RE: OT: high frequency trading

There are no "db calls".... The algo loads, sits on Nehalem cores, scans the
exchanges, strikes, backs off, etc. there is no database loaded on the
boxes...

The 1ms marker has long been smashed... check
http://www.automatedtrader.net/

-Joe

From: Keegan.Holley_at_sungard.com [mailto:Keegan.Holley_at_sungard.com]
Sent: Saturday, February 13, 2010 8:20 AM
To: Joseph L. Brunner
Cc: Anthony Bonilla; ccielab_at_groupstudy.com; Gregory Gombas;
nobody_at_groupstudy.com
Subject: RE: OT: high frequency trading

This has been done and re-done over and over. You can colo at the exchange
itself or there are probably a wealth of carrier hotels within 10ms of it.
The bottleneck is almost always going to be the software though. I haven't
actually seen studies on this, but off the top of my head I'm curious about
the benefit of lowering latency from 15ms to say 2 or 3. The software can
take 1 or 2 full seconds or more to do it's DB calls and actually use the
connection.

From:

"Joseph L. Brunner" <joe_at_affirmedsystems.com>

To:

Gregory Gombas <ggombas_at_gmail.com>, Anthony Bonilla
<anthonybonilla.ccie_at_gmail.com>

Cc:

"ccielab_at_groupstudy.com" <ccielab_at_groupstudy.com>

Date:

02/12/2010 10:54 AM

Subject:

RE: OT: high frequency trading

Sent by:

<nobody_at_groupstudy.com>

________________________________

Actually most shops send the orders to different exchanges and black books and
of course arbitrage between the price differences they can exploit.
The can often find liquidity before anyone else knows it exists, and they can
send orders our for a very short time, of course pulling them if they don't
get the price they want...

It's kind of a nice study to work with these guys- they do eat the slower
players lunch (that may be software not just location based slowness).

Pretty much all the major players are already at the exchanges and therefore
you have to do it.

-Joe

-----Original Message-----
From: nobody_at_groupstudy.com [mailto:nobody_at_groupstudy.com] On Behalf Of
Gregory Gombas
Sent: Friday, February 12, 2010 9:17 AM
To: Anthony Bonilla
Cc: ccielab_at_groupstudy.com
Subject: Re: OT: high frequency trading

Tell them it won't matter anyway because whatever slight edge they
will get over their competitor by collocating at the exchange will
disappear once their competitor does the same :-)

On Thu, Feb 11, 2010 at 10:23 PM, Anthony Bonilla
<anthonybonilla.ccie_at_gmail.com> wrote:
> Hi all, I am back again. Have a question regarding high frequency trading.
> We are planning on collocating at an exchange for trading and are looking
> for doing lowest latency possible. I wanted to see if anyone else is doing
> this and if there are any recommendations. I am currently thinking about
> 4900M and nexus 5k (layer 2) but am interested in seeing what others have
> done and whether there are any best practices from cisco to ensure that we
> achive lowest latency. TIA.
>
>
> Blogs and organic groups at http://www.ccie.net<http://www.ccie.net/>
>
> _______________________________________________________________________
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Blogs and organic groups at http://www.ccie.net<http://www.ccie.net/>
Received on Sat Feb 13 2010 - 13:32:56 ART