Not long after we did a source code deal with Digital Equipment Corporation (DEC) and completed a DEC Alpha VMS port, they introduced us to the CAOS Team at Citibank, London, UK. They were working with their Foreign Currency Exchange Office to build an advanced model of the currency markets in support of new, composite products that combined multiple kinds of transaction and currency type combinations, including options such as insurance. The model was extremely complex and was updated in near real-time with market, weather, political and other kinds of data. Traders could train on selling new products and could use voice controls to conduct live trades that interactively put forward the best package deal whilst the trader was on the phone with a customer.

The model had a very complex and deep schema because of the variety of financial instruments and other exchanges involved. The development team, led by Dave Creager, consisted mainly of mathematicians designing algorithms, financial specialists ensuring adherence to laws and company regulations, and a half dozen C++ programmers.

They had started the project using the company's standard relational database, Sybase. However, it quickly became apparent that the modeling system would be extremely hard, if not impossible, to implement with an RDBMS. DEC siezed the opportunity and we quickly built a prototype that handled the most difficult data management problems and verified the performance, which truly shocked the relational database people.

It took almost a year to build and test the system, expand and tune the model, then train a few traders. After minor GUI adjustments, the decision was made to put it into limited operation alongside the existing system. The results were impressive. We were told that the total cost of production was recouped within the first twelve says of trading, an amazing result.

After increasing the system's compute power to 12 DEC Alphas (64-bit machines) and adding a standby site outside of London, it went into everyday use in London, Singapore and Hong Kong (we believe), but not in the USA. It was operational with very few problems for several years.

There was one troubling issue early on in that some transactions weren't being recorded live. They were re-applied successfully from transaction logs, which was good, as the average transaction was worth many millions of Dollars. After a very long debugging session and some help from the mathematicians, Peter Moore and Leon pursuaded DEC that they had a dual-port drive controller firmware problem. Statistically, we expected to see it around once every 64,000 (I think) disk accesses. DEC quickly found and fixed the problem and all was well for several years until there was a change of management in London. A new IT Director was brought in from New York and she insisted that CAOS be ported to Sybase, despite being told the many problems, including handling the complex mathematical model and Sybase's performance.

The project slogged on for about 8 more months until many of the team had left and CAOS was downgraded to an offline system and replaced with a chopped down version running on Sybase (a typical relational bigot tactic). The rest of the team left at that point.