They meant GNU/Linux of course.
London Stock Exchange smashes world record trade speed with Linux
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Re: London Stock Exchange smashes world record trade speed with Linux
#42They meant GNU/Linux of course.
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Re: London Stock Exchange smashes world record trade speed with Linux
#43Earlier quoted context omitted.
Go read the website I linked to. NASDAQ publishes their methodology. I'll quote it for you here: OUCH Measurements of Order Latency * The time it takes to accept, process, and acknowledge or fill an order. * Measured as the complete round trip for an order or cancel transaction leaving a customer network port, through the co-lo network and application firewalls to the matching engine and back. * Measured in the produ…
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They are clustered together because it takes roughly the same amount of time to determine that an order can be matched (filled) or that it can't be matched (acknowledged, on the book.) Either way, it has to be processed by the matching engine.
Re: London Stock Exchange smashes world record trade speed with Linux
#44Encouraging ever faster trading times might be unwise, leading to instability and "hunting". There needs to be some damping in the system to guard against large uncontrolled fluctuations.
Re: London Stock Exchange smashes world record trade speed with Linux
#45This information is relatively useless to me. Was the old system slower because of the OS, .NET, or some other factor(s)?
That is certainly hard to say. It was, as I understand it, built by avanade, the joint venture between Microsoft and Accenture.
The speed of a system as complex as an exchange is influenced by many factors--network infrastructure, language of choice, software architecture, OS tuning.
In fact, garbage collected languages are known to perform well in serious low-latency systems.
Some firms have been known to rewrite the network stack for performance.
So presuming that it is an OS issue, or a language issue, or a vendor issue alone is not likely to arrive at a useful answer.
Re: London Stock Exchange smashes world record trade speed with Linux
#46This makes me wonder how, in mission critical and real time systems like LSE, they maintain a balance between being ACID and fast. Does any of these transactions ever touch the disk ? If not, how do they handle machine failures ?
If there is a database, it would be far down the chain. Imagine machines with 72g of memory whose only function is a buffer.
(I would love to get my hands on one of those suckers and outfit it with Redis.)
Re: London Stock Exchange smashes world record trade speed with Linux
#47Earlier quoted context omitted.
I'm a software developer at an exchange in the US. The LSE has not released details of how it is measuring "latency", but FWIW, we measure latency as the time it takes to submit an order and receive an order acknowledgment or fill, with both the sending and receiving outside our firewall. The two biggest SW components involved are the FIX handler (the component used to process orders; FIX is an industry standard prot…
"we measure latency as the time it takes to submit an order and receive an order acknowledgment or fill, with both the sending and receiving outside our firewall." This isn't normally the metric exchanges are referring to when they say 'latency'. They mean the internal processing time, within their network, to process, fill and generate a response to an incoming order. Anything else depends on the individual clients…
I thought what lrm242 said and what I said were pretty much the same thing. But there is no standard definition of 'latency', so it's hard to say what "they mean" unless they publish a definition on their website. But I know of at least three major exchanges (one of which I work for) that consider the starting and endpoints for latency measurements to be outside the firewall. As for what Turquoise means, I'm not sure but would love to see their definition to know if their numbers are comparable. Also would like to know if these measurements were made under load because that can also make a significant difference.
Re: London Stock Exchange smashes world record trade speed with Linux
#48It's fascinating that these latencies are an order of magnitude faster than most 'web services'. Can anyone provide more insight into what is specifically involved in executing a single trade? Are they just enqueueing a trade message in this latency or actually executing the trade? Are they including network latency in these numbers? Also, does anyone have any insights into the hardware and customizations?
The latencies are typically quoted as round trip through the matching engine. This does not include transit latency to the matching engine but will include any internal transit latency once the matching engine has the order. So you can assume it is from when the order message reaches the network interface on the order processor to when the response leaves the network interface towards the market participant. The amou…
I agree, but with one exception. I think it is measured from the point of view of a co-located trading firm. So from the time that a trading engine that is a customer of the exchange fires an order to the time it receives either an order acknowledgement (this would result in a resting order) or a fill (completion of a by sell) at the co-located machine is how this would be measured.
Re: London Stock Exchange smashes world record trade speed with Linux
#49If I were a critical systems operator like say, a stock exchange, I would have to have my head examined by a team of head examiners for even considering Windows as an acceptable OS platform. Honestly, is the reason Microsoft can even get consideration for these projects because there are so many tech executives at major corporations who used to be Microsofties?
Have you experience with Windows Server in a properly set up production environment? I know of at least one high-performance shop that has used Windows servers (we are not talking onesies or twosies here--more than hundreds) and has higher performance requirements than exchanges.
Re: London Stock Exchange smashes world record trade speed with Linux
#50If I were a critical systems operator like say, a stock exchange, I would have to have my head examined by a team of head examiners for even considering Windows as an acceptable OS platform. Honestly, is the reason Microsoft can even get consideration for these projects because there are so many tech executives at major corporations who used to be Microsofties?
Have you experience with Windows Server in a properly set up production environment? I know of at least one high-performance shop that has used Windows servers (we are not talking onesies or twosies here--more than hundreds) and has higher performance requirements than exchanges.
What industry has higher performance requirements than exchanges?