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Folks,
I'm building a new ATS development platform on top of Erlang. I will
focus on real-time trading systems and tick data. The core of the
system will be open source but I'll make money on data feed handlers
and add-ons.
This is a bit of a research project so any suggestions and critique
is welcome. I will also eat my own dogfood and use the platform for
trading.
There are several features in Erlang that make this the ideal
platform for processing and analyzing high volumes of real-time data.
Please take a look at the following links:
http://www.wallstreetandtech.com/showArticle.jhtml?articleID=164903661
http://db.riskwaters.com/public/showPage.html?
page=printer_friendly&print=195098
http://www.dbta.com/in-depth/mar05/rugg-palmer.html
This is just the type of work that can be cheaply done with Erlang
and I'm surprised that no one has thought of it before.
Data feed adapters can be easily coded with Erlang and it comes with
a high-performance database that makes storing tick and instrument
data easy. I will initially focus on tick data as this should make my
job easier. I won't have to deal with futures rollovers, etc.
Building grids and clusters is also simple as Erlang is all about
large numbers of very lightweight distributed processes running on a
network of "nodes". Processes don't need to be aware of where on the
network other processes are running, they just message each other.
You should build yourself a server farm with real-time data feeds
from various sources all going into the same database. I will enable
this. And of course there's that 99.999% uptime.
The RSS feed is in http://wagerlabs.com/uptick/atom.xml or you can
omit the atom.xml bit to just read the blog.
I have basically waited for this for the past 10 years (see http://
wagerlabs.com/resume.pdf) and now all the pieces of the puzzle have
fallen into place. Please let me know what you think!
Thanks, Joel
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