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HFT "Flash boys" & PC development

 
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sir spuddly buddly
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PostPosted: Sat Jun 27, 2015 12:54 am    Post subject: HFT "Flash boys" & PC development Reply with quote

To steal Michael Lewis's book title as a starting point, I was coming up to date with M.2 PCIe SSDs and wondered how much the "flash boys" are pushing component development.

Since these boys with their toys are dependent on faster and faster machines to make a living (not to mention internet speed), has anyone any idea of what clout the HFT/low latency/analog traders have with the companies that make components?

Take this as an invitation to air views.
#ni-1
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LanDroid
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PostPosted: Sat Jun 27, 2015 6:18 am    Post subject: Reply with quote

For the amount of money they spent for an optimized fiber route from NY to Chicago, I expect they obsess over every item that improves speed. They probably have SSDs, but might also have huge amounts of memory so the computer rarely has to access a disc drive. Load the OS, programs, and entire d-base into memory and fugedaboudit!

I doubt they have much clout with component manufacturers as far as improving speeds since they would buy very low volume. However it's possible they use considerable financial clout to get the newest parts before anyone else? Perhaps they upgrade hardware every few months?

For those who haven't read Flash Boys by Michael Lewis, a group of investors spent a huge amount of money to lay a new optimized route of fiber optic cable from NY to Chicago, taking the straightest line physically possible. For example if existing fiber conduit required a right angle turn with a mile on each leg, they would get property rights to cut a new line right across the hypotenuse, shortening the length slightly. They eliminated as many zigs, zags, and jaggles as humanly possible to minimize the length of that fiber run.

As I recall the cost to install this new fiber optic route was several hundred million dollars. That sounds insane given the signals travel at the speed of light, but even then it takes a nano-second to travel one foot. By owning the shortest route, this "corporate entity" was able to execute automated stock trades about 1/3 second faster than anyone else. This allowed greedy financial shenanigans well worth the investment. At the end of the book, Lewis indicates another group has installed a series of direct line of sight radio towers that reduces the signal time compared to even that optimized fiber route.

It's a great read if that story and details of the financial market interest you, otherwise it might be boring...
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sir spuddly buddly
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PostPosted: Sat Jun 27, 2015 4:55 pm    Post subject: Reply with quote

Since it's a winner-take-all scenario (who ever is first in line - ie fastest - gets to process the order and make the bucks on the deal), I would think systems are uppgraded as soon as newer faster components (cpu's, ram, switches, whatever) come out.
I've always wondered why the extreme editions of CPUs cost so much more - it's because every HF trading firm must buy them to stay in buisness. Now more so, as so many firms from giant multi-national banks to small companies are fighting to process orders.
Edit - http://www.advancedio.com/markets/financial/ultra-low-latency-trading/ Using PCIe 3.0 card as a computer to bypass the CPU and improve speeds -
"In order to reduce latency, it is necessary to push the decision making on trades to the Network Interface Card (NIC) which alleviates the need to involve the main system processor which would introduce undesirable delays in response time. This Network-Side Processing (where processing occur as close to the network interface as possible) is essential for the design of a truly ultra low latency system.

A solution based on FPGA technology has many advantages:

Trade execution on an FPGA located close to the network’s physical interface eliminates the latencies caused by the host bus, the host processor and the operating system. This drastically improves trading response time.

FPGAs provide wire-speed performance, allowing the execution of the part of the algorithm that detects and acts on trading opportunities almost instantaneously before others even notice the opportunity.

FPGAs can be reprogrammed during operation allowing parameters and algorithms to be changed and updated to keep ahead of competitors.

FPGAs are excellent at parallel processing enabling them to act on multiple trades simultaneously.

FPGAs can be provided with a development framework that shortens the development cycle for customers and allow them to focus on development of their systems and proprietary algorithms."
So how much does a V5031 Quad Channel 10 Gigabit Ethernet FPGA PCI Express Card cost? Only the maker is selling ...
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PostPosted: Sun Jun 28, 2015 1:45 am    Post subject: Reply with quote

"Financial engineering" its called Very Happy
PS - wondered why Goldman, Credit Suisse, Morgan Stanley etc were so involved with Sweden's Royal Institute of Technology - Folding@home had a server or two on their campus as well. https://www.kth.se/en/aktuellt/nyheter/superdatorer-oppnar-dorren-mot-universum-1.442286
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PostPosted: Tue Jun 30, 2015 12:17 am    Post subject: Reply with quote

Complete double back up systems, in windowless, nameless warehouses with their own generators.
http://financial.engineering/financial-engineering go to ca 10 minutes in with the guy driving around.

