December 21, 2009
Matt shares his thoughts on F# for SDP implementation here. I don’t know as much about F# as he does, but I have dabbled with VS2010 and played with OCAML on Ubuntu at home. I’m sure the stateless functional approach will be a big help in structuring asynchrony and concurrency in server processes. So I agree with the general thrust of his argument here.
I would take issue with one of Matt’s statements: “If you think about an SDP, its primarily an integration build”. I have heard the same view espoused by managers who think an SDP build is just a trivial matter of hooking up some vendor servers like Caplin’s Liberator to internal middleware like the TIB, and hey presto, quotes and executions will flow. It’s nowhere near that simple. I prefer to say that building an SDP is like building an ECN. Think of it as building you’re own Bloomberg or TradeWeb.
December 14, 2009
Got a copy of Lords of Finance as a birthday present at the weekend. I’ve been enoying the opening chapters hugely. The author, Liaquat Ahmed, has done for financial history what Anthony Beevor did for WWII with Stalingrad. Explication of grand strategy is interwoven with human detail to create narrative momentum. Strongly recommended…
December 3, 2009
I’ve just finished reading Larry McDonald‘s ‘A Colossal Failure‘ book on the collapse of LEH. I greatly enjoyed it’s mixture of first hand experience of trading at Lehman’s with airport thriller style page turning narrative drive. The Jeffery Archerish rattling good yarn story momentum comes from Patrick Robinson’s ghost writing – Robinson is a thriller writer. The Lehman experience from McDonald is not just entertaining description of senior LEH people and their machinations, but also lots of good detail on the trades he put on.
Some of the Amazon reviewers have objected to the slightly breathless Dan Brown tone of the writing. It is a different approach to business writing, which is often too sober, boring even. There aren’t may comparable books, but I would mention Ferguson’s High Stakes, and Lewis’s Liar’s Poker. I wonder if McDonald has another book in him ? He could be the next Michael Lewis. Or maybe he’ll be too busy advising for a film project, because Colossal Failure would make a geat Hollywood movie in the vein of Trading Places or Gordon Gekko.