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Busy wait and queue performance

For the last month or so I’ve been rather busy developing a trading platform for algorithmic trading, connected to LMAX (you should also check out their very interesting Disruptor framework). It’s a rather comprehensive solution with both risk management, position management, back testing, data management on tick level, etc built in. Everything that connects to and communicates […]

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A look at Fudge Proto

OpenGamma is an interesting startup headquartered here in London. They provide open source software for analytics and risk analysis for the financial service industry. As that’s right up my alley I decided to start looking at their code this Friday. Among all that code there’s one project which looked like a good starting point, namely Fudge Proto. […]

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Pricing an Asian Option using multithreaded Java

So I’ve been busy lately and haven’t had the time to write any new blog posts, but I can’t let all of February go past without posting anything. So I might as well write a post related to what I’m currently working on. And that would be pricing an Asian Option. But in stead of […]

C++ vs Java performance; It’s a tie!

So a while back I came across this Java vs C++ performance benchmark. It was kind of dated and as the Java VM continues to improve (in addition to the C++ compiler I would presume), I thought it would be interesting to rerun the tests to see what we would end up with. So this is what I […]