TransMarket May Use CEP to Create Quick Custom Algos

TransMarket May Use CEP to Create Quick Custom AlgosComplex event processing enables new trading strategies to be developed, tested and delivered in a week.By Penny Crosman
-->#C*H(1 27, 2008
Related Feature: Wall Street Firms Using CEP to Measure and Manage Risk
This article was revised after the print edition went to press.
Miles Kumaresan, head of quantitative trading at proprietary trading firm TransMarket Group, is a proponent of complex event processing technology. Having tapped CEP for algorithmic trading at his previous firm, a large European investment bank, Kumaresan says he may be using it again at his new firm. At the European Investment Bank, Kumaresan's group had developed its algorithmic trading program from scratch for the equities and futures markets using Kx's CEP software. "One of the key things we do all the time in algo execution is estimating a whole range of probabilities for various market events," Kumaresan says. "If you were to extract large amount of data and then perform calculations using a conventional language it would be sub-optimal. So we wrote all our analytics in native q [Kx's proprietary language]."
"Q was critical to developing new trading algorithms," he adds. "It's a simple and elegant language; it closely reflects the low-level representations of the data, so powerful operations can be performed efficiently on large amount of data without explicit iterations." Kumaresan explains, noting that he spent a month learning q, "Not because I was going to actually code the analytics, but more to understand the power of the product and enable me to make informed decisions."
The group first built an execution harness, mostly in Kx but with some parts in Java, where Java handled the connectivity. This took several months. "But this was a complete execution order environement," Kumaresan says. "With the harness in place new algorithms were developed quickly. "
Although TransMarket group has been around for 28 years the quantitative trading unit was formed just seven months ago. Kumaresan says that he'll consider buying the Kx software again for this unit.