

How Linux mastered Wall Street - abennett
http://www.itworld.com/open-source/193823/how-linux-mastered-wall-street

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joshaidan
"As late as 2007, Wall Street exchanges were still largely run on Unix, such
as HP's AIX and Sun Microsystems' Solaris."

Isn't AIX developed by IBM? HP maintains HP-UX if I'm not mistaken.

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paperwork
Frankly, I'm often surprised that how much of wall street is still windows
based. A year or two ago I spoke to a co-location vendor who told me that most
of their customers run their automated trading strategies on windows machines.
A friend is currently working with a very popular market data vendor who only
provides windows API. Some of their customers use linux, but they are forced
to use WINE! The vendor has no plans to provide linux based api, something
more portable like java or even straight tcp/ip message specification.

~~~
mynegation
A lot of this has to do with Excel. Average finance guy lives in Excel and no,
libre/open office is not a replacement as they will not run a huge number of
macros and DLLs connecting spreadsheets to external systems. Quant guys are
often locked in matlab world and again - octave on Linux cannot be used due to
incompatibilities.

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paperwork
I forgot about Excel. I think people outside of wall street will be surprised
at this. I, myself, used a visual basic app to do some trading (not visual
basic.net, VB!) as recently as a couple of years ago :).

Even in the linux world, PERL is used by many quants for their analytics...not
just to parse files, but as an alternative to R, matlab, etc.

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pnathan
It's Perl, not PERL. /sigh.

Also, Perl is A Real Language, unlike.. ah, >.>, Excel.

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paperwork
Let me switch sides for a moment and defend some of what happens here. In
certain instances, Excel is a very good tool. In fact, if Excel's performance
could be improved, it would become the best tool for some scenarios.

For example, you need to manage a stream of data. You have prices coming in
and you need to publish another set of prices going out (perhaps you are
trying to peg quotes in the market off another set of quotes...details don't
matter). Use Excel's RTD to put incoming prices into some cells. Calculate the
outgoing price by typing out a simple formula which references the original
cells.

All other commonly used languages are more batch oriented, rather than stream
oriented. In other languages, the code will implement some sort of call-back
method to handle incoming data. This program will need some sort of "main"
method. Perhaps the program will need to be compiled. Certainly the user will
have to know how to run it.

A non-programmer will obviously pick the excel solution (and many programmers
will as well).

The financial industry does lots of things ass backwards -- a few of them
really do make sense :)

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nitrogen
I wonder if a more explicit graphical flow-based programming system would be
even easier than the implicit flow-based setup that's going on behind the
scenes in Excel. For example, you have an object that represents an incoming
stream of quotes. An output pin on that object connects to a "formula" object,
which is wired to an output stream object. It's all based on ancient ideas
(like Max/MSP, Pure Data, etc.), but maybe it could be useful.

Disclaimer: I created a flow-based system for home and building automation (no
doubt one of many), so I tend to see uses for it everywhere ;).

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paperwork
Explicit graphical flow-based systems have their own issues. If the logic is
simple, the systems are manageable. However, complex logic very quickly leads
to a very complex graph with huge number of lines criss-crossing each other,
until they make no sense.

Conal Elliot has done some interesting work in the area of "visual
programming." The following is a good paper, but entirely academic:
<http://lambda-the-ultimate.org/node/2159>.

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sigil
Ahem. I know of at least one HFT in NYC that's _killing it_ with FreeBSD.

~~~
akronim
If you read the article you'll see it's talking about exchanges, not those
trading with them.

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sigil
Not so:

> "The trading shops saw that the lowest-latency solutions would only be
> possible with Linux," Lameter said. "The older Unixes couldn't move as fast
> as Linux did."

