Richard Tibbetts is Chief Technology Officer at StreamBase Systems, where he has discovered a way to develop new programming languages that people will actually pay to use. Prior to StreamBase Richard researched networking, databases, and software engineering at MIT. When he is not developing high frequency trading applications, Richard blogs at http://innocuous.org.
Presentation: "Complex Event Processing: DSL for High Frequency Trading"
Time: Wednesday 15:35 - 16:35
Location: Westminster Suite, Fourth Floor
Domain specific languages (DSLs) are well known to make programs more concise and easier to understand. But popular perception of DSLs is that they are not appropriate for situations where performance is at a premium, as in front office trading applications. We demonstrate that Complex Event Processing (CEP) DSLs are suitable for FX, Equities and Derivatives pricing, trading, and dealing applications, both in expressiveness and performance. The talk will cover implementation techniques for a high performance compiled DSL for event processing executing on a safe runtime (JVM) and some of the tradeoffs in language design to enable static analysis.