but that Coherence state is updated as well (HotCache).

Scala Parser Combinators

September 16th, 2014 / Tales from a Trading Desk

Combinator coolness:

  • Parser combinators FTW
  • Playing with Scala Parser Combinator
  • External DSLs made easy with Scala Parser Combinators
  • Parsing sentences using Scala parser combinator

Implementing Domain-Driven Design

September 16th, 2014 / Tales from a Trading Desk

Eric’s Domain-Driven Design (DDD) book is unfortunately not seen enough on software engineers desks.  Hopefully, Implementing Domain-Driven Design will increase the usage of DDD.  Having started to read the book on the last flight, I think Vaughn makes a number of comments in the early pages that are spot on.  Specifically:

“General abandonment of good design and development practices in the Java community” (page xxvii)

“Scrum and other agile techniques are being used as a substitute for careful modelling, where a product backlog is thrust at developers as if it serves as a set of designs” (page xxvii)

BlackRock Aladdin – 25m lines of code

September 15th, 2014 / Tales from a Trading Desk

BlackRock’s Aladdin is an interesting platform, offering dedicated client environments amongst other things.  Anyone know what the codebase is written in?   Coupled of interesting reads on Aladdin:

  • BlackRock’s Aladdin: More Powerful Than Politics?
  • BlackRock’s Aladdin: genie not included

Protocol Buffer – Backward Compatibility

September 15th, 2014 / Tales from a Trading Desk

Worth remembering:

  • you must not change the tag numbers of any existing fields.
  • you must not add or delete any required fields.
  • you may delete optional or repeated fields.
  • you may add new optional or repeated fields but you must use fresh tag numbers (i.e. tag numbers that were never used in this protocol buffer, not even by deleted fields).

Apple Pay – $40 billion Slice

September 15th, 2014 / Tales from a Trading Desk

MoneyWeek has an interesting angle on the recent iPhone 6 announcement.  The game changer being Apple Pay.  This is Money offers a further view on Apple Pay.

Market share is however the influencer.  Could Google copy the concept, and with its market share?

Commodore PET – Blast From The Past

September 4th, 2014 / Tales from a Trading Desk

Some of us started on these, learning CECIL.


Scaling Agile

September 3rd, 2014 / Tales from a Trading Desk

A few interesting articles worth a read:

  • Scaling Agile at Gilt
  • Agile PMO – Triangle of Truth :)
  • The new user story backlog is a map


Distributed Systems

August 27th, 2014 / Tales from a Trading Desk

Few interesting articles recently on distributed systems:

  • The Space Between Theory and Practice in Distributed Systems
  • Distributed systems theory for the distributed systems engineer

Of particular interesting:

How you decide whether an event happened before another event in the absence of any shared clock. This means Lamport clocks and their generalisation to Vector clocks, but also see the Dynamo paper.

And then there is the coolness of state machines:

Distributed state machine replication (Wikipedia is ok, Lampson’s paper is canonical but dry).


Legacy Data

August 27th, 2014 / Tales from a Trading Desk

Dave McCrory has an interesting presentation on InfoQ which discusses enterprise platform as a service.  Slide 23 onwards discusses legacy data, and the issues associated with data consumption.  Master Data Management is also discussed in the deck.  Which leads to a New York Times article, “For Big-Data Scientists, ‘Janitor Work’ Is Key Hurdle to Insights”.

Data scientists, according to interviews and expert estimates, spend from 50 percent to 80 percent of their time mired in this more mundane labor of collecting and preparing unruly digital data, before it can be explored for useful nuggets.



Capital Market Big Data Use Cases

August 26th, 2014 / Tales from a Trading Desk

Couple of interesting use cases in this InfoQ video:

  • Broker-Dealer transaction history
  • Client Review
  • Customer Relations and Prospecting
  • Enterprise Credit Risk
  • Cluster Pricing

Clearly the presentation didn’t have time to get into Lambda architectures, Spark and more

Open Bank Project

August 26th, 2014 / Tales from a Trading Desk

Interesting video on InfoQ on Open Bank Project – retail banking.  In many ways its similar to Bloomberg’s App Portal initiative.

Python and Big Data

August 19th, 2014 / Tales from a Trading Desk

Coupled of interesting video’s from EuroPython:

  • Python’s Role in Big Data Analytics: Past, Present, and…
  • Big Data Analytics with Python using Stratosphere
  • Scalable Realtime Architectures in Python


Dynamic Time Warp

August 15th, 2014 / Tales from a Trading Desk

Interesting read over on Systematic Investor, “Time Series Matching with Dynamic Time Warping”.  Would be interesting to apply DTW against trading recommendations.   Another paper on DTW also looking interesting: Trading Strategies based on Pattern Recognition in Stock Futures Market using Dynamic Time Warping Algorithm.  Likewise: Patterns In Financial Markets:dynamic Time Warping

Adding promises to Twitter Flight

August 14th, 2014 / Technical Tidbits

 Drafted in May 2013, but never quite finished, until now.

A good dose of Bootstrap is a wonderfully simple way to tart up your tired web site. So when Flight, an event based web framework, was open sourced early 2013 I was very interested to see what the talented engineers at Twitter had been up to.

Flight lets you construct your site with lightweight components. The key feature being that components cannot reference each other. All communication is via events delivered through the DOM.

As Zef Hemel asserts events are great, but often you really need a contract. He argues the answer is through dependency injection. By directly calling another object, you know immediately if the call succeeded or not.

Price Margining using Logistic Regression and Spark

August 11th, 2014 / Tales from a Trading Desk

Insight offered an interesting read on logistic regression and spark.  Which lead to the thought if one could track binary classification and predict a spread at which a client might hit a quote via an RFQ, RFS or ESP.   Interesting

Markov Model and Trading History

August 8th, 2014 / Tales from a Trading Desk

Interesting read over on Mawazo about smarter email marketing with Markov Model.  I wonder if instead of predicting when to send emails, one can predict the next trade, or RFQ?

Once we have the model, we will be able to predict, given the recent transactions of a customer, when the customer is likely to make the next purchase and how much he or she is likely to spend

Non-Technical Managers and Agile

August 7th, 2014 / Tales from a Trading Desk

Code Rant offers a view on coconut headphones.  Some great call-outs:

Current non-technical agile practitioners still don’t understand where the airplanes come from. They stand in their bamboo control towers with their coconut headphones on and wonder why their software projects still fail.

If your role is simply asking for estimates and enforcing the agile rituals: stand-ups, fortnightly sprints, retrospectives; then you are an impediment rather than an asset to delivery