Man vs. Machine: Seven Major Players in High-Frequency Trading | Hacker News Reader

Man vs. Machine: Seven Major Players in High-Frequency Trading

cnbc.com

47 pointsahalan8 comments

I worked for one of these guys. One day there was a glitch in a system, completely unrelated to my job, he had himself put on speakerphone so he could threaten to fire me. He loved The Apprentice.

What timescale is the game played at these days? Does it get down to milliseconds or below? Do people build special boxes running stripped-down OS's to avoid interrupts? Etc., please do tell

single-digit microseconds tick to trade (i.e. from when a message appears on the wire till a relevant order is sent to the exchange).

Without trying too hard, you should be able to get to 100 microsecond tails (CPython and perl prototypes can hit 80 usec at the 90th percentile).

Generally people use 10G nics with some sort of DMA (e.g. solarflare nics support a solution called OnLoad).

Though it should be said that, over the past few months, the effect of a few microseconds is mostly irrelevant (though being slow by milliseconds can be calamitous)

Though it should be said that, over the past few months, the effect of a few microseconds is mostly irrelevant (though being slow by milliseconds can be calamitous)

How in the heck do these shenanigans add any possible value to the economy?

They probably don't add nearly as much value as they make for their players. However, they do add a small value: They close the economic arbitrage "loopholes" -- allowing other players to focus on other things, which are likely to have more economic value.

They also may increase trust that the current pricing makes sense. When you buy some stock, it is more likely that you're getting a "fair" transaction.

on the exchange side - market data/trade/ack latencies can be microsec in the 50th percentile, single digit msec in the 90th, and double digit msec in the 99.99th, the variance can be significant and also change based on hr of the day and how well the exchange handles the load.

So even if you use customized, co-located hardware/FPGAs or even ASICs with the fastest interconnects and unlimited bandwidth and your engine responds in nanosec, still the message you get from/send to an exchange can sit there in a queue for something like eternity.

a few milliseconds here and there did not matter when the dinosaur roamed the planet.

was this when working in his hft firm ? care to share a day in the life, stories, insights working there ?

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