Encouraging 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.
If damping is profitable, someone will do it.
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
#52Earlier quoted context omitted.
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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.
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Re: London Stock Exchange smashes world record trade speed with Linux
#53It'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?
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…
Right, the only metric I want to see is the roundtrip latency between when I submit my order to when I get my execution report. I just aggregate the timestamps in my FIX logs and usually quote the min, median, max when trying to compare exchanges.
Every exchange we negotiate with quotes us their ping-test results. I always have to remind them that there's a lot more to getting an order into the book (especially via FIX) than just TCP.
Re: London Stock Exchange smashes world record trade speed with Linux
#54Encouraging 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.
If damping is profitable, someone will do it.
The profit motive should drive the use, not the implementation of a trading system that effects the world economy so directly.
I've maintained that the standard increment for trades should be hours or days, not microseconds. This way liquidity is maintained on a macro scale, and parasitic orders based on micro manipulations of the system are eliminated.
Re: London Stock Exchange smashes world record trade speed with Linux
#55Earlier quoted context omitted.
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?
The only ones I can think of are space, military, and maybe medical robotics.
Re: London Stock Exchange smashes world record trade speed with Linux
#56This 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 ?
No, the core of a stock exchange resides entirely in RAM. Everything is reset once a day (overnight for stocks, immediately after regular hours for futures), and brokerages are responsible for resubmitting long-lived "good 'til cancelled" orders each day before the session begins.
Despite being RAM bound it's easy to parallelize because each stock is its own isolated exchange, so they can be distributed across hardware in proportion to the average volume in each stock. In other words, it's localized but embarrassingly parallel.
The only traditional databases are for reporting purposes e.g. who traded with whom and are append-only as far as the core exchange code is concerned. The reporting database is coupled through the same firehose feed