[Monetdb-developers] Lisp trading systems kernel on top of GDK

Joel Reymont joelr1 at gmail.com
Thu Jul 28 12:37:18 CEST 2005


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







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