[dba-Tech] HFT (High Frequency Trading)

Arthur Fuller fuller.artful at gmail.com
Sat Oct 19 12:40:40 CDT 2013


There are several articles available over at queue.acm.org on HFT and the
algorithms and hardware used to implement these systems. In one of
them, *Barbarians
at the Gateways*, former trader and HFT developer describes these systems
and mentions some of the performance demands. There is a measurement called
Tick to Trade Time, which consists of:

1. Receive a packet at the network interface.
2. Process the packet and run through the business logic of trading.
3. Send a trade packet back out on the network interface.

Loveless says that when he began in 2003, the goal was a Tick to Trade time
of under 10 milliseconds. By 2004, this was halved to under 5 milliseconds.
By 2009 the requirement was under 1 millisecond. By this point programmers
were rewriting kernels and using FPGAs (field programmable gate arrays).

Fascinating reading. The URL is queue.acm.org/detail.cfm?id=2536492.

-- 
Arthur


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