TECHNOLOGYPREVIEWComplex Event Processing                           CONFIDENTIAL
Introduction : AlphaBOX About AlphaBOX We have experienced a very wide variety of customers in our past allowing us to not...
Product Architecture : Outline                                                                                            ...
Complex Event Processing : Introduction • Event : An event is a piece of data that represents that   something happened in...
Complex Event Processing : Introduction                                              Event                                ...
Complex Event Processing : Introduction • Key Advantages     – Process data “in-stream” without any requirement to store. ...
Complex Event Processing : Trading Example  • DBMS based approach to Data Mining & Analysis         RTTime         Real   ...
Complex Event Processing : Trading Example • Event Stream based approach to Data Mining & Analysis                        ...
Complex Event Processing : Trading ExampleSample Trading Algorithm• If last traded price of IBM falls below the average pr...
Trading Example (DBMS based approach)              Tick Table        Second Table                --                  --   ...
Trading Example (CEP based approach)                                                         AVG()                        ...
Trading Example (CEP based approach)                                                                  Event Processors/ Ha...
AlphaBOX • Key Advantages    –   CEP based scalable structure    –   Low Latency Message driven Processing    –   Hybrid S...
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AlphaBox Technology Overview

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AlphaBox is a suite of data-centric algorithmic trading applications which is flexible enough to support trading styles like HFT (High frequency trading) , Statistical Arbitrage, Scalping , Swing trading etc. We have designed the core to be quick, lightweight and scalable. Our entire architecture is specialized for asynchronous ,real time ,low latency data processing commonly known as CEP (complex event processing)

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AlphaBox Technology Overview

  1. 1. TECHNOLOGYPREVIEWComplex Event Processing CONFIDENTIAL
  2. 2. Introduction : AlphaBOX About AlphaBOX We have experienced a very wide variety of customers in our past allowing us to notice the complete spectrum of issues and nuances of almost all trading(quant) desks . We also noticed that each hedge fund or CTA begins with same sets of IT assumptions and tools before beginning their operations. Once they reach a certain maturity, it is common for them to have some custom development over their tools. The above practice is heavily harmful to future projects as several different tools are used which may or may not be designed for the same purpose. AlphaBox is a suite of data-centric algorithmic trading applications which is flexible enough to support trading styles like HFT (High frequency trading) , Statistical Arbitrage, Scalping , Swing trading etc. We have designed the core to be quick, lightweight and scalable. Our entire architecture is specialized for asynchronous ,real time ,low latency data processing commonly known as CEP (complex event processing) CONFIDENTIAL
  3. 3. Product Architecture : Outline QuoteCANVAS Low Latency Order Management Real-time Charting Database & Event Broadcast STOCK EXCHANGE TradeSERVO Data Adapters AlgoANALYTICS DataRIVER Backtesting and Analysis STOCK EXCHANGE AlphaINVENTOR AlgoWRITER RTTime Real Complex Events Studio Development Environment MARKET DATA TradeBOT HiD Historical Auto-Trading AlphaBOX FRAMEWORK CONFIDENTIAL
  4. 4. Complex Event Processing : Introduction • Event : An event is a piece of data that represents that something happened in the real world. Events flow in streams within any ordered data set • Example : 100 Shares of IBM were Bought, IBM price changed by X points, a client A accessed server B. • Complex Events : (a) IBM share falls 1 point and rises 4 points in 5 seconds. (b) 4 charges against same credit card from different companies within 1 minute.
  5. 5. Complex Event Processing : Introduction Event Processor Database Stores Stores Ordered Data Queries  Stores Data  Stores Queries  Handles Queries  Handles Data  Request/Response Model  Subscribe/Notify “Push” Model  Synchronous  Asynchronous  Static Data  Continuous Data
  6. 6. Complex Event Processing : Introduction • Key Advantages – Process data “in-stream” without any requirement to store. Same difference between PUSH email and POP3 – Handle “imperfections” in the stream instantaneously – Distributed & Scalable : think of data streams which can flow and merge at pre-designated nodes. – Dynamic Runtime Querying is possible – High Speed Pattern Recognition via Rete type algorithms CONFIDENTIAL
  7. 7. Complex Event Processing : Trading Example • DBMS based approach to Data Mining & Analysis RTTime Real INSERT QMARKET UDATA TRADE BUY/SELL STOCK DB E LOGIC EXCHANGE HiD Historical INSERT R Y UPDATE Major Bottleneck Market data is stored first and then a query is run from the trade logic, very slow ! CONFIDENTIAL
  8. 8. Complex Event Processing : Trading Example • Event Stream based approach to Data Mining & Analysis TRADE STOCK EVENT BUY/SELL EXCHANGE RTTime Real INSERT MARKET Data Event DATA Stream Stream HiD Historical INSERT Post Processing DB UPDATE Trade gets executed as soon as a “Trade” event arrives ! CONFIDENTIAL
  9. 9. Complex Event Processing : Trading ExampleSample Trading Algorithm• If last traded price of IBM falls below the average price of last highest(5 seconds,5 trades) then buy 1000 shares IBM.• Close the trade after 10 seconds.We will walk through this example using conventional approachand the CEP approach CONFIDENTIAL
  10. 10. Trading Example (DBMS based approach) Tick Table Second Table -- -- Query : last 5 records Compute Average (a1) -- -- Wait for DB update -- -- Query : last 5 records Compute Average (a2) -- -- -- -- -- Query : last record (LR)A Trade --Occurs -- -- Was this IS LR < false last max(a1 BUY instance ,a2) ? Store Trade in Tick Compress Table ticks to a seconds table CONFIDENTIAL
  11. 11. Trading Example (CEP based approach) AVG() Buffer SEC (5 Length) Buffer TICK (5 Length) AVG() newSecond MAX()A Trade Event Stream Stream Processor Trade() BUYOccurs newTick CONFIDENTIAL
  12. 12. Trading Example (CEP based approach) Event Processors/ Handlers • OnNewBar() • OnNewLow() RTTime Real INSERT • OnClose() • OnTick()MARKET Data Event • OnPattern1() • OnVolumeSpike()DATA Stream Stream • OnPattern2() • Etc … HiD INSERT Historical • OnOpen() • OnNewHigh() • As you can see each event stream can generate any type and number of events. • Those events are processed and handled at each level. • This way, as the data flows through the structure, processing occurs instantaneously and asynchronously. • This approach makes pattern recognition highly efficient CONFIDENTIAL
  13. 13. AlphaBOX • Key Advantages – CEP based scalable structure – Low Latency Message driven Processing – Hybrid Stream + DBMS system – In-Memory Processing – Multicore utilization – Applicable to almost ANY type of real-time data streams – Highly extensible – Real – Time Application in truest sense CONFIDENTIAL

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