Lab49 builds complex event processing solutions that offer our clients to seek out and take advantage of market opportunities. Our Complex Event processing practice integrates bespoke application development with high performance architecture and commercial off-the-shelf CEP platforms.

Within 120ms, the human body can twitch a muscle in response to hot pan. Within 80ms, the human brain can register a traffic light turning from red to green. Within 5ms, the world's financial markets will spark thousands of quote updates, trade reports, orders, and news flashes.

A trader with a terminal and a telephone simply can't keep up.

As markets change, so must our tools. The financial services marketplace, once represented by open outcry and physical exchanges, is now almost entirely virtual. Trading pits have been replaced by electronic exchanges, and the parties placing trades are more likely software-based strategies than human traders. A trader might place several trades per minute. Software-based strategies can place hundreds, even thousands of trades per second. And in a competitive marketplace, traders must continually seek out new advantages just as others get chipped away.

The sophistication is growing. The pace is growing. The volume of information is multiplying.

Lab49 understands this dynamic, and we believe that the design patterns and technologies based on complex event processing (CEP) and event stream processing (ESP) offer our clients a compelling approach to keeping ahead of these demands. We apply our experience and knowledge of the business issues and technologies involved to craft high-performance, low-latency event processing infrastructures for our financial services clients. Using a marriage of bespoke application development and commercial off-the-shelf products, Lab49 provides our clients not only the ability to grasp the transparency, liquidity, and latency demands of the market, but also to respond quickly to a changing environment and take control of their development cycle.

Algorithmic Trading: WPF and Complex Event Processing

Vivake Gupta gave this presentation and demo of an algorithmic user interface created using Windows Presentation Foundation at the 2007 Algorithmic Trading Conference in London.

The demonstration shows how Windows Presentation Foundation (WPF) and Complex Event Processing (CEP) / Event Stream Processing (ESP) can be leveraged to build next-generation trading applications. Based on previous client experience in this domain, the real-life Equities algorithmic trading application runs on historical ticking data to replicate real market conditions.

The application operates on an algorithmic trading strategy for Commodity Channel Index (CCI) indices for each symbol, calculated for "short" and "long" periods over time. The WPF User Interface shows how trading rooms can use WPF to build real-time trade blotters, live charting and 3-D visualizations such as volatility surfaces, buy-sell trading, and yield curves. A dashboard also illustrates event visualization of algorithmic executions inside the CEP/ESP infrastructure.

Algorithmic Trading And Beyond

The algorithmic trading market has been dependent on low latency application infrastructures for some time now, and we continue to see instruments move from an Over-The-Counter (OTC) regime to a more commoditized, trading venue-based, and therefore liquid, marketplace. Many of these 'execution-based' applications are able to quickly response to single "events" such as ticks in price or Request For Quotes (RFQs) and execute trades within a few milliseconds of receiving the event.

However, as the volume and liquidity of electronic trading increases, extracting profits requires a more sophisticated approach to understanding opportunities in the marketplace. This might include finding inefficiencies across trading exchanges, or deviations from trends, etc. Furthermore, Complex Event Processing (CEP) allows users to measure these simple events relative to other events or historical data, for example. CEP provides a new way to find patterns, correlations, dependencies, heirarchial and inferred relationships of events across a multitude of high-volume data streams. This is the new information-based or "decision-based" trading applications.

Lab49's intimate knowledge of the financial services domain and its experience in CEP technologies ensures that very high performance trading, risk management and compliance applications can be built cost-effectively and in response to rapid changes in the marketplace. Additionally, as new asset classes trend towards commoditization Lab49 can help clients realize new methods of analyzing, visualizing and responding to underlying trends, correlations and subtleties in the marketplace.

Lab49 helps clients realize the potential of these high-performance event-driven applications through the considered application of CEP technologies, large-scale computing, and advanced data visualization techniques. Lab49 intimately understands the range of functionality and subtleties of implementing the various commercial CEP technologies available today in the marketplace. Furthermore, Lab49 ensures that the information that end-users need in the next-generation of applications are delivered through a visually compelling, intuitive and flexible user interface in real-time.