Upload
jack-alexander
View
213
Download
1
Embed Size (px)
Citation preview
• Independent agency broker with over 10 years of experience providing high-throughput, low latency technologies to the professional trading community.
• Facilitates trading for high-frequency clientele as well as more traditional buy-side and other proprietary trading operations.
• Close to issues affecting high frequency trading, with no proprietary interest of our own
Lime does not engage in proprietary trading, internalization or dark pool operation.
• Products and services include: co-location (hub & spoke and LimeInside), algo trading, options trading, virtual brokerage and ultra-low latency data.
About Lime Brokerage
• Hundreds of millions of shares traded by our HFT clients last Thursday with no issue.
• Comprehensive pre-order controls before every single order/trade.• Clients were providing liquidity throughout the day, especially during
the most volatile periods.• A prime example to us of HFT continuing to bring efficiency to the
markets.• Insertion of pre-order controls is consistent with ultra-low latency.
A Comment on Last Thursday
Where Latency Exists
Physical Distance
Network Equipment
Software
Network hopsSwitching latencyServer nic cards
Client SoftwareBD validationTCP/IP Stack
How far from the matching engine
Some are optimized, but still room to reduce further on others
Mos
t to
Leas
t Inh
eren
t Lat
ency
• Latency game is nearly over for data delivery, order management and matching logic.
• Anyone willing to make the appropriate investments can quickly reach minimum latency using conventional technology: software architectural efficiency is reaching canonical perfection.
• Industry’s top performers have used every trick available with standard technology and have squeezed latency as far as it will go.
• Need further enhancements from the computer science sector.• Best Bet: Should be working in partnership with your provider to help
restructure code. Huge gains can still be made in computational algo restructuring.
• FPGA work ensuing. True exploration of ASICs and fabrication technology is yet to occur.
What can we do to reduce latency?
• Evidence of poor quality latency monitoring and reporting by firms.• Apples and Oranges – little standard exists, mostly marketing buzz.• Industry needs to be intellectually honest, customers already know
but are being confused with disinformation. • Within design tolerances, look at what comparative technology can do
to aggregate risk, interact with the markets and provide configuration flexibility.
• Co-location is but one piece to consider, in many cases the benefit of colo is negated by sub-optimal internal latency and applications.
• Need to segregate: co-location, intra-process, through box, network, match interaction and message acknowledgement latencies.
Monitoring Latency
Latency Monitoring Matrix
CategorySingle
MessageNormal
BehaviorPeak
Throughput
Co-location
Intra-Process
Through Box
Network
Match Interaction
Message Acknowledgement
• Need to agree on what is high frequency trading.• Need to agree on what is fair access. • We must avoid a regulatory environment which becomes a “race to
the bottom”. • Stop procrastinating, rules banning naked access are inevitable.• Any structures providing unfair advantage to certain participants
should be disclosed – preferential order types, IOIs/Broker ‘flash orders’, dark pools, prop trading etc.
• There is nothing wrong with regulators keeping track of who’s trading provided that steps are taken to protect the intellectual property of the inventor.
We are at a Critical Juncture for HFT