Lately I’ve been taking an interest in the maths of limit order book behaviour. Electronic exchanges, and many ECNs, are organised as limit order book trading systems. Stock exchanges, like the LSE, and futures exchanges, like Eurex, are organised as limit order books. Larry Harris has interesting comments to make on the interplay between limit and market orders on limit order books. It’s an interesting area for trading system developers, since broker dealer banks and hedge funds sometimes sponsor system development aimed at exploiting order book behaviour. Here’s some linkage…

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They’re falling like ninepins now. Last week it was Dresdner. Today it’s Lehmans. Now there are rumours that Merrill is negotiating an end to it’s independence with Bank of America [update:it’s no longer just a rumour] . Could Morgan Stanley, or even (whisper it) Goldman’s be next ?

I’m proud to say that this is an area where Britain has led the financial world. We used to have independent investment banks like Morgan Grenfell, Barings, Warburgs & Fleming. They all collapsed or sold out ten or more years back. Now our American colleagues are following the trail we blazed !

Recently there’s been a lot of talk about the so called “universal banking model” – institutions that combine retail, commercial, wholesale & private banking with broker dealer trading operations and asset management. I guess this is more validation of that model…

It’s a very sad day for the Lehman staff. I know there are a lot of talented IT people there. They’ll all lose their jobs, and are unlikely to get any kind of pay off. No doubt BoA will lay off a lot of Merrill staff, but should give them a few months money.

Caplin Chrome

September 9, 2008

I’ve installed Google‘s new browser Chrome on my Vye S37 at home. While my Vye runs Vista, it doesn’t have Office installed. Instead I use EditGrid and Google docs from IE7. My CPU is often maxed out, despite IE being the only app running. I guessed that all JavaScript running in the browser was hammering the CPU, so I gave Chrome a spin. It’s fast, and CPU loading is way down. Thank you Google Chrome – you breathed life into Vista for me !

So the obvious question is, what will Chrome do for Caplin Trader‘s JavaScript ?  Alas, my employer won’t let me find out, as the InfoSec guys have barred access to the Chrome download. Running Chrome is verboten, and delinquent developers have already been warned… It would be good to see some commentary over at CometDaily. Perhaps Martin could run his grid benchmark in Chrome.

The fall of Dresdner

September 4, 2008

So Dresdner has finally been sold to Commerzbank by Allianz. The sale of DKW has been often rumoured over the last few years. It’s sad to see it finally go, since Dresdner had long been a bastion of tech innovation in the City and Wall St. A while back I commented on how Swiss Bank, long since merged with UBS, was the coolest bank from a tech perspective back in the early and mid 90s. In recent years Dresdner has grabbed attention with…

  • OpenAdaptor: this open source middleware toolkit made DKW the first bank to open source its own code
  • Enterprise Wiki: DKW was an early high profile adopter of social software
  • Digital Markets: the DKW etrading, emarkets, eeverythin initiative

I know quite a few folk who went to DKW and confirmed that they were early adopters. But of course, attention grabbing early adoption isn’t a reliable indicator of success…