Hi speed trading - hi speed monitoring

Rodrick Brown rodrick.brown at gmail.com
Fri Feb 17 12:01:36 CST 2012


On Feb 17, 2012, at 10:30 AM, Jay Ashworth <jra at baylink.com> wrote:

> ----- Original Message -----
>> From: "Paul Graydon" <paul at paulgraydon.co.uk>
> 
>> Anecdotally, I had an interview years ago for a small-ish futures
>> trading company based in London. The interviewer had to pause the
>> interview part way through whilst he investigated a 10ms latency spike
>> that the traders were noticing on a short point-to-point fiber link to
>> the London Stock Exchange. He commented that the traders were far
>> better at 'feeling' when an connection was showing even a trace of lag
>> compared to normal than anything he'd set up by way of monitoring (not
>> sure how good his monitoring was, though.)
> 
> This was my experience in a callcenter as well; network type problem reports
> always came in from the floor managers before Nagios came forth with an 
> opinion.

This has nothing to do with a gut feeling or instinct. Trading companies today monitor P&L near realtime and traders will begin to experience low fill rates or worse be rejected by trading counter parties when prices are too far off or out of the money. The longer a system takes to responds to market quotes the lower fills rates they begin to notice and higher execution costs. Trades today in the equity markets must be within the national best bid, best offer price range or companies can be fined by the SEC which is why latency an jitter can be problematic in financial networks. 
 
> Cheers,
> -- jra
> -- 
> Jay R. Ashworth                  Baylink                       jra at baylink.com
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> 



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