Re: OT: high frequency trading

Agreed, I've seen a few articles on message flow and how certain parts of
the software are not written for multi-core architectures, but this is
hardly the "pulse" of the industry. The NY times has some articles on the
impact of low-latency trading and how it develops liquidity where there
"should" be none and giving some an unfair advantage. I'm just curious
about how individual devices play into this and whether there really is a
difference between 2ms and 1 in terms of software efficiency. I agree,
this is one of the many topics that the financials will never share with
the world.

From:
Abdul <rslab007_at_gmail.com>
To:
Keegan.Holley_at_sungard.com
Cc:
Anthony Bonilla <anthonybonilla.ccie_at_gmail.com>, "ccielab_at_groupstudy.com"
<ccielab_at_groupstudy.com>, Nahskur Udniraht <expertinternetwork_at_gmail.com>,
Gregory Gombas <ggombas_at_gmail.com>, "Joseph L. Brunner"
<joe_at_affirmedsystems.com>, nobody_at_groupstudy.com
Date:
02/13/2010 01:34 PM
Subject:
Re: OT: high frequency trading
Sent by:
<nobody_at_groupstudy.com>

Keegan

I feel your pain with the real name thing. LOL.. I am under NDA for a
whole
bunch of stuff and I've already talked too much. There is a reason real
numbers aren't being revealed. Why would you? Your firm is making money
right now off low latency architectures, designs and yes software
development. Do you want to reveal to your potential competitor how your
eating their lunch in the market place? Ahhh... NO. LOL

I can't go into specifics how this is being done. I'm sorry. But its being
done.

On Sat, Feb 13, 2010 at 1:22 PM, <Keegan.Holley_at_sungard.com> wrote:

