HPC

Over the last few years numerous investment banks have been using their DataSynapse grids to run Excel. Does Microsoft finally have a solution that is better? Windows HPC Server 2008 R2 and distributed Microsoft Office Excel 2010 for the cluster. “support for deploying, running and managing clusters up to 1,000 nodes” still appears a bit on the small size given some of the grids the sell-side has.

Satnam provides us with another reason to start using F# – GPGPU and x64 Multicore Programming with Accelerator from F#.

RiskMetrics recent announced its cloud-based analytical platforms – on Azure. This PDC session provides some insight into there offering. The key to this computational problem is that the HPC Broker scales out to Azure as show in presentation – slides 29 and 30 provide high level architecture views. WorkerRoles were used over WebRoles.

I’m curious how real-time the overall architecture is. It’s also unfortunately there is no OLAP real-time cube – but then again if they had solve all the real-time risk problem, I wouldn’t have anything to blog about

Having been away for a few days I’ve spend the last few hours catching up on emails and blogs.

• Inside .NET Rx and IObservable/IObserver in the BCL – worth a watch if you want to know how they implemented the type projection funtion of ‘Select’ in the RX framework
• We haven’t see George Chrysanthakopoulos on C9 for awhile. Wonder if he is still in CCR land?
• I see Rob has an interesting session at PDC09. I guess that will be the session to tell us all about System.Xaml.dll. Hopefully Rob will release his XAML Analysis Tool soon as February 2009 was a long time ago

I suspect at least one bank has looked at this technology – especially given the push for real-time risk. Not a platform your probably going to run your .NET code on – Tilera appears to use SMP Linux 2.6, so the only choice is Mono.

Webcast available here, further reading here.

“Facebook has grown into one of the largest sites on the Internet today serving over 200 billion pages per month. The nature of social data makes engineering a site for this level of scale a particularly challenging proposition. In this presentation, I will discuss the aspects of social data that present challenges for scalability and will describe the the core architectural components and design principles that Facebook has used to address these challenges. In addition, I will discuss emerging technologies that offer new opportunities for building cost-effective high performance web architectures.”

NAG Quant Event: The latest NVIDIA GPUs (graphics processors) have up to 240 cores on a single chip, and are fairly easily programmed using C/C++ with some extensions. In this talk I will discuss work with NAG to develop numerical routines for GPUs to generate pseudo-random and quasi-random numbers for use in Monte Carlo simulations, as well as my experiences in implementing simple 3D finite difference applications on GPUs. In both cases there is approximately a 10x improvement in speed, cost and energy efficiency compared to traditional servers with two quad-core CPUs. The potential of GPUs is underlined by Bloomberg’s recent announcement that they are using 192 GPUs for pricing calculations, instead of buying 1000 new servers.

48 nVidia powered instead of 1000. “800% performance increase”

Life at Lab49 has been busy recently with a diverse set of client delivery, sales and marketing activities – all good news as the business continues to grow on both sides of the Atlantic.

On the marketing front, we have written a lot of great articles this year, and have been in a number of other features, providing commentary to the relevant stories. They can all be read on the Lab49 website here with the articles carved out in a separate page here. A few highlights:

Finextra has a story today that made me smile – CloudTrader Although its only based on a SIFMA survey – not sure how much one can read into these survey’s, it’s will be worth watching given the money Microsoft, Google, Amazon, IBM, Platform etc are throwing at Cloud computing. I’m actually surprised no CEP vendor has press released on the Cloud for SIFMA

Although release last year, anyone used Evident with Coherence? I wonder if they plan to support Microsoft Velocity? – suspect not given that is looks Java centric. Few interesting screen shots here, and architecture here.

Interesting posting of Gigaspaces vs Coherence (via a colleague). Space-based architectures although interesting and extremely useful have never really taken off in a big way for various reasons – partly due to costs I suspect. You can mimic of lot of the Gigaspaces functionality in Coherence – but you’ll write a lot of code, and would you really want to? One thing to be aware of when developing a space-based architecture is a sensible solution for the client feeder fail-over i.e. you probably want your space fed by Tibco RV or similar, with the master/worker pattern used to process messages. The containers have an SLA, but the feeders also need an SLA.

I spoke to Eric Morse (Business Development Windows Azure at Microsoft) today. I was grateful for the time to discuss Azure in the Capital Markets space. CloudTrader was obviously discussed, but one thing I forgot to question was the Microsoft thought process going on around Azure and Orinoco (Microsoft’s CEP server). With Azure getting Velocity support Microsoft will provide a data fabric in the cloud. Since Orinoco is coming via the SQL Server team, and given that SQL Server (SDS) is already in the cloud, it would seem natural to offer Azure support for Orinoco. With Orinoco and Velocity both Azure enabled you’ve essentially got JavaSpaces – .

Unfortunately CloudTrader is going slowly due to feature dependencies on the Azure CTP releases Gigaspaces on the other hand appear to be doing quite well in this space.

Check out the Order Management wiki page – master-worker pattern. RFQ or similar workflow!

Nomura appear to be heading in the right direction with its hires and application development. They also appear to be making head way in the FX space – Nomura want to be in the top 5 FX houses in the next 3 years. Silverlight appear to be part of their FX strategy – presumably with the appropriate UX, they will offer Spot, Forwards, NDF’s and Vanilla and Exotic Options. Now all Nomura needs is a Single Dealer Platform (SDP) to take on BARX and Autobahn Or maybe, given the level of investment and drive they want to consider EC2 as part of their solution, taking advantage of Amazon’s recently announced features; Amazon CloudWatch, Auto Scaling and Amazon Elastic Load Balancing. A number of lead edge hedge funds have been using EC2 for a while now, but with these new features its about time investment banks seriously reviewed EC2.