News from Dyalog

Dyalog has posted its summer newsletter.

APL2010 programme published

APL2010 has published its programme.

BAPLA09 presentations online

Presentations from the BAPLA09 conference in Reading have been posted online.

STAC releases new market data benchmark with results from Kx and Oracle

The Securities Technology Analysis Center (STAC®) today released STAC-M3TM Benchmark results for a solution from Kx Systems and Oracle Corporation. STAC-M3 provides a common measuring methodology for solutions that manage large timeseries datasets (tick databases). The measurement standard is currently a community proposal developed by the STAC Benchmark Council, comprised of trading organizations and vendors. The Council defines a series of standard benchmarks for capital market workloads, though interestingly only trading organizations - and not vendors - can approve specific tests, which ensures the benchmarks have relevance to real-world trading demands. To complete the inaugural benchmark testing on timeseries data, Oracle (NASDAQ: ORCL) worked with Kx Systems, using Kx’s kdb+. The results have now set the standard for a series of benchmark tests to be carried out over the next few months.

The ability to quickly analyze timeseries of price and trade data is crucial for firms which trade financial instruments such as stocks, currencies, options and other derivatives. The growth of high-frequency trading makes it important for firms to rapidly store, retrieve and analyze massive quantities of data in order to back-test new trading algorithms, monitor their risk, and satisfy regulatory demands. At the same time, surging data volumes brought about by computerized trading make these tasks increasingly challenging in markets which can ‘tick’ (publish changes to prices) millions of times per second.

Peter Lankford, founder & director of STAC, said: "We're pleased that Kx and Oracle have taken the lead in publishing STAC-M3 Benchmarks. This testing responds to a direct need for performance data expressed by some of the world's leading financial institutions. We look forward to further benchmark results from Kx and Oracle, as well as other vendors of software and hardware that can be used for managing large timeseries of data.”

Simon Garland, Kx chief strategist, said: “We have worked closely with STAC and Oracle to create benchmarks. Going forward, the benchmarks will give financial institutions clearly defined criteria for measuring the performance of their systems. When setting up large, critical databases people need to be sure that the configuration they use is delivering the best possible performance within their hardware and software constraints. The problem is nobody has the time and resources to do an in-depth evaluation of all the alternatives and ideally to regularly revisit the chosen solution. These new benchmarks from STAC are valuable components of these decisions."

This series of tests is designed to set a standard for future benchmarks to be carried out by STAC in conjunction with various vendors. The results are vital for financial institutions needing to address their CEP requirements, facing the pressures of constantly increasing data volumes and regulatory demands. The STAC-M3 Benchmark suite is the first benchmark standard for market data timeseries (tick) databases, allowing vendors to measure their performance and financial institutions to test their own systems.

The STAC-M3 Benchmark standards will accelerate market selection of new technologies by enabling user firms and vendors to measure the performance of their database solutions in a common way. Trading firms will be able to quickly assess the benefit of innovations at all layers of the tick-database ‘stack’ including application software, operating systems, processors, servers, and storage architectures.

Amir Halfon, Oracle’s senior director of financial services technology, added: “Oracle’s unique storage server, the Sun Fire X4540, allowed us to achieve extreme performance with Kx by placing the data as close to the CPUs as possible. The Sun Fire X4540 provides fast, high throughput access between the threads of execution and the storage subsystem, offering up to 96TB of storage in a compact, cost-effective package. The tight integration between compute and storage within the Sun Fire X4540 eliminates the need for an external SAN and provides an ideal platform for high-performance analytics solutions such as Kx kdb+.”

The STAC-verified benchmarks were carried out using Kx kdb+ v2.6 on the Oracle Sun Fire X4540 storage server using version 0.92 of the STAC-M3 Benchmark specifications. STAC-M3 v0.92 has been submitted to the full Council for ratification, and a vote is pending.

The benchmark report is available at www.STACresearch.com/kx.

News from Kx Systems

New kdb+ version
Within the next few weeks, Kx will release v2.7, a significant update to kdb+, which includes file compression. A beta version is already available to licensed users at kxdownloads.com.

Reuters feed handler
Another major enhancement to kdb+ is a new library which enables access to RMDS (Reuters Market Data System) market data, versions 5 and 6. This is for licensed kdb+tick users, and is an almost drop-in replacement for the classical SSL library previously provided by Kx.

