FOREX TECHNOLOGY
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leverage that same technology base with the assurance of precedence. “CEP has reached a maturity that usability, reliability, scalability, maintainability are the ante to the game,” Lovas contends.
Deacon points out: “When firms are selecting CEP, it’s important to look for an established vendor with a good track record and robust references. It is still easy to procure a product that does not necessarily fit all your requirements. One also needs to ensure the vendor supports all the business and operational requirements, for example high availability clusters (i.e. no down time if something fails).”
Sybase, for example, provides full high availability through its Event Streaming Processor (ESP), an award winning CEP platform. It allows for rapid development and deployment of business critical applications that analyse and act on high velocity and high volume streaming data - in real-time. Tis encompasses ability to deliver real-time applications such as continuous risk-assessment and low-latency algo trading. Te ESP platform is fully integrated with the other data management products provided by the vendor.
Developers perspective
As to how FX firms can better leverage CEP as a developer’s productivity tool to focus on business logic and go from prototyping directly into production without extended development cycles, Deacon notes: “Tat’s really one of the fundamental reasons why CEP exists. It’s a rapid prototype, build, test, iterate and deploy platform with modules for back testing, debugging, results analysis and production management, our clients typically quote it delivers over 5x greater productivity compared to traditional development languages.”
Users get a fully integrated environment in which they can develop a particular algo or pricing component within Sybase’s ESP, explains Deacon. “With traditional technologies that can be a time consuming and fiddly process as one needs to build a test harness that will capture and replay fully synchronize market data and order flow to evaluate the performance of the code,”
“With CEP one is able to simply attach to the traditional sources of market data such as Tomson
100 | april 2012 e-FOREX
Reuters or Bloomberg and with pre-built adaptors simply switch on the stream of data. Sybase provides the ability to capture and store that data - subsequently replaying it on demand for back testing at varying speeds.”
“It’s that sort of capability that gives the developer a real headstart since they can make a change to their business logic,” continues Deacon. “Tey can instantly test it and run a day’s worth of data through in just minutes. Tis assists in building strategies far more quickly, with large scale testing available before algos are deployed live.”
Strong modularity within the CEP product should be considered too. Deacon says: “We provide modularity as part of the Sybase ESP, this enables fine control over those components which traders and quants can modify and protects the rest of the CEP code from unauthorised change.”
Analytical functions
Lovas says: “Te key really lies in what built-in analytical functionality is available in the CEP platform itself. CEP is first and foremost a development platform and one that is highly geared towards building strategies.”
Quants typically apply an
empirically tested and rules-based approach to exploit perceived market inefficiencies. But to achieve that in their strategy models requires a broad set of analytical functions. Lovas notes: “CEP platforms out-of-the- box should manage order-book market depth without costly coding efforts.”
He explains: “Many vendors provide a graphical modelling tool for the construction of strategies whether for alpha-seeking or execution. Tese tools have the same objective in mind - to shorten the time from idea to deployment by employing concepts that make them approachable to the non-programmers - Quants and traders.”
Essentially the basic building blocks are there in the form of analytical functions, data filters, aggregators and other means to enrich or analyse markets and manage orders.
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