PS - http://www.theplatform.net/2015/05/28/the-other-cray-launches-cpu-fpga-hybrids/"equates this to the diesel engine coming along and knocking out the steam engine."
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PostPosted: Mon Jul 13, 2015 11:55 pm    Post subject: Reply with quote

http://www.ft.com/intl/cms/s/0/407c1fae-2974-11e5-8613-e7aedbb7bdb7.html?siteedition=intl#axzz3fpz9u7T5

High-frequency traders could face a wave of new regulation after US authorities called for a broad review of the rules that govern them following a burst of volatility that shook faith in markets’ resilience.

In a long-anticipated report on the wild swing in bond yields on October 15 last year, the US Treasury department and regulators said the growth of rapid electronic trading had played a central role but stressed that several other factors contributed.

The see-sawing of yields over 12 minutes as liquidity dried up sparked worries about the underlying fragility of the $12tn US Treasury market which forms the bedrock of the global financial system.

The report released on Monday said a wholesale review of automated trading regulations was “worthwhile” as it highlighted essential changes in market functioning that suggest the episode was not a one-off.

“The introduction and rapid growth of automation in the US Treasury market over the past decade has brought benefits as well as challenges to trading practices and risk and internal control systems,” the report said.

It noted that automated trading can occur at speeds that “exceed the capacity of manual detection and intervention, posing a challenge to traditional risk management protocols”.

Non-banks that rely heavily on automated trading now account for 60 per cent of institutional trading in the bond markets, up from 25 per cent in 2008, according to Anthony Perrotta, global head of research at Tabb Group.

“Regulators should focus on specific behaviours that exist in markets, rather than a specific firm type,” said Bill Harts, chief executive of the Modern Markets Initiative, an HFT advocacy organisation. “HFT has become part of markets and many of the banks employ electronic trading strategies, so it’s difficult to regulate ‘HFT firms’ because most firms use HFT techniques,” he added.
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PostPosted: Mon Aug 10, 2015 4:02 pm    Post subject: Once you get into milliseconds it's almost not HFT any more Reply with quote

"I remember coming home late one night, and my mother, a math teacher, asked why I was so depressed and exhausted. I said, "Imagine every day you have to figure out a small part of the world. You develop fantastic machines, which can measure everything, and you deploy them to track an object falling. You analyze a million occurrences of this falling event, and along with some of the greatest minds you know, you discover gravity. It's perfect: you can model it, define it, measure it, and predict it. You test it with your colleagues and say, 'I will drop this apple from my hand, and it will hit the ground in 3.2 seconds,' and it does. Then two weeks later, you go to a large conference. You drop the apple in front of the crowd...and it floats up and flies out the window. Gravity is no longer true; it was, but it isn't now. That's HFT. As soon as you discover it, you have only a few weeks to capitalize on it; then you have to start all over."
Very interesting article at http://queue.acm.org/detail.cfm?id=2536492
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PostPosted: Mon Aug 10, 2015 4:23 pm    Post subject: Traders Bank On Server Switch Hybrids For Performance Boost Reply with quote

Anybody running SETI on a switch?
http://www.theplatform.net/2015/04/06/traders-bank-on-server-switch-hybrids-for-performance-boost/
"On the QFX5100-AA, Juniper upgraded the X86 processor to a four-core Xeon E3-1125C v2 (which is an “Ivy Bridge” generation embedded chip) running at 2.5 GHz, and found that Junos only needed a half core of processing to run atop its hypervisor. That left three cores of raw compute that it can expose through its hypervisor to run Linux applications right in the network stream. The QFX5100-AA has 32 GB of memory allocated to that Xeon E3 chip plus 128 GB of SSD storage, and importantly, has two 10 Gb/sec Ethernet ports with drivers that allow for kernel bypass, yielding very low latency from the network into the Xeon chip and back out again."
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PostPosted: Fri Sep 25, 2015 7:55 am    Post subject: Reply with quote

"Godzilla's Butcher on Steroids" Shocked
Stuff a whole PC on a PCI-card and you get
http://www.dinigroup.com/web/DNVUF4A.php
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sir spuddly buddly
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PostPosted: Sun Jun 26, 2016 11:56 pm    Post subject: Reply with quote

http://www.bbc.com/news/business-36544970
38 miles of fibre optic cable - in a box ... can n't wait for the movie Very Happy
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LanDroid
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PostPosted: Sat Jul 09, 2016 1:01 pm    Post subject: Reply with quote

Quote:
Legendary Hedge Fund Wants to Use Atomic Clocks to Beat High-Speed Traders

7/7/16
http://www.bloomberg.com/news/articles/2016-07-07/jim-simons-has-a-killer-flash-boy-app-and-you-can-t-have-it
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