Re: OT: high frequency trading

John,

You had to reveal. LOL .. I was trying not to say much more LOL...

On Sat, Feb 13, 2010 at 1:32 PM, Joseph L. Brunner
<joe_at_affirmedsystems.com>wrote:

> 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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Received on Sat Feb 13 2010 - 13:37:39 ART