>
> Oh the stories I could tell... It's times like this that I regret
posting
> under my real name. I'm sure the engineering dept in the average
investment
> bank can and has convinced management to waste money. I wasn't
necessarily
> trying to start an argument. I just haven't seen any data about trading
> applications being able to move fast enough to make these extreme low
> latency environments as useful as people say they are. All the stats
I've
> seen gauge value in terms of latency or power consumption or throughput.
> I'm just curious if a complete comparison was done before everyone
started
> racing for extreme performance. The company I work for actually
develops
> such software so I'll look into the software aspect further. Again not
> saying it's impossible, just that I have yet to see data. I also have
it on
> pretty good authority that at least one major exchange does not care
about
> their customers networks and all those low latency orders will
sometimes
> bottleneck if going to the same place at the same time.
>
>
>
> From: Abdul <rslab007_at_gmail.com> To: Keegan.Holley_at_sungard.com Cc:
Anthony
> Bonilla <anthonybonilla.ccie_at_gmail.com>, "ccielab_at_groupstudy.com" <
> ccielab_at_groupstudy.com>, Nahskur Udniraht
<expertinternetwork_at_gmail.com>,
> Gregory Gombas <ggombas_at_gmail.com>, "Joseph L. Brunner" <
> joe_at_affirmedsystems.com>, nobody_at_groupstudy.com Date: 02/13/2010 01:09
PM
> Subject: Re: OT: high frequency trading
> ------------------------------
>
>
>
> Keegan,
> I won't get into a argument with you about this. Do you work for a
> financial services company that does trading? Trading decisions made by
> humans? Really? Have you been to the CME or NASDAQ recently? How many
human
> traders do you see in the pits vs say 5 or 10 years ago?
>
> All I will say is that all that I mentioned is not technology for
> technology sake. Financial services companies are making real money
based on
> trading strategy and low latency. Nobody at least not in the financial
world
> would spend money just for technology sake. Its spent if it gives you an
> edge and bottom-line, helps you win in the market space. I can tell you
> first hand, low latency technologies and designs have won, and won big
in
> the market place for us and quite frankly many other firms. This is not
a
> gimmick of "technology for technology sake".
>
> But thats why I referenced my emails with, this only relates to
Financial
> services companies or High Computing environments. Most network services
are
> unconcerned with this level of latencies.
>
> Anyway, I'm done talking about it. Thought I'd might add to a
conversation
> I know very well, and is the driver of articles like the one Network
World
> wrote in January or about 10Gb switches. Its the driver on why Cisco is
> coming out with a lower latent chipset for the Nexus platform later on
this
> year.
>
> This is real stuff happening in the network engineering world for
whomever
> is working or will work in Financial services or trading environments.
>
>
> On Sat, Feb 13, 2010 at 12:37 PM,
<*Keegan.Holley_at_sungard.com*<Keegan.Holley_at_sungard.com>>
> wrote:
>
> I'm still not convinced that a trading application can serve up trades
that
> fast. Also, many of the trading decisions are made by humans and we
haven't
> even reached the "seconds" world. Infiniband is just another gadget as
is
> 10G and the inevitable 100G. A normal bus usually operates at about
8-10G
> anyway. You're still thinking in terms of communication between nodes.
> What about actually generating and analyzing data? Storing it? Backing
it
> up? We are of course assuming that the actual exchange can receive and
> process all this data at the speed at which it is chucked at them
without
> causing bottlenecks. We're also assuming that they care. I'm not
saying
> that it's impossible, but I would just like to see a real world
comparison
> done that shows a 2ms trading house vs. a 10ms trading house in the same
> colo. Or even a trading house that saw real world improvements (like
those
> measured in dollars) after lowering their latency to an exchange. My
gut
> says that most of this is technology for it's own sake.
>
> From: Abdul <*rslab007_at_gmail.com* <rslab007_at_gmail.com>> To: *
> Keegan.Holley_at_sungard.com* <Keegan.Holley_at_sungard.com> Cc: Nahskur
> Udniraht <*expertinternetwork_at_gmail.com*
<expertinternetwork_at_gmail.com>>,
> Anthony Bonilla
<*anthonybonilla.ccie_at_gmail.com*<anthonybonilla.ccie_at_gmail.com>>,
> "*ccielab_at_groupstudy.com* <ccielab_at_groupstudy.com>" <*
> ccielab_at_groupstudy.com* <ccielab_at_groupstudy.com>>, Gregory Gombas <*
> ggombas_at_gmail.com* <ggombas_at_gmail.com>>, "Joseph L. Brunner" <*
> joe_at_affirmedsystems.com* <joe_at_affirmedsystems.com>>, *
> nobody_at_groupstudy.com* <nobody_at_groupstudy.com> Date: 02/13/2010 12:23
PM
> Subject: Re: OT: high frequency trading Sent by:
<*nobody_at_groupstudy.com*<nobody_at_groupstudy.com>
> >
>
> ------------------------------
>
>
>
>
> Keegan,
> You may a great point. And frankly your point is Cisco's argument why
the
> Nexus platform should still be considered for the High Frequency/Low
> Latency
> trading. So you right, .. once you've squeezed all the microseconds out
of
> the switch, and your "race to 0" is complete, it makes no sence to be
> 2microseconds better from one switch to another when the application
still
> adds 1millisecond of latency (more like a couple of milliseconds or even
a
> second).
>
> But trading strategies out there are addressing that with
> numerous optimization techniques on the software & even server
architecture
> side. Finally this is where if you application is still that slow..
> Infiniband? Hummm... Enough said.
>
> Finally.. be advised.. most of this "advantage" on the latency side is
> really played in the 10Gb arena. How many companies are serving up 10Gb
of
> data for consumption? Yeah, yeah, heard the serialization effect between
> 10Gb and 1Gb but seriously if your only pushing 1Gb of date on a 10Gb
nic,
> how much latency are you truly saving to the application?
>
> Great topic, but really only Financial Services and High
> computing environments are that concerned with shaving off microseconds.
> For
> the rest of the world, if you get your network to be milliseconds
faster,
> your the man. Cause their applications are still running in the seconds
> world. :-)
>
>
>
>
> On Sat, Feb 13, 2010 at 11:48 AM,
<*Keegan.Holley_at_sungard.com*<Keegan.Holley_at_sungard.com>>
> wrote:
>
> > Can you're software really move that fast? I understand the ability
to
> > move data faster and oversubscription rates. I simply have doubts
that
> > this translates to real world results.
> >
> >
> >
> >
> >
> > From:
> > Nahskur Udniraht
<*expertinternetwork_at_gmail.com*<expertinternetwork_at_gmail.com>
> >
> > To:
> > *Keegan.Holley_at_sungard.com* <Keegan.Holley_at_sungard.com>
> > Cc:
> > "Joseph L. Brunner" <*joe_at_affirmedsystems.com*
<joe_at_affirmedsystems.com>>,
> Anthony Bonilla
> > <*anthonybonilla.ccie_at_gmail.com* <anthonybonilla.ccie_at_gmail.com>>, "*
> ccielab_at_groupstudy.com* <ccielab_at_groupstudy.com>"
> > <*ccielab_at_groupstudy.com* <ccielab_at_groupstudy.com>>, Gregory Gombas <*
> ggombas_at_gmail.com* <ggombas_at_gmail.com>>,
> > *nobody_at_groupstudy.com* <nobody_at_groupstudy.com>
> > Date:
> > 02/13/2010 08:29 AM
> > Subject:
> > Re: OT: high frequency trading
> > Sent by:
> > <*nobody_at_groupstudy.com* <nobody_at_groupstudy.com>>
> >
> >
> >
> > network comes to play after you break 1 millisecond barrier ...
> >
> > we are using 4948 most of the time ...
> >
> > On Sat, Feb 13, 2010 at 6:50 PM,
<*Keegan.Holley_at_sungard.com*<Keegan.Holley_at_sungard.com>>
> wrote:
> >
> > > 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*<joe_at_affirmedsystems.com>
> >
> > > To:
> > > Gregory Gombas <*ggombas_at_gmail.com* <ggombas_at_gmail.com>>, Anthony
> Bonilla
> > > <*anthonybonilla.ccie_at_gmail.com* <anthonybonilla.ccie_at_gmail.com>>
> > > Cc:
> > > "*ccielab_at_groupstudy.com* <ccielab_at_groupstudy.com>" <*
> 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* <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* <nobody_at_groupstudy.com> [*
> mailto:nobody_at_groupstudy.com* <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* <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* <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/>
> > > >
> > > >
> >
Received on Sat Feb 13 2010 - 13:41:55 ART