Computerworld Honor Award 2010
Kx was nominated as a Laureate by Morgan Stanley, as an innovative technology company. We attended the Medal Ceremony and Gala Awards Dinner in Washington on 7th June. Photos can be seen at the Computerworld Honors Program 2010 website. Read more about it.

Kx customer receptions
We regret that we were forced to cancel the Kx London Customer Reception and Workshop this year due to the volcanic ash clouds. We consider face to face time with you essential, and are planning meetings in London and New York over the next few months. Please contact us if you would like us to visit your firm.

Kx in Asia
In January 2010 we participated in TradeTech China, where Head of Kx Asia, Chris Burke, was one of the technology panelists discussing how to leverage the latest technology solutions and trading platforms to enhance profitability and efficiency.

We will be exhibiting at Trading Architecture Asia, Hong Kong, 1-2 September 2010. Please visit our booth - we look forward to seeing you and your colleagues. Read more.

We are planning a technical meeting in Singapore in the first week of October, with Charlie Skelton, Kx Chief Technology Officer. Please contact us for more details.

Kx in the media
Kx customers rated us highly in Aite Group’s report, “Quant Strategy Development Playgrounds: The High Performance Database Sandbox” Read more. Simon Garland, Kx Chief Strategist, is quoted in Securities Industry News in an article: “Algos Take Hold in Fixed-Income Markets”. We have also received media coverage in Market Data Insight, Asia Etrading, and Bobsguide.com among others.

Updated material on Kx.com
Please see the 2010 versions of the FAQ and White Paper.

For more information about Kx and its products
Email us at info@kx.com with any questions or requests for information.

First Derivatives announces kdb+ training courses

My name is Nathan Perrem and I am the head kdb+ trainer at First Derivatives. I will be hosting public kdb+ training in New York and London on the following dates in June/July 2010:

New York
21st, 22nd, 23rd June: q Fundamentals
24th, 25th, 28th June: q for gods
29th, 30th June, 1st July: q for DBAs

London
5th, 6th, 7th July: q Fundamentals
8th, 9th, 12th July: q for gods
13th, 14th, 15th July: q for DBAs

See the syllabus for these courses, and the dates for all remaining public courses in 2010.

We also provide customized on-site training for clients.

For further information on our training courses please contact me.

Kind Regards,
Nathan Perrem

Nathan Perrem
Kdb+ Trainer/Consultant
First Derivatives plc
(m) 917-453-0008
nperrem@firstderivatives.com

Film Synopsis

Are you curious about why I have put my entire life on hold to make a film about the APL array language family?

This is WHY:

Film Synopsis

Direct Development: its time at last?

Public spending in Britain is under harsher and harsher scrutiny. Time at last for lightweight development?

Rosetta Challenge tasks added to the 2010 Dyalog Programming Contest

In response to feedback suggesting that the suite of tasks in the 2010 Dyalog Programming Contest appears to be a little more comprehensive than many students have time for at this busy part of the academic year, we have decided to add a ‘Rosetta Code Challenge’ to the 2010 Programming Contest, which will run in parallel with the main programming competition. Six weeks remain until the submission deadline on July 18th.

Rosettacode.org is a site which presents solutions to the same (nearly 400) tasks in as many different programming languages as possible. At this time, a relatively small number of solutions have been posted in APL, so we are keen to encourage APL users to submit more APL solutions. To this end, we are offering a USD 250 prize for the best solution to each of the following five (fun!) problems selected from rosettacode.org:

1. Animate a pendulum
2. Knapsack problem
3. Happy numbers
4. Hofstadter-Conway sequence
5. Monty Hall problem

See the Rosetta Code Challenge page for more details on how to participate. The terms and conditions of the main programming competition are not affected by the Rosetta Code Challenge, with the exception that anyone who submits solutions for two or more tasks in EITHER competition will participate in the drawing for the 20 consolation prizes worth USD 100 each.

As is the case for the main Dyalog Programming Contest, you can win the same amount of prize money by referring a winner to the competition as you can by actually participating. While prize winners must be eligible for an Educational License for Dyalog APL, anyone can win referral awards! Be the person who refers the winners for all five Rosetta Challenge tasks and you could win USD 1,250!

Best Regards,

Morten Kromberg
CTO, Dyalog Ltd