OpenGamma Open Source Risk Engine

There is one company I'd like to learn a lot more about and that is OpenGamma. I'd like to work with them or their clients (or possibly for them) except that they are in partial stealth mode. I seem to be unable to get any more information than you can from their website and twitter feed.

This article is prompted by the news that OpenGamma has obtained significant funding.

For three years I worked financial risk systems: Computer systems which took data from a varied collection of financial trading desks, munged it all together, and fed it to a bunch of Risk Managers who are still seen as the financial world's equivalent of "Health and Safety" jobsworths. The data would include trades, market data, and the "riskiness" of those trades, creditworthiness of all parties and so on. Sometimes we got other expensive systems to calculate Risk for us, and sometimes it was spoon fed to us.

The funny thing is that we use a large amount of OpenSource software already. These are mostly transparent tools which management don't care about. We (for the most part) use open source operating systems, web servers, java and perl software libraries, graphics libraries, etc etc etc.

Of course that isn't the whole story. We also write a lot of company private software. this comes in two forms: One is done by quants: the financial mathematicians who convert algorythms into semi-usable software, and the other is the glue which binds it all together. That's me: I have on my utility belt everything from superglue, to pritt stick, golden gum, and blutack.

The problem as I see it coming from an Open Source background is that everyone is "re-inventing the wheel". Companies spend lots of money buying Murex, or Calypso, or Blackrock, or whatever, and then have to configure it to do what they want and then integrate it with their business. There is very little sharing of information. (Have you tried to get a Murex manual if you weren't a customer of theirs with a support contract?)

This is most extreme in the world of financial algorithms for calculating Risk. There *are* forums for discussing the maths, but actually sharing of code which implements that is quite rare. (Yes - you can download excel spreadsheets and the like from the Wilmott's of the world, but you can't get a fully fledged risk system from him/them.

So what do we do to improve on this? I think an Open Source solution is a good idea, but I have yet to see one. I have (briefly) tried to get onto the Early Adopters Program, but what I'd like to know is where the source code is? show me the documentation, and show me the method for submitting patches to both of those.

What do they mean by Open Source if the source is not yet open? Are they going to be selling the system in some way, or will they just sell their expertise in installing and maintaining it?

I hope to find out soon.

Although not directly a response to me, this article from OpenGamma attempts to answer criticism that I am making:

http://www.opengamma.com/blog/2010/why-we-havent-launched-yet
http://kirkwylie.blogspot.com/2011/01/opengamma-series-b-link-roundup.html

Comments

I probably should have made it clear but I don't allow comments because of the very high proportion of spam I usually get. I will look again at some compromise position.

I have received a response from OpenGamma which will be posted here:

I received this response from Kirk Wylie of OpenGamma. Thanks very much Kirk for taking the time to allay my fears.

...

I think you're right in that the first blogpost that you referenced
was about this type of questioning. We know that it seems a little
strange that we're billing ourselves as an Open Source company, with
an Open Source platform, but with the source code not available yet.
And we've had to be super selective in terms of who joins the EAP,
because we have limited commercial bandwidth right now.

Our plans are pretty clear, and we've been communicating them with as
many people as we can:
- We're going to do the first GA/Open Source launch in the first half of 2011
- When we do, everything we're legally able to will be released under
a commercially-friendly Open Source license (almost certainly the
APLv2)
- The big bang will be everything: docs, JIRA, GitHub repositories, everything

And you're right: this will include everything. The batch system, the
VaR engine, all the data management stuff, our analytics library, the
whole shebang. Nobody's ever tried to do this before, to release this
large of a system that every firm duplicates (usually badly), and make
it available in a way that helps people to use it and learn from it on
a daily basis.

I'm sorry that we've had to take this controlled access approach, but
I think you'll enjoy the system once we're able to release it and see
exactly what we've done and what a best-of-breed, super modern risk
and analytics system can do.

Kirk