The application of Quantitative Analytics to trades for the generation of Risk and P&L metrics has traditionally followed a batch based approach. Regulatory changes impose increasing demand for compute on financial institutions along with a growing demand for real time analytics due to increased volumes in eTrading across all asset classes
The talk is based on a use case for pricing Interest Rate Swaps, using Apache Beam, with a call to an external C++ analytics process. It describes the performance characteristics when operating in a non-cloud environment using Apache Flink as opposed to Google Cloud Dataflow
The talk will touch upon the subtle difference when operating across multiple runners. It will make suggestions on approaches to portability when architecting for a multi-runner operational environment.