High-Performance Computing in Finance: A Customer’s Perspective [6/7]

18 Jun 2007

Excerpted from a paper I delivered on January 16, 2007 at the Microsoft High-Performance Computing in Financial Services event in New York.

Help Me Help You Help Me

To drive home the point, our trading and portfolio generation systems at Bridgewater have been parallelized and distributed for some time, based on a series of proprietary technologies that a) were not that great, b) lacked many features, and c) probably shouldn’t have been written in the first place. Along the way, we used DCOM, COM+, and .NET Remoting. We wrote custom job schedulers and custom deployment processes. We leveraged virtualization, disk imaging, multicast networks, message queues, even Microsoft Application Center. Each time, we managed to stack up the available Lego pieces and make a nice little tower out of it. But, typical of enterprise development projects that supply infrastructure rather than specific line-of-business value, they lacked for amenities. The APIs were never sufficiently developed or documented, the monitoring and administration tools often required black art skills, and the user interfaces, if present at all, bordered on sadistic.

Each time we revisited this situation, we knew that we shouldn’t be writing this stuff. We shouldn’t have had to. We knew that it wasn’t our core expertise and that we would never devote enough developer resources to give it professional polish. In reality, there are always just too many real projects to work on. The problem was that, until recently, there just weren’t any off-the-shelf packages for developing distributed applications on the Microsoft platform. For various reasons, we weren’t going to start invading our IT infrastructure with Linux just to use half-baked open-source solutions. So we rolled our own. Again. And again.

Then, a little over a year and a half ago, I read a news brief about Digipede Network in the now defunct Software Developer Magazine. It advertised a commercial grid computing solution built entirely on Microsoft .NET and running on Microsoft Windows. We downloaded the eval, read the APIs. After a brief meeting among lead engineers, we decided to do a test port, just a dip of the toe to see how much effort it would take to switch to a commercial solution.

Let me tell you. The whole port to Digipede, not just the acid test but the whole port, took one developer (me!) exactly three days from start to finish. After just an additional two weeks of procurement, deployment, and testing, we went live. And it has been working great.

That’s the kind of help we need. We need books and articles aimed at the broader market, not at the ACM or IEEE, that show just how easy it can be. We need our vendors to wrap up the hard stuff and leave the samples, tools, and guidance so that we can just markup our business logic and plug it in to a high-performance computing infrastructure in a week.

Introducing the Windows Execution Foundation

Microsoft .NET Framework 3.0, despite the unfortunate naming confusion, brings with it a tantalizing mix of technologies that are just waiting to be composed into high-performance computing framework for.NET. Building on the power of the Windows Communication Foundation and the Windows Workflow Foundation, we could solve the four big technical vacuums in financial high-performance computing:

  1. Job Deployment
  2. Job Security
  3. Pool Management
  4. Scalable I/O

Such a framework, let’s call it a Windows Execution Foundation, would have several features:

  1. Declarative Parallelism
  2. Distributed Concurrency and Coordination Constructs
  3. Distributed Shared Memory and Object Caches
  4. Lightweight File Swarming
  5. Lightweight Message Bus
  6. On-demand Pool Construction and Node Addressing

Armed with this kind of technology, the financial industry could focus on the business, not the technology. We could achieve high-performance computing without having to understand every relevant implementation detail. We could wrestle back control of our own scalability story from our IT departments and solve our scalability problems with software.

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One Response to “High-Performance Computing in Finance: A Customer’s Perspective [6/7]”


  1. […] [continue] Posted by Marc Jacobs Filed in Finance, Software, Technology […]


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