By: Ellis Brown, Engineer, BlackRock AI Labs

In this post, we present two Julia packages that the BlackRock AI Labs has released, PiecewiseQuadratics.jl and SeparableOptimization.jl, along with a new Julia organization we created that is dedicated to first-order optimization methods. We originally developed these packages and the corresponding methodology to solve a class of portfolio construction problems, which we detail in a paper published in March. We will feature this work in a talk at the JuliaCon 2021 JuMP-dev workshop later this month!

See also: another implementation of these packages in Rust, as described in this blog post.

Why Julia?

After devising…

As a client-centered technology, BlackRock’s investment management technology, Aladdin, is constantly evolving. Creating a successful design system for Aladdin is no different — it evolves over time according to user needs and expectations.

By: Yael Alpert, Creative Director for Aladdin

Design systems: A user-centered framework for consistency and efficiency

Design systems are an industry standard because they provide a common visual language that gives users clarity and consistency. Aladdin is BlackRock’s investment and risk management technology that BlackRock uses internally and we deliver externally to financial institutions, as well. The Aladdin Design system offers a common library of components, propagated across our applications, to provide a consistent look and…

By: Sudipan Mishra, Engineer, Aladdin Site Reliability Engineering (SRE) team at BlackRock

Overview

Aladdin is BlackRock’s end-to-end investment management technology that we use internally to run our investments business and also deliver externally to other financial institutions. It supports thousands of applications and services that provide sophisticated risk analytics, comprehensive portfolio management, trading, and operations tools. Aladdin is relied upon by approximately 55,000 investment professionals around the world. It is critical to monitor the health and performance of all the services that run on Aladdin. BlackRock’s Site Reliability Engineering (SRE) team has built a robust Telemetry platform that oversees the health…

By: Shreemoyee Sarkar is a Quantitative Developer in the Financial Modeling Group. She joined BlackRock in 2019 after getting her Masters and Bachelors in Mathematics and Computing from IIT Varanasi

Introduction

I joined BlackRock as a quantitative developer in 2019. Prior to that, my acquaintance with C++ was mostly limited to competitive programming. Nevertheless, I used to consider myself fairly experienced in it. Then I got the opportunity to be a part of the team developing BlackRock’s next-generation security analytics platform, a greenfield project written almost entirely in modern C++.

As my work on the project progressed, I realized there were…

Aladdin Engineer, Scott Weitzner discusses how a culture of innovation, collaboration, and mentorship helps push the boundaries of your comfort zone.

By: Scott Weitzner, Associate, Aladdin Platform Engineering

My Journey as an engineer from college to BlackRock

I remember stepping foot into the first engineering club meeting at my university at the start of the Fall 2014 semester. I was a freshman who had been on campus for all of one week and was utterly lost. It was clear from the start that I was out of my comfort zone: complex algorithms written on a chalk board, someone building a motorized skateboard in one corner, people discussing neural networks…

By: Jack Gindi, Associate, BlackRock AI Labs

Steven Diamond, Associate, BlackRock AI Labs

In this post, we discuss an optimization algorithm that was at the core of one of our projects here at BlackRock. You can check out the open source project here. For a discussion of the business case the algorithm was originally conceived for, we refer you to a paper the BlackRock AI Labs published in summer of 2020. It is based on a variant on the alternating-direction method of multipliers (ADMM) optimization algorithm applied specifically to the tax-aware portfolio construction problem. The important thing is to know…

By: Michael Francis, Technical Fellow and Head of Aladdin Platform Engineering, within the Aladdin Product Group, at BlackRock

At BlackRock, we have committed to resource-oriented design for our service calls in Aladdin, our investment management technology. In a nutshell, resource-oriented design encourages breaking down services into a set of distinct entities (resources) with no overlap. Identification of entities by a unique reference allowing cross entity references. A small number of methods (RPCs) are defined against these resources supporting access and mutation. For a comprehensive introduction to ROD, it is good to read the Google description.

Why choose a resource-oriented design?

Historically many organizations (including BlackRock)…

By: Kevin Sun, BlackRock Engineer & Managing Director in the Cash Engineering team within the Aladdin Product Group

Introduction

The Cachematrix Liquidity Trading Portal, a BlackRock technology product, is a web-based liquidity management platform white-labeled by 25 large global banks and asset management companies. Cachematrix Cloud Connector is a real-time Integration-as-a-service application that connects various external bank and Transfer Agent (TA) systems with the multi-tenant Cachematrix Liquidity Trading Portal. The Cloud Connector uses Kafka as the message broker and streaming platform.

With Kafka’s out of the box message persistence, state stores, and Kafka Streams API, we implemented eventual consistency with high…