July 28, 2006

Like many other etrading development teams, we use ION’s MarketView for ECN connectivity. The possibility of coding our own gateways, or switching to a different gateway vendor is frequently mooted. Coding our own gateways would mean hiring more developers, but would give us more control. It’s hard to see what the advantage of switching to a different gateway vendor would be, unless they could offer dramatically better pricing or performance. Somehow I doubt that’s possible. But it would be very interesting to hear from anyone with experience of iCubicLast Group or SoftSolutions‘ connectivity products.

Excel 2007 again

July 28, 2006

A couple of emails with Paul have reassured me that live pricing sheets driven by real time market data and hosted by Excel services will be possible. The solution is to code an RTD server that uses Excel’s web services API to kick off a recalc that will pull in the new data. Hope the managed code required by Excel Services doesn’t introduce too much latency.

And in other news, congrats to Marc on his new gig!

I went to the Office 2007 event at Credit Suisse on Tuesday night. Jim Burns, CTO financial services Microsoft UK opened the event. A CSFBer called Leslie spoke for a few minutes. He announced he worked for R&D in CSFB, that they identified emerging trends for the next 3 to 5 years, and that virtualisation and MS Office 2007’s distributed work features were the coming things. Then Ian Moulster, Product Manager for the Dev & Platform Group in MS UK spoke briefly. Then finally, we got the meat in the sandwich, an hour long presentation by Paul Foster, Developer Evangelist on Excel Services and InfoPath.

Excel Services is based on Sharepoint, which seems to provide some app server like hosting of the all new Excel Server calculation engine. Excel Server hosted worksheets can be rendered in a browser, and support interaction using AJAX techniques. Excel Server hosted worksheets can be invoked programmatically from a client using a web services API too. Paul alluded to XLLs a couple of times. I asked him about them afterwards. From the Excel 12 blog, it looks like C/C++ XLLs on a client Excel will be similar. However, a server side XLL, running under Excel services, must be managed code, though unmanaged code can be wrapped. When I asked Paul about injection of real time data into a server side worksheet, he indicated that my DDE based technique wouldn’t work for Excel services, as Windows permissioning would disallow it. And now the cumgranosalis blog tells us that RTD doesn’t really work for Excel services.

Why is this a problem ? It’s not unknown for traders to implement ad hoc pricing engines in Excel. I’ve worked on an Excel based system that autoquoted exchange traded option strategies. The recalcs were driven by a real time feed of futures prices – the future being the underlying for the options. We injected the futures price with DDE. It’s looking like it won’t be possible to implement this kind of system with Excel services, which is a great pity.