Abstract
In finance, many common calculations are more or less just linear algebra – but at a massive scale and done very fast. Our team developed a portfolio analysis framework for the Aladdin Wealth™ platform, which depends heavily on linear algebra to compute factor risk and achieves significant scale with 15+ million portfolios analyzed daily in batch and 3+ million over API.
However, we've also learned that achieving significant scale and delivering quality products to clients takes more than just efficient code. We've discovered key lessons in our development journey, including the importance of trimming your computational graph, storing data in multiple formats, evaluating technology choices on a total cost basis, leveraging open source, and considering multiple dimensions of modularization. We'll be exploring these topics and other insights in this talk.
Topics
QCon New York 2023 is a three day conference for senior software engineers, architects and team leads. An international program committee of working engineers selects every session. Patterns and practices, not products and pitches.
Part of the track
Next Gen Fintech: Performance, Complexity & Privacy Hosted by Neha Sardana Vice President & Senior Developer @MorganStanleyFrom the same track
Wednesday 14 June
10:35 Dumbo / Navy Yard Session Maximizing Performance and Efficiency in Financial Trading Systems through Vertical Scalability and Effective Testing Peter Lawrey CEO @Chronicle_SW In the fast-paced world of financial trading, speed, and efficiency are essential. To achieve this, vertical scalability is crucial in order-processing systems. However, achieving vertical scalability can be a significant challenge for developers. That's why testing is critical. 11:50 Salon A-C Session Data Performance and Scale - Domain-Oriented Objects vs Tabular Data Structures Donald Raab, Rustam Mehmandarov Working with large data structures in memory poses certain restrictions on performance and scalability. 13:40 Dumbo / Navy Yard Session API Security Protecting APIs in Financial Services with Zero Trust Overlay Mesh Networks Clint Dovholuk Head of Developer Experience @OpenZiti / NetFoundry As a senior software developer in the financial services industry knows, protecting APIs from cyber threats and attacks is critical. 14:55 Carroll Gardens Unconference Unconference: Next Gen Fintech What is an unconference? An unconference is a participant-driven meeting. Attendees come together, bringing their challenges and relying on the experience and know-how of their peers for solutions. 16:10 Dumbo / Navy Yard Session Security Implementing OSSF Scorecards Across an Organization Chris Swan Engineer @atsigncompany Open Source Security Foundation (OSSF) Scorecards provide a way for open source users to determine whether maintainers are being diligent about securing their link in the software security supply chain. 17:25 Dumbo / Navy Yard Session Fintech Portfolio Analysis at Scale: Running Risk and Analytics on 15+ Million Portfolios Every Day William Chen Director and Technical Fellow @BlackRock In finance, many common calculations are more or less just linear algebra – but at a massive scale and done very fast.