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Citi Taps CEP for Analyzing Equity Data

Global financial giant uses Coral8 software to perform complex pattern matching on equity data in real time.

Tech-savvy Citi executives have become avid users of complex event processing software. According to Marc Adler, director and chief architect of equities at the firm, Citi finds CEP helpful for analyzing equity data, including order execution information, market data, and real-time greeks, volatility changes and news.

Although Citi has long had technologies that could process real-time data, before 2007 it lacked a way to easily correlate the data and perform complex pattern matching in real time, Adler relates. "That's what CEP offers," he says. "Before, you used to have to write these kinds of engines yourself. But the CEP vendors have made this a commodity."

Typically CEP vendors provide a series of input and output adapters that connect their CEP engines to external data sources. But, Adler notes, Citi doesn't use these because it has developed its own. "We use just the core part of the engine without a lot of decorations, because who knows when we'll have to change our CEP engine," he explains.

Nonetheless the CEP vendors do provide useful tools. Adler points to the visual development environments as well as debugging and monitoring support that CEP products provide as particularly helpful.

Citi began exploring CEP technology at the behest of a former global head of equities. According to Adler, this executive perceived a need for technology to capture and analyze the multiple events that stream through Citi's equities area in order to make business decisions and improve situational awareness. "He didn't say, 'Go and buy a CEP engine,' " Adler recalls. "He said, 'We need some way to process and analyze the multiple events that are constantly streaming through our equities flow.' "

The global financial services giant declines to elaborate on the specific business purpose for which it's using CEP software (beyond analyzing equities data), but Adler acknowledges that "CEP is generally useful for back-testing and real-time trading."

The CEP Selection Process

Citi first began evaluating CEP technology in fall 2007. "We knew nothing about CEP, so we read all the literature and blogs on the subject," Adler says. "We went to an event processing summit in September, [and] we met with a number of the vendors for educational purposes and to see what was out there in the marketplace." In addition, Adler notes, he spoke with colleagues at other investment banks to see what they were using.

Next Citi invited Coral8, Aleri and StreamBase to conduct proofs of concept. As for the fourth major CEP contender -- Progress Apama -- "We wanted to evaluate their software, but we found that they had a heavyweight sales process. For instance, they wouldn't let us download the software," Adler explains. "To be fair," he adds, "John Bates, the CEO of Apama, didn't know about this, and he says that if he did, he would have given us the software."

Citi did not test the three available products for speed. "We didn't care that much at the time about latency or which engine was the fastest," Adler says. "We had a particular use case we wanted to implement, so we were looking at a lot of intangibles, such as ease of development, how hard it was to do what we wanted in the language, the visual development environment, and support for things like monitoring and debugging." Citi also looked at the companies' customer support and developer friendliness -- anything that would impact the development experience, Adler adds.

It was the development environment, according to Adler, that ruled out Aleri. "Aleri is like a V8 engine that's surrounded by a clunky body," Adler says. "Our impression was that they had very smart Bell Labs scientists who had a great engine but didn't fully appreciate what the development experience should be."

StreamBase, according to Adler, backpedaled on its performance promises and had a higher price than Coral8, Citi's ultimate choice. "Coral8 didn't have the best developer tools or documentation, but overall the company felt good to deal with," Adler relates. "It was developer-friendly and had the lowest price point."

In March 2009 Coral8 and Aleri merged, retaining the Aleri name. According to company announcements, product pricing will stay the same. Executives have vowed to both continue to support existing CEP engines as well as create new, best-of-both-worlds products. According to Adler, part of the integration plan is to abandon Aleri's version of SQL in favor of Coral8's Continuous Computation Language to handle queries.

One Aleri feature that Adler would like to be able to use in his environment is its Splash procedural add-on language. "What a lot of these SQL-based CEP engines lack is the ability to move out of the SQL paradigm into a more procedural approach," Adler says, noting that developers often use Splash to obtain performance improvements. He adds that with the recent merger of Aleri and Coral8, he is hopeful that Splash language capabilities will be incorporated into the new Coral8 product.

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