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Thoughts on low latency trading if exchanges went full cloud

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Re: Thoughts on low latency trading if exchanges went full cloud

#141

Post by bitcharmer »

KiranRao0 wrote: post #5

One key consideration is “provable fairness”. It’s my understanding that exchanges use techniques like long, same length fiber optic cables to all racks within the exchange datacenter to convince customers that everyone is on a fair playing field. This is a lot harder to do when a server is virtualized somewhere on some rack on EC2. Exactly as mentioned, people will try to optimize by spinning up/down instances as cl…

The only exchange I know that does the cable in a box trick is IEX. Everyone else is based on "the closer, the better". Colocation is king.

Re: Thoughts on low latency trading if exchanges went full cloud

#142

Post by aftbit »

latchkey wrote: post #128
aftbit wrote: post #124

Earlier quoted context omitted.

Are people still using 10G in PROD? I thought 40G and 100G had generally replaced that. I have 10G cards in my homelab that are a decade old and cost less than $100.

We are 400G to the machines and 800G on the splines.

Cool! Even faster than I realized. What application(s) can actually push 400G through a machine though?

Re: Thoughts on low latency trading if exchanges went full cloud

#143

Post by gpderetta »

onionisafruit wrote: post #25

If a big exchange goes to the cloud it won’t look like a regular company setting up an aws account and getting a bunch of ec2 instances in us-east-1. They would at least have dedicated racks. I suspect the provider would end up with a plan where traders can get servers that all have the same network distance from the exchange’s nics (down to the same length of fiber).

But at that point it would be just another colo, right?

Re: Thoughts on low latency trading if exchanges went full cloud

#144

Post by latchkey »

aftbit wrote: post #142
latchkey wrote: post #128

Earlier quoted context omitted.

We are 400G to the machines and 800G on the splines.

Cool! Even faster than I realized. What application(s) can actually push 400G through a machine though?

Data transfer for training. It goes directly to the GPUs via RoCE. That said, we also stack the boxes with a bunch of NVMe as well, so you can cache there first, if you want so that you don't have to worry about network bandwidth as much. We're flexible on customers needs.

When 800G nic's come out next year (along with PCIe6), we will start buying those as well so that it is 800G everywhere. Let's see how long that lasts before it is considered slow... heh.

Re: Thoughts on low latency trading if exchanges went full cloud

#145

Post by [deleted] »

Kranar wrote: post #109
lucianbr wrote: post #71

Earlier quoted context omitted.

I find it sad that equal access between the entities doing HFT and regular Joes is not required for fairness, but god forbid one HFT having some milisecond advantage over another. That would be unfair. Can't have that.

What do you think an Average Joe is going to do with that extra millisecond available to them?

[deleted]

Re: Thoughts on low latency trading if exchanges went full cloud

#146

Post by RunSet »

lucianbr wrote: post #71
posnet wrote: post #54

The biggest current limitation with cloud providers when it comes to exchange tech is the lack of real multicast support. It is rare outside of exchanges, but extremely low latency L1 multicast market data has become the backbone of exchanges, both for fairness and for scalability. Knowing you can saturate your entire network with 10G traffic and every participant will get the same market data packets at the same tim…

I find it sad that equal access between the entities doing HFT and regular Joes is not required for fairness, but god forbid one HFT having some milisecond advantage over another. That would be unfair. Can't have that.

Likewise, banks chronologically rearrange the transactions in checking accounts to maximize overdraft fees. Yet when I suggest batching and chronologically randomizing the transactions on exchanges to reduce the benefits of low latency / centrality, people behave as though I have transgressed against Moloch.

Re: Thoughts on low latency trading if exchanges went full cloud

#148

Post by [deleted] »

IshKebab wrote: post #24
jstsch wrote: post #10

Nice article. Wondering though why trading is not done in discrete batches, e.g. 5 second intervals? Trades in the same interval get filled equally or stochastically? Info about trades with that same 5 second batch delay? Is there some (theoretical) market efficiency thing at play? All this HFT feels wasteful and bad for 'regular' human investors.

If you think about it you can never eliminate the advantage of being faster. If you do 5 seconds batches it just means the edges of the batches become the time-sensitive points. If you want to kill HFT you can do it directly via very very small transaction fees. But guess how popular that is...

[deleted]

Re: Thoughts on low latency trading if exchanges went full cloud

#149

Post by kasey_junk »

jeffreyrogers wrote: post #132
kasey_junk wrote: post #41

Earlier quoted context omitted.

How do you tie break? If there are more sellers than buyers (or vice versa) at the clearing price?

They already do this for the opening and closing auctions. You can have a market-on-close order or limit-on-close order for example. The market on close orders are guaranteed to fill. The limit orders are filled using price-time priority, so best prices submitted earliest fill first, after the market price orders. I guess it is possible that there are remaining marketable orders that never fill because of an imbalanc…

If you keep price/time priorities you still get a race to pile into new levels after the previous batch.

Re: Thoughts on low latency trading if exchanges went full cloud

#150

Post by kasey_junk »

xnorswap wrote: post #92
WiSaGaN wrote: post #82

Earlier quoted context omitted.

> You could match what you can distributed equally and leave the rest unsettled. Equally per market participant? Do large participant like banks trade same amount as retail investor one trade at a time? Per quantity? HFT will time the end of the interval and decide to place a large order or not.

It would be weighted by bid size. If there's $10m of bids one side and $5m of offers on the other, you match up the $5m on that side and every bid gets 50% settled. I'm not sure I understand the problem with "waiting" for the end of the clock. The pool wouldn't be public so you couldn't get knowledge inspecting the pool. All bids and offers would be published on the clock and settled by weighing all the bids and offe…

Per rata matching is already a thing in some financial markets. They tend to be _more_ latency sensitive as size gets inflated to game the matching algo, thus risk being inflated and thus the value of timely cancels.
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