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The culture shock you mention was very real. I joined in 2010 (when Athena was 3 years old) and left 8 years later in 2018. I remember my first few months unle

The culture shock you mention was very real. I joined in 2010 (when Athena was 3 years old) and left 8 years later in 2018. I remember my first few months unlearning normal Python and figuring out how to build the 'pixie graph', a lazily-evaluated Python DAG suited for calculating financial instruments. It took a while to get your head around this, but when you did it was a very powerful and productive way to building trading and risk management applications. To get some sense in how this worked, here are two public projects on github with good introductions: * https://github.com/timkpaine/tributary https://github.com/timkpaine/tributary * https://github.com/janushendersonassetallocation/loman https://github.com/janushendersonassetallocation/loman

doublesCs 6y ago
Hi Steve, thanks for your talk and for the links. Are those repos pixie dependencies? Or are you saying that pixie works like those repos?
- stevesimmons 6y ago
  They are "toy" projects illustrative of the general concepts. ("toy" as in smaller in scope; one of the two is by a former colleague). JPM's actual pixie code is proprietary, extremely performant after 12 years of pushing into bigger and bigger scale problems, and is definitely not on GitHub!
timsworkaccount 6y ago
I really like this video for explaining the DAG - https://www.youtube.com/watch?v=lTOP_shhVBQ https://www.youtube.com/watch?v=lTOP_shhVBQ
FabHK 6y ago
Sounds like a descendant of Goldman Sachs‘s SecDB/Slang with automatic dependency graph building. Did it have purple children (nodes whose value influences the graph structure) and twiddle scopes (modified copies of subtrees)? :-)
- stevesimmons 6y ago
  Yes indeed. Quite a few of Athena's early developers were from GS. I've not heard the term "twiddle scopes" before; in Athena it is "tweaking".
  - FabHK 6y ago
    Come to think of it, it might have been a “diddle scope” (I’m not a native speaker). For finance applications (risk) the whole concept works quite well, doesn’t it - combining the natural advantages of code and Excel.
    - adamdonahue 6y ago
      It was indeed "diddle," not "twiddle." At BAML, it's a "tweak." Beacon Platform is another implementation by the same team (but with support for the public cloud, and many more advanced features, I believe, including tighter web integration). I think it uses the terminology "bind." [Disclosure: I was part of the Quartz Core team in 2011/2012.]
- eru 6y ago
  I was positively surprised that Slang was actually quite usable. I had expected much worse. I suspect the Common Lisp influence was beneficial. The weirdest thing, language-wise, that I noticed was scoping. It's neither dynamic nor static scoping, but weird scoping. (But there are work-around to get something like static scoping.) Outside of the language, the whole CVS-based version control and review process was weird. But understandable as a product of the late 1990s, when review-before-going-into-permanent-history must have been way ahead of its time.
  - sweeneyrod 6y ago
    > The weirdest thing, language-wise, that I noticed was scoping. Not the spaces in variable names?
    - 6y ago
infinite8s 6y ago
Man AHL also had a version that worked on top of nodes representing timeseries: https://github.com/man-group/mdf https://github.com/man-group/mdf
edparcell 6y ago
Loman author here. Thank you very much for the mention. Amazed that I never heard of Athena or pixie graphs. Our intention with Loman was to create a library scoped for a single process - we looked at the possibility of creating a system responsible for executing much larger graphs on a real-time ongoing basis, but it felt like a larger project than we'd be able to execute well. It sounds like Athena was that, and it worked well, subject to being a culture shock for people coming into it?
- infinite8s 6y ago
  A similar library from another asset manager - https://github.com/man-group/mdf https://github.com/man-group/mdf. Although MDF seemed to work at the level of timeseries instead of scalar values.

doublesCs 6y ago

Hi Steve, thanks for your talk and for the links. Are those repos pixie dependencies? Or are you saying that pixie works like those repos?

stevesimmons 6y ago
They are "toy" projects illustrative of the general concepts. ("toy" as in smaller in scope; one of the two is by a former colleague). JPM's actual pixie code is proprietary, extremely performant after 12 years of pushing into bigger and bigger scale problems, and is definitely not on GitHub!

timsworkaccount 6y ago

I really like this video for explaining the DAG - https://www.youtube.com/watch?v=lTOP_shhVBQ https://www.youtube.com/watch?v=lTOP_shhVBQ

FabHK 6y ago

Sounds like a descendant of Goldman Sachs‘s SecDB/Slang with automatic dependency graph building. Did it have purple children (nodes whose value influences the graph structure) and twiddle scopes (modified copies of subtrees)? :-)

stevesimmons 6y ago
Yes indeed. Quite a few of Athena's early developers were from GS. I've not heard the term "twiddle scopes" before; in Athena it is "tweaking".
- FabHK 6y ago
  Come to think of it, it might have been a “diddle scope” (I’m not a native speaker). For finance applications (risk) the whole concept works quite well, doesn’t it - combining the natural advantages of code and Excel.
  - adamdonahue 6y ago
    It was indeed "diddle," not "twiddle." At BAML, it's a "tweak." Beacon Platform is another implementation by the same team (but with support for the public cloud, and many more advanced features, I believe, including tighter web integration). I think it uses the terminology "bind." [Disclosure: I was part of the Quartz Core team in 2011/2012.]
eru 6y ago
I was positively surprised that Slang was actually quite usable. I had expected much worse. I suspect the Common Lisp influence was beneficial. The weirdest thing, language-wise, that I noticed was scoping. It's neither dynamic nor static scoping, but weird scoping. (But there are work-around to get something like static scoping.) Outside of the language, the whole CVS-based version control and review process was weird. But understandable as a product of the late 1990s, when review-before-going-into-permanent-history must have been way ahead of its time.
- sweeneyrod 6y ago
  > The weirdest thing, language-wise, that I noticed was scoping. Not the spaces in variable names?
  - 6y ago

infinite8s 6y ago

Man AHL also had a version that worked on top of nodes representing timeseries: https://github.com/man-group/mdf https://github.com/man-group/mdf

edparcell 6y ago

Loman author here. Thank you very much for the mention. Amazed that I never heard of Athena or pixie graphs. Our intention with Loman was to create a library scoped for a single process - we looked at the possibility of creating a system responsible for executing much larger graphs on a real-time ongoing basis, but it felt like a larger project than we'd be able to execute well. It sounds like Athena was that, and it worked well, subject to being a culture shock for people coming into it?

infinite8s 6y ago
A similar library from another asset manager - https://github.com/man-group/mdf https://github.com/man-group/mdf. Although MDF seemed to work at the level of timeseries instead of scalar values.