Investment research and trading
Discussion of how data management and analytic technologies are used in trading and investment research. (As opposed to a discussion of the services we ourselves provide to investors.) Related subjects include:
I talk with a lot of companies, and repeatedly hear some of the same application themes. This post is my attempt to collect some of those ideas in one place.
1. So far, the buzzword of the year is “real-time analytics”, generally with “operational” or “big data” included as well. I hear variants of that positioning from NewSQL vendors (e.g. MemSQL), NoSQL vendors (e.g. AeroSpike), BI stack vendors (e.g. Platfora), application-stack vendors (e.g. WibiData), log analysis vendors (led by Splunk), data management vendors (e.g. Cloudera), and of course the CEP industry.
Yeah, yeah, I know — not all the named companies are in exactly the right market category. But that’s hard to avoid.
Why this gold rush? On the demand side, there’s a real or imagined need for speed. On the supply side, I’d say:
- There are vast numbers of companies offering data-management-related technology. They need ways to differentiate.
- Doing analytics at short-request speeds is an obvious data-management-related challenge, and not yet comprehensively addressed.
2. More generally, most of the applications I hear about are analytic, or have a strong analytic aspect. The three biggest areas — and these overlap — are:
- Customer interaction
- Network and sensor monitoring
- Game and mobile application back-ends
Also arising fairly frequently are:
- Algorithmic trading
- Risk measurement
- Law enforcement/national security
- Stakeholder-facing analytics
I’m hearing less about quality, defect tracking, and equipment maintenance than I used to, but those application areas have anyway been ebbing and flowing for decades.
The third of my three MySQL-oriented clients I alluded to yesterday is MemSQL. When I wrote about MemSQL last June, the product was an in-memory single-server MySQL workalike. Now scale-out has been added, with general availability today.
MemSQL’s flagship reference is Zynga, across 100s of servers. Beyond that, the company claims (to quote a late draft of the press release):
Enterprises are already using distributed MemSQL in production for operational analytics, network security, real-time recommendations, and risk management.
All four of those use cases fit MemSQL’s positioning in “real-time analytics”. Besides Zynga, MemSQL cites penetration into traditional low-latency markets — financial services (various subsectors) and ad-tech.
Highlights of MemSQL’s new distributed architecture start: Read more
|Categories: Clustering, Database compression, Emulation, transparency, portability, Games and virtual worlds, Investment research and trading, Log analysis, MemSQL, MySQL, NewSQL, Transparent sharding, Zynga||6 Comments|
Hmm. I probably should have broken this out as three posts rather than one after all. Sorry about that.
Discussions of DBMS performance are always odd, for starters because:
- Workloads and use cases vary greatly.
- In particular, benchmarks such as the YCSB or TPC-H aren’t very helpful.
- It’s common for databases or at least working sets to be entirely in RAM — but it’s not always required.
- Consistency and durability models vary. What’s more, in some systems — e.g. MongoDB — there’s considerable flexibility as to which model you use.
- In particular, there’s an increasingly common choice in which data is written synchronously to RAM on 2 or more servers, then asynchronously to disk on each of them. Performance in these cases can be quite different from when all writes need to be committed to disk. Of course, you need sufficient disk I/O to keep up, so SSDs (Solid-State Drives) can come in handy.
- Many workloads are inherently single node (replication aside). Others are not.
MongoDB and 10gen
I caught up with Ron Avnur at 10gen. Technical highlights included: Read more
It’s hard to make data easy to analyze. While everybody seems to realize this — a few marketeers perhaps aside — some remarks might be useful even so.
Many different technologies purport to make data easy, or easier, to an analyze; so many, in fact, that cataloguing them all is forbiddingly hard. Major claims, and some technologies that make them, include:
- “We get data into a form in which it can be analyzed.” This is the story behind, among others:
- Most of the data integration and ETL (Extract/Transform/Load) industries, software vendors and consulting firms alike.
- Many things that purport to be “analytic applications” or data warehouse “quick starts”.
- “Data reduction” use cases in event processing.*
- Text analytics tools.
- “Forget all that transformation foofarah — just load (or write) data into our thing and start analyzing it immediately.” This at various times has been much of the story behind:
- Relational DBMS, according to their inventor E. F. Codd.
- MOLAP (Multidimensional OnLine Analytic Processing), also according to RDBMS inventor E. F. Codd.
- Any kind of analytic DBMS, or general purpose DBMS used for data warehousing.
- Newer kinds of analytic DBMS that are faster than older kinds.
- The “data mart spin-out” feature of certain analytic DBMS.
- In-memory analytic data stores.
- NoSQL DBMS that have a few analytic features.
- TokuDB, similarly.
- Electronic spreadsheets, from VisiCalc to Datameer.
- “Our tools help you with specific kinds of analyses or analytic displays.” This is the story underlying, among others:
- The business intelligence industry.
- The predictive analytics industry.
- Algorithmic trading use cases in complex event processing.*
- Some analytic applications.
*Complex event/stream processing terminology is always problematic.
My thoughts on all this start: Read more
In typical debates, the extremists on both sides are wrong. “SQL vs. NoSQL” is an example of that rule. For many traditional categories of database or application, it is reasonable to say:
- Relational databases are usually still a good default assumption …
- … but increasingly often, the default should be overridden with a more useful alternative.
Reasons to abandon SQL in any given area usually start:
- Creating a traditional relational schema is possible …
- … but it’s tedious or difficult …
- … especially since schema design is supposed to be done before you start coding.
Some would further say that NoSQL is cheaper, scales better, is cooler or whatever, but given the range of NewSQL alternatives, those claims are often overstated.
Sectors where these reasons kick in include but are not limited to: Read more
|Categories: Health care, Investment research and trading, Log analysis, NewSQL, NoSQL, Web analytics||8 Comments|
Business intelligence dashboards are frequently bashed. I slammed them back in 2006 and 2007. Mark Smith dropped the hammer last August. EIS, the most dashboard-like pre-1990s analytic technology, was also the most reviled. There are reasons for this disdain, but even so dashboards shouldn’t be dismissed entirely.
In essence, I’d say:
- Dashboards are overrated and oversold.
- They are useful even so.
- Their usefulness is ebbing as technology advances.
In particular: Read more
With Strata/Hadoop World being next week, there is much Hadoop discussion. One theme of the season is BI over Hadoop. I have at least 5 clients claiming they’re uniquely positioned to support that (most of whom partner with a 6th client, Tableau); the first 2 whose offerings I’ve actually written about are Teradata Aster and Hadapt. More generally, I’m hearing “Using Hadoop is hard; we’re here to make it easier for you.”
If enterprises aren’t yet happily running business intelligence against Hadoop, what are they doing with it instead? I took the opportunity to ask Cloudera, whose answers didn’t contradict anything I’m hearing elsewhere. As Cloudera tells it (approximately — this part of the conversation* was rushed): Read more
|Categories: Business intelligence, Cloudera, EAI, EII, ETL, ELT, ETLT, Hadoop, HBase, Health care, Investment research and trading, MapR, Market share and customer counts, Telecommunications, Web analytics||5 Comments|
I successfully resisted telephone consulting while on vacation, but I did do some by email. One was on the oft-recurring subject of Hadoop adoption. I think it’s OK to adapt some of that into a post.
Notes on past and current Hadoop adoption include:
- Enterprise Hadoop adoption is for experimental uses or departmental production (as opposed to serious enterprise-level production). Indeed, it’s rather tough to disambiguate those two. If an enterprise uses Hadoop to search for new insights and gets a few, is that an experiment that went well, or is it production?
- One of the core internet-business use cases for Hadoop is a many-step ETL, ELT, and data refinement pipeline, with Hadoop executing some or many of the steps. But I don’t think that’s in production at many enterprises yet, except in the usual forward-leaning sectors of financial services and (we’re all guessing) national intelligence.
- In terms of industry adoption:
- Financial services on the investment/trading side are all over Hadoop, just as they’re all over any technology. Ditto national intelligence, one thinks.
- Consumer financial services, especially credit card, are giving Hadoop a try too, for marketing and/or anti-fraud.
- I’m sure there’s some telecom usage, but I’m hearing of less than I thought I would. Perhaps this is because telcos have spent so long optimizing their data into short, structured records.
- Whatever consumer financial services firms do, retailers do too, albeit with smaller budgets.
Thoughts on how Hadoop adoption will look going forward include: Read more
|Categories: Cloud computing, Data warehouse appliances, Data warehousing, EAI, EII, ETL, ELT, ETLT, Hadoop, Investment research and trading, Telecommunications||3 Comments|
Vertica 6 was recently announced, and so it seemed like a good time to catch up on Vertica features. The main topics I want to address are:
- External tables and the associated new Hadoop connector.
- Online schema evolution.
- Workload management.
- I have some tidbits to add to my June, 2011 coverage of Vertica’s analytic functionality.
- I’ll stand for now on my previous coverage of Vertica’s database organization.
In general, the main themes of Vertica 6 appear to be:
- Enterprise/SaaS-friendliness, high uptime, and so on.
- Improved analytic usefulness.
Let’s do the analytic functionality first. Notes on that include:
- Vertica has extended its user-defined function/analytic procedure/whatever functionality to include user-defined load. (Same SDK, different specific classes.)
- One of the languages Vertica supports is R. But for now, parallel R is limited to “Of course, you can run the same functions and procedures on many nodes at once.”
- Based on community activity around bugs and so on, it seems there are users for Vertica’s JSON-based Twitter sentiment analysis plug-in.
I’ll also take this opportunity to expand on something I wrote about a few vendors — including Vertica — at the end of my post on approximate query results. When I probed how customers of Vertica and other RDBMS-based analytic platform vendors used vendor-proprietary advanced analytic SQL and other analytic capabilities, answers included: Read more
|Categories: Columnar database management, Data warehousing, EAI, EII, ETL, ELT, ETLT, Hadoop, Investment research and trading, Predictive modeling and advanced analytics, SQL/Hadoop integration, Vertica Systems, Workload management||2 Comments|
From time to time, I hear of regulatory requirements to retain, analyze, and/or protect data in various ways. It’s hard to get a comprehensive picture of these, as they vary both by industry and jurisdiction; so I generally let such compliance issues slide. Still, perhaps I should use one post to pull together what is surely a very partial list.
Most such compliance requirements have one of two emphases: Either you need to keep your customers’ data safe against misuse, or else you’re supposed to supply information to government authorities. From a data management and analysis standpoint, the former area mainly boils down to:
- Information security. This can include access control, encryption, masking, auditing, and more.
- Keeping data in an approved geographical area. (E.g., its country of origin.) This seems to be one of the three big drivers for multi-data-center processing (along with latency and disaster recovery), and hence is an influence upon numerous users’ choices in areas such as clustering and replication.
The latter, however, has numerous aspects.
First, there are many purposes for the data retention and analysis, including but by no means limited to: Read more
|Categories: Archiving and information preservation, Clustering, Data warehousing, Health care, Investment research and trading, Text||4 Comments|