Jim Lawrence
accessd at shaw.ca
Sat Oct 19 16:16:01 CDT 2013
A very interesting article. I understand that big traders actually have their own direct connection to the stock exchange. The stock exchange now has routers with atomic clocks in them so they can manage trades intervals to a billionth of a second. Jim ----- Original Message ----- From: "Arthur Fuller" <fuller.artful at gmail.com> To: "Discussion of Hardware and Software issues" <dba-tech at databaseadvisors.com> Sent: Saturday, October 19, 2013 10:40:40 AM Subject: [dba-Tech] HFT (High Frequency Trading) 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 _______________________________________________ dba-Tech mailing list dba-Tech at databaseadvisors.com http://databaseadvisors.com/mailman/listinfo/dba-tech Website: http://www.databaseadvisors.com