Why is it that ALL brokers do not understand true latency?

Discussion in 'Order Execution' started by sigsegvboogman, Dec 17, 2005.

  1. "1. short without checking inventory (they are market makers).

    2. unlimited buying power so no checking for buying power cuz they can.

    Latency, well they eliminated that latency and have only.

    1. quotes- depending?? uncontrollable* but just say 40 milscecs
    2. executions: ecn's, market makers-(most likely using fiber) , and specialist) about 0-40 milsecs ave probably lower on most ecn's, nothing if market maker themselves. Listed is higher if you use true acks.
    3. back up databases if that-depending? controllable*

    In all, they can come in around 0-80 milsecs. Depending on the quotes. Not bad.

    "

    If I came in at 80 milliseconds, i'd be out of business................
     
    #111     Dec 22, 2005
  2. doubt it, exchanges are in coming around 100.



     
    #112     Dec 22, 2005
  3. Hey, i'm happy as hell if they all run at 80 milliseconds. No complaints here. God bless 'em.
     
    #113     Dec 22, 2005
  4. Sig:

    Since you've done a lot of work on latency, can you share some of your knowledge with the guy who may have a store-bought computer box, and a dsl line in his house? What is the best way to shave milliseconds, is it in hardware or software? My current ping time is 40ms. Trades are manually entered (by exchange rule), but other traders try for the same opportunities, so speed is still important.
     
    #114     Dec 22, 2005
  5. Well, I think we are comparing apples and oranges here. I think the most latency in your execution path will be your finger clicking on the mouse.

    You more than likely are using Windows for an operating system, so there is an inherent latency there no matter what. You can do things in Windows to speed that up (like disabling the paging file or setting to "best performance"). Just make sure you have 1 gig of RAM or more to do so. At that point, try to get as less hops as you can on your line: However that may be attained.

    It's not really technical, but from your perspective, those are some ways to do so.

    Like I said, what I do and what you do are like comparing apples to oranges. Best of luck and Happy Holidays.
     
    #115     Dec 22, 2005
  6. alanm

    alanm

    Quote from JMartinez:
    2. unlimited buying power so no checking for buying power cuz they can.


    A little off topic, but...
    I think this is a myth. It's unreasonable to think that any firm that wants to stay in business for more than a minute does not have risk management systems that will prevent it from exceeding its desired exposure for a given asset class, instrument, trader, or aggregate firm position.

    That's not to say that there aren't exceptions (like Mizuho :) ).

    Even still, I know that the amount of time spent checking my own risk management params in my system is, without question, completely insignificant.
     
    #116     Dec 22, 2005
  7. No myth. Blow ups are myths too :) :)




     
    #117     Dec 23, 2005
  8. And yet I rarely see any trading system using a true real-time operating system like embeded Linux or QNX or the like. Even under the regular Linux the clock resolution (aka the semaphore minimum time) is still measurable, it is better than the "default" windows setup (which has atrocious clock resolution, crap like 10 to 25 ms). Don't get me wrong, I am an old UnixFart (since '82).

    The interesting thing about tuning Windows for better clock res is that a lot of game developers does it very well (see Doom, Quake, etc). So one can (and I have) taken cues from custom video and DirectX apps (!) to get windows for much finer resolution. The amazing thing is that the driver refresh rates (roughly corresponds to minimum clock res) under Windows can be better than a "stock" Linux setup, and is about the same (since we then run into hardware) as a custom tuned Linux kernel. Task management in Kernel releases prior to 2.4.x was sub-optimal anyways, before Cox rewrote all of it (I think it was included in 2.4.x kernel release, I don't run a stock kernel, so kernel versions I have lost track).
     
    #118     Dec 23, 2005
  9. I remember when we ported to QNX. It was a complete waste of time........
     
    #119     Dec 23, 2005
  10. Does anyone here know of a broker that has co-locating facilities at HFC( Harborside). Thanks.
     
    #120     Jan 18, 2006