

Bootstrapping an Ultra Low Latency Trading Firm, Part 3 - veyron
http://veyronb.wordpress.com/2011/08/03/bootstrapping-an-ultra-low-latency-trading-firm-part-3/

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shin_lao
The author seems to imply he reimplemented hash tables.

I was under the impression there was a fairly good number of high quality
implementations of hashes tables in the wild and that it was a thoroughly
studied subject.

"Not invented here" syndrome?

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veyron
For components not in the critical path, third party implementations are
acceptable.

However, it is not surprising to see every piece in the critical path to be
written in-house (feed handlers, for which there are many companies selling
solutions) or rebuilt with heavy modifications (kernel).

I had intended to say hash function, but it was very late by the time I
posted.

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shin_lao
Looking forward to reading your next post then. We've worked a lot on fast
data access and I wonder if you outperformed us.

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veyron
Do you have any latency numbers you could share? :)

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shin_lao
We don't directly do HFT, we work with banks to help them do that well.

All the numbers I could give you is what our data engine (which is what we
sell) gives on our test environment, I cannot share what our customers
actually get once deployed and configured on their system.

Generally, they are happy. :)

We're going to post benchmarks soon as we're going out of stealth mode.

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joshu
Feels like a jumble of data. You should organize this somehow. The list of
"high level" items seems pretty reasonable, but you left out historical data
and backtesting.

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veyron
Neither are involved in the intraday production critical path. Maybe I should
have explicitly used that phrase.

FYI: "Answer: For various reasons, (2) is the natural entry point (
_historical_ _data_ can be used in lieu of real data, strategy requires data,
and building an _order_ _book_ _simulator_ can initially obviate the need for
true exchange order entry), so let’s start here."

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akronim
Is interactive brokers actually fast enough? Or do you really need colocation?
(for these types of strategy)

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secretasiandan
Max Dama wrote this regarding using IB to do low latency trading while a
student but had interned at a HFT shop

<http://www.maxdama.com/?p=334>

The short of it is no :

Indicating there are 255 – 112 = 143 (!!!) hops and 124 milliseconds of
latency. Obviously retail traders have no chance with HFT strategies.

But places like Lime are accessible to sophisticated traders and offer colo
services

<http://limebrokerage.com/>

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veyron
I agree with the final conclusion, but this is a terrible way to measure
system latency!

For starters, most exchanges block icmp packets, precluding a ping-based
measurement.

Latency should be measured by actually going through their systems. For
example, after sending a FIX message to IB, it's not known how well their FIX
processor performs (at the very least, they have to do risk checks, so its not
just cut-through).

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secretasiandan
I think the point is that if you're not co-located, network transit time from
your servers to IB, not even including IB to exchange, is an insurmountable
disadvantage.

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simplekoala
Have always been curious about the details. Thanks for these posts

