nehal patel gmo october 21, 2008 proactive for algorithmic trading
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NEHAL PATELGMO
OCTOBER 21, 2008
ProActive for Algorithmic Trading
Algorithmic Trading at GMO
What we do: Introduction to our business
High-level grid/distributed computing goals
ProActive
What we do
Our Business: Invest money for clientsMethodology: “Algorithmic Trading”
Computers Math (some ) Finance
Our Team: 12 members based in Boston and Minsk Educational background: Math, Physics, Computer
Science Work Experience: Finance, Academics, Biotech,
Internet startups
Current Environment
Trades Currencies and futures on 24 hour, continuous basis
~4000 trades a day, $10 billion, 9 banks
Two data centers, ~200 nodes, dozens processes
Motivation
Basic Problem: How can you make money using computers for investing?
Basic Wisdom Trade frequently, but smartly /Law of Large Numbers Ideas last for months not years
Agility, Creativity Find the right edge
Math and CS are equally important Embrace complexity, don’t sacrifice robustness
Methodology
Mathematics Machine Learning/Data mining (Like Biotech, Web) Dynamic Programming (Like Airline Scheduling)
Computer Science Java (~750,000 lines) Emphasis on infrastructure Utilize open source Data Sets: 4-5 Terabytes Real-time, Event processing: ~30K messages/s
Algorithmic Trading at GMO
What we do: Introduction to our business
High-level computing goals
ProActive
Distributed Computing Tasks
Real-time Stochastic ControlComplex Event ProcessingReal Time Statistical AnalysisData Mining Large DatasetsBatch ProcessingHistorical Simulation
Distributed Computing Goals
Style Distributed Objects living in a sea of multicast data Lightweight Agile
Features Scalability P2P / Data Push-Pull Same Code both simulation and production
Algorithmic Trading at GMO
What we do: Introduction to our business
High-level distributed computing goals
ProActive
Attractive Features
POJOS Separation of Concerns High Speed simulation
Toolset FocusRapid DeploymentDynamic byte code
ProActive
Consulting with ActiveEon Low Level Architecture
Topics: Performance More Transparency for POJOs