Colin Clark

As much as I disagree with much of what Curt Monash writes, he did actually ask a good question recently in his post, “Renaming CEP… or not” Without getting into a rehash of the hash over there, let’s look at things a bit differently.  Let’s talk about what CEP is not. I left trading to join a firm called NEON.  I was an early investor in this company, my mentor had started the firm, and to me it looked like the cat’s meow.  It was a great time, a lot of people made a ton of money, and I was introduced into the world of software via Enterprise Application Integration (EAI).  Using EAI, one could centralize the business logic associated with plugging different systems into each other, convert the format of one system into another, and pass messages around seamlessly between these applications.  There weren’t a lot of competitors at that time, we were arguable #1 in t... (more)

Building a Back Testing Platform for Algorithmic Trading

On this continuing series, I am examining thoughts and specific implementation details around building a back-testing platform for algo trading.  Eventually, we’ll see where complex event processing plays and how to implement it. Appendix to Part One – The Data Format Rather than looking at various database solutions first and then trying to define the problem in terms of those solutions, let’s first examine what market data looks like.  In its most simple form, market data looks like this (there’s usually a little more, but this is fine for our purposes): Date: The date of the ... (more)

Cloud Event Processing: CEP in the Cloud

Over the past few weeks, I’ve implemented map/reduce using techniques commonly found in Complex Event Processing.  Here’s a summary of what was involved, and what tools would make such a deployment easier. Getting the Data One of the first tasks accomplished was the creation of an OnRamp – we use OnRamps to get data into our cloud for processing.  The specific OnRamp used in this learning exercise subscribed to Twitter and fed the resulting JSON objects onto the service bus, RabbitMQ in this case.  We had to correctly configure RabbitMQ for this, and the OnRamp needed to be specif... (more)

Cloud Event Processing – Where For Art Thou oh CEP?

In a recent post, Louis Lovas of Progress Apama explains why the first generation CEP vendors don’t have many, if any, cloud deployments.  Here’s a quote from his post: Typical of event processing applications that do things are those in Capital Markets like algorthmic trading, pricing and market making. These applications perform some business function, often critcal in nature in their own right. Save connectivity to data sources and destinations, they are the key ingredient or the only ingredient to a business process.  In the algo world CEP systems tap into the firehose of da... (more)

Cloud Aware or Cloud Built

So You’re Renting Xen Condo’s in the Cloud, Big Deal, What’s Your Next Act? Here’s another quote from the article, “21 Experts Define Cloud Computing” “The ‘cloud’ model initially has focused on making the hardware layer consumable as on-demand compute and storage capacity. This is an important first step, but for companies to harness the power of the cloud, complete application infrastructure needs to be easily configured, deployed, dynamically-scaled and managed in these virtualized hardware environments.” Kirill Sheynkman I like this quote too – but for different reasons th... (more)