New trading systems platform

Joel Reymont <>
Thu Jul 7 20:09:28 CEST 2005


Poker is not flying off of my shelf but I gained invaluable  
experience in building that software.

I'm building a new ATS development platform on top of Erlang. I will  
focus on real-time trading systems and tick data. The core of the  
system will be open source but I'll make money on data feed handlers  
and add-ons.

This is a bit of a research project so any suggestions and critique  
is welcome. I will also eat my own dogfood and use the platform for  

There are several features in Erlang that make this the ideal  
platform for processing and analyzing high volumes of real-time data.

Please take a look at the following links. Wall St. is apparently  
being swamped by real-time data and companies like http:// have sprung to fill the niche. 

This is just the type of work that can be cheaply done with Erlang  
and I'm surprised that no one has thought of it before.

Data feed adapters can be easily coded with Erlang and it comes with  
a high-performance database that makes storing tick and instrument  
data easy. I will initially focus on tick data as this should make my  
job easier. I won't have to deal with futures rollovers, etc.

Building grids and clusters is also simple as Erlang is all about  
large numbers of very lightweight distributed processes running on a  
network of "nodes". Processes don't need to be aware of where on the  
network other processes are running, they just message each other.

You should be able to build yourself a server farm with real-time  
data feeds from various sources all going into the same database. I  
will enable this. And of course there's that 99.999% uptime.

I'm concerned that Erlang might not be good enough performance-wise  
for numerical math on large lists of tuples. Still, I think coding  
the financial models in Erlang could be an advantage since the data  
will be in Mnesia, on the same node.

What do you think?

     Thanks, Joel


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