Comment by oxfordmale
5 years ago
I worked for a hedge fund that build their own database on top of MongoDB. Data was serialised and stored as binary blobs. This bonkers implementation took away any advantage of using MongoDB. Unfortunately this system had a lot of political backing, and rather than addressing the short comings we were told to simply datasets to ensure they could be stored in this bespoke database. I suspect a lot of trading signals were lost this way.
> I suspect a lot of trading signals were lost this way.
If you can prove & show evidence about this, I'm sure they will (grudgingly) accept the need to improve.
Financial institutions are mostly risk-averse, "if it works, don't fucking fiddle with it!" They need something that will impact the bottom line in an (almost) direct way.
I remember working with a financial institution back in 2010. I pushed for virtualization by presenting scenarios where the main servers are impacted, we have no warm backup servers, and calculate the impact to bottom line using known MTTR (Mean Time To Recovery) values of similar scenarios (gathered from incidents all over the world).
Took several back-and-forth meetings with the BoD, but in the end they accepted the need to improve and allocated the funding + greenlight the project.
(That was also back in the day when Microsoft had just released Hyper-V, and when we asked Microsoft to join in the project, I talked to their head engineer, and they respectfully declined because "their internal testing shows that Hyper-V, at the moment, is unable to fulfill the required parameters". Ended up with XenServer.)
It is very hard to prove you have lost trading signal. You would have to redo your backtesting, and would politically be fraud (high risk of getting sacked). Often trading systems will perform worse in the real world anyway compared to the simulations, so it generally can only be proven if there is a politically willingness to do so.
Are you talking about Arctic from Man AHL? https://github.com/man-group/arctic