Measuring your trading application performance

I completely support the idea of collaboration when it comes to sharing and reusing resources between parties. But its not easy when the involved are competing for the top spot in the league tables. However just found out about Securities Technology Analysis Centre which provide various trading systems performance benchmarks in consultation with all the big boys(council members) on the street.  Will be interesting to see how it works. Apparently your firm needs to be a member of the council to gain access to all the information and test harnesses etc. Wonder how much it costs and how much of your secret sauce you will have to divulge before you join.

Finance data visualization

Today I bumped into something extremely interesting and it has changed the way I look at the topic - Advanced finance data visualisation techniques.

Banks today are spending significant time and effort selecting 3rd party vendors to chart data, graph data etc. The focus primarily is on the quality of the graphs, easy API to use, good documentation and licensing costs. The exercise is a no-brainer. The more time we spend, the better decision we make. Some of the popular vendors being ChartFX, Infragistics, Nevron etc. All of them have their pros and cons. Some support WPF, some don't etc. One can come up with a big feature comparison table.

But are the right questions being asked? Are traditional visualization methods good enough? Are treemaps and heatmaps the end of the road? I had to see Lineplot's tick data video to trigger this creative left side of my brain. Simple and intutive! I guess, the developer's job to build these are trivial compared to the upfront costs required to get these ideas funded and supported by the business.

On a slightly different track, another video here makes it quite easy to understand the business concept. Probably not something a front office technology team could be building , but neverthless interesting to know that there are firms out there using these to woo their clients. Definitely something all sales teams should look into, in addition to adopting all the "inbound marketing" techniques which seems to be the "mantra" for the day.

Project Management Software

I am at a stage in my career where I'm beginning to look beyond technical and functional skills that are required to make it big in an organisation. Project management is going to be an eventual step in my career someday, but will try to push it away for as long as I can. I started looking at project management software available and was astounded by the number of players in the market. Microsoft project plans(MPP) are a thing of the past and now the buzz word seems to be "colloborative project management". Create plans on the web that can be shared and updated by loads of people. It definitely is a big plus over MPPs where the thick desktop client never keeps you motivated enough to update your gantt charts. Sharing the plan with other stakeholders and making the whole process more transparent will definitely improve the chances of the project, better tracking real life events.

Clarizen seems to be the 3rd best tool after @Task and Daptive PPM (refer reviews). But I played around with the interface and it seems to be very easy to use. It includes various other enterprise level management tools like Billing, Expenses, Issues etc. I'm not sure how this can integrate well with already existing infrastructure in an organisation for such tasks. The only 3rd party integrations seems to be with MPP and Microsoft outlook. Are there others? What about other bug tracking tools, JIRA etc?

A lot of questions in my head at this stage. Is there a more specific suite of tools aligned to agile methodologies? Are there any open source ones out there? Are these specialised to IT development?

I'll find out and put my thoughts down.

Volatility surface management - Part 1

Front office traders in a sell-side derivative houses can involve in a variety of businesses. A few of them are :

Flow - High net worth investors/Buy Side/Coporates willing to buyorsell options to finance or hedge their respective portfolios. Profit making is primarily through commissions.

Option Market Making - Dealer quotes a buy and sell price to maintain liquidity in the market and has to honour any trades done against them. Money is made through spreads.

Exotics business - Special clients requiring complicated products which involves combinging various vanilla products.

All of these have one fundamental technical requirement to do well. Pricing of options, which involves pumping various inputs(market data or derived market data) into mathematical pricing models(quant libraries) to generate a fair price of the option. The fair price is the value of the option based on the firm's model assumptions and other data eg. credit worthiness.

Volatility surface management has always been a critical aspect of the derivatives pre-trading pricing activity for front office trading. In addition to volatility, the other assumptions data that go into the Black Scholes formula for pricing an option are spot price(K), options strike(S), interest rate(r), time to expiry (t), dividend schedule (d) and borrow cost rate(b).

Software as a service - interesting talk

http://onstartups.com/home/tabid/3339/bid/7196/Video-from-Business-of-Software-Everything-I-Know-About-Startups.aspx