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: