Folks,

The real-time trading platform that I'm building requires running strategies on historical data at very high speed. There could be hundreds of thousands of such runs with different permutations of arguments.

I do not want to force my customers to write trading systems in MIL and MIL, according to its description, might not be suitable. So I was wondering if I should 1) try to translate trading systems from Lisp into MIL or if I should 2) build my own Lisp kernel for trading systems execution. There's also 3) the option of not running strategies in MonetDB/MIL.

#3 would require using MAPI and extracting data points one by one. I dislike this as it would not let me take advantage of vector processing.

#1 would require using MIL to potentially write Fast Fourier Transforms or something similar. I'm wondering if MIL would be up to the task.

#2 is the option that I would prefer as I could hook up into the GDK to quickly iterate through BATs and BUNs and use Lisp to write and debug trading systems. With some coordination I think I could even use MonetDB-SQL together with my kernel, so long as I leave all the insertion and update operations outside of Lisp.

What do you think?

Thanks, Joel

-- http://wagerlabs.com/uptick