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That's quite interesting: " At the risk of getting sued, let me throw you geeks a bone and part the Goldman veil a bit. The Goldman Sachs risk system is called
by d_c 16y ago
That's quite interesting:
"
At the risk of getting sued, let me throw you geeks a bone and part the Goldman veil a bit. The Goldman Sachs risk system is called SecDB (securities database), and everything at Goldman that matters is run out of it. The GUI itself looks like a settings screen from DOS 3.0, but no one cares about UI cosmetics on the Street. The language itself was called SLANG (securities language) and was a Python/Perl like thing, with OOP and the ORM layer baked in. Database replication was near-instant, and pushing to production was two keystrokes. You pushed, and London and Tokyo saw the change as fast as your neighbor on the desk did (and yes, if you fucked things up, you got 4AM phone calls from some British dude telling you to fix it). Regtests ran nightly, and no one could trade a model without thorough testing (that might sound like standard practice, but you have no idea how primitive the development culture is on the Street). The whole thing was so good, I didn’t even know what an ORM really was until I started using Rails and had to wrestle with ActiveRecord. The codebase was roughly 15MM lines when I left, and growing. I suspect my retinas are still scarred by the weird color blue SecDB was by default.
"
- etm117 16y agoI think that is one of the more thorough accounts of that system I have seen published. All in one paragraph no less.
- antongm 16y agoThanks. I haven't seen many published accounts by SecDB. When I joined, there was literally zero. I now note there are some descriptions on Wilmott and the like. Seems like word is seeping out. All of my description is on the Web in bits and pieces.
- yummyfajitas 16y agoI've had a number of people tell me this system is why GS won the financial crisis. During the financial crisis, GS knew their positions and their risks. They could also calculate the side effects of proposed trades as quickly as their computers could calculate it. This meant the people at the top could actively plan what to do next during the day. In contrast, MS and JPM can only get information like this a few hours after the end of the day, and supposedly Citi just can't calculate such things without massive effort.
- jrockway 16y agoAnother issue the other banks (and maybe GS, who knows) have is "internal arbitrage". This is what happens when each desk has their own pricing system; they go out of sync, a trader notices, and then sells from his desk to another desk with an out of date price. The bank loses money, but his desk makes some. For that reason, creating a system like SecDB is a high priority these days.
- noname123 16y agoThere's a tag in most exchange's trading servers that you could include in your orders to not execute if it's a self-trade.
- jrockway 16y agoThere are a lot of trades that don't happen on exchanges.
- ezl 16y ago@jrockway: I'm curious about this, do you have any links to texts you've read about this or is this from personal experience? In my experience there are all sorts of reasons why different desks WANT to price things differently. When 2 internal desks cross markets, they trade with each other instead of the broad market. Its advantageous for both internal desks because if the order is crossed internally, they don't have to print on an exchange, they save transaction costs, and they can be incentivized to give internal desks better prices. Its important for them to be able to shift risk from desk to desk so they can properly attribute PnL to the right agent. edit: jrockway, just read further down that you said you work at a bank, where I'm assuming you had that experience. Ultimately the question is whether it is or should be the case that security XYZ should be considered to have the same price firm wide.
- j2d2j2d2 16y agoTrading to move deals to particular books/desks is not the same as making money off internal groups. I suspect you're conflating these two points.