Algorithmic Trading - CEP

Discussion in 'Automated Trading' started by pnorilsk, Jan 4, 2008.

  1. pnorilsk


    I deeply apologize if this posting is construed as a spamming, self promotion campaign. Please, flag me out, but let me know where I can post it.

    I'm in the process of finalizing major software components for the Complex Event Processing (CEP) engine for algorithmic trading. But, the last mile turned out to be a very challenging task. The idea is big and I'm trying to pull it alone. I believe eventually I can do it. But opportunistic reasoning and practical experience suggest me to seek help. I need help with software development. Please, no offense meant, but I am looking for 10+ years of heavy software development experience - Java/C/C++, mathematical modeling, etc. And most importantly I need help from a seasoned and successful trader with original ideas. I am myself a very novice trader, and although I have a solid mathematical background with original research in digital signal processing, my practical trading experience is almost none existent.

    BTW, someone on this forum mentioned the Nash Equilibrium. I think this platform can handle it with ease.

    Please, if interested send me a PM or give me advice on recommended action.
  2. "Opportunistic reasoning and practical experience suggest me"...
    That you should keep apologizing...
    For trying to hitch a FREE RIDE.
  3. vikana

    vikana Moderator


    I'm not sure what you're asking for. CEP is a well known technique in asynchronous systems, and there's a whole industry built around providing CEP to wallstreet.

    What exactly is it you propose to provide in return for the 10+ year specialist in programming and trading helping you out?
  4. pnorilsk


    I would assert that CEP systems on Wallstreet are a relatively new phenomena, say 1, or at most, 2 years. Correct me if I am wrong, but I don't think existing implementations (very few known like in Deutsche Bank, ABN Amro, and JP Morgan) are readily accessible by absolute majority on this forum.

    So, the idea is to build "yet another mousetrap" and to share pains and benefits in the process.
  5. Yes, any kind of DTM orders (Algo. orders) that Wall Street provides the client with is a light CEP system.

    Though, the strategy they provide is not at all impressive... it gets the job done though...

    Anyways, can you provide us with the brief overview of the type of "Algo" that you would like to implement. You just can't ask someone to help you out without giving out how you want to be helped. Another question is, the market(s) you would like the Algo. strategy to be implemented in.
  6. pnorilsk


    I am not sure I can provide any info on algo, here are a few reasons:
    - I’m not a trader and I’m looking for help exactly in this area
    -The CEP, or more precisely, Event Stream Processing is a fairly new field, and most important, since this approach is quite different from main memory DBMSs and rule engines, the canonical well known algorithms are not always applicable in this case.

    There are a few distinct characteristics of CEP – Real-Time Stream Processing:
    -ability to process very high volume of feed data with very low latency
    -minimizing development effort to set-up the system with tailored SQL which allows for expressing rich event conditions, correlation, usage of timing sliding windows, etc. without any modification of engine kernel
    -processing messages (feeds) “in-stream”, and to perform any operation or sequence of operation without any requirements to store them

    CEP and ESP can be used in algorithmic trading on all exchanges (in fact it could constitute one favorable condition in CEP assisted trading), adaptive computing, fraud detection, real-time business intelligence, etc.
  7. Davdse


    You sound like a snake oil salesman. And for the record, I'm using an ESP engine myself.
  8. Your not a trader and your not a programmer...

    Wow... are you completely unaware of the EXTREME difficulty of completing the project you want to initiate... even planning the project properly would be exhausting...

    The broker and hedge teams that produce decent Algos, CEP's, and other auto formula trading... have Math Guys, Quants, PH.D's, Top Project managers and a team of advising traders... to go at a project... ALL OF THEM WORK ON IT...

    and they, these teams of intensely educated individuals, often FAIL to correctly create a successful algo system... after a whole LOT of work...

    and these guys get 200K or more as a base salary... plus benefits... plus stock options

    Wow... i am a trader and a programmer of high end Biz applications for large companies and i would not even attempt this if someone had a gun to my head...

    You need to look into buying a canned CEP algo system that you could tweak...

    and consider neurosurgery as a part time hobby...

    <img src="">
  9. pnorilsk


    Well, just for the record - I'm Enterprise Architect / System Engineer / Developer with estimated ~500 KLOC of original code in many environments and languages and 20+ years of experience . Sorry man, you gave me the opening for self promotion. Please, read postings more carefully next time.

    My experience includes systems development and work for JPMorgan, DB, BankOne, DoD, IBM, Sun, etc.

    But, as an expert practitioner in my area of expertise I recognize my shortcomings and try to find ways to compensate it. I have unfinished system. As I said I will finish it anyway, but, I was thinking someone on this forum with common sense, rudimentary knowledge of CEP/ESP concepts, and solid trading experience will consider to get involved. I can use such help.
  10. Yes, Good Point, that was lazy of me. I apologize for that... :(

    You are probably very aware of the high failure rate of complex software...

    You might want to up front design this for quite awhile, then run it by some trader programmers in the Algo area...

    but i think you are wasting your time... like i said you need a TEAM to work on this and then testers to not only see that it can work but also cannot be easily reversed engineered

    this link also might be of interest...

    <img src="">
    #10     Jan 9, 2008