NEHAL PATEL GMO OCTOBER 21, 2008 ProActive for Algorithmic Trading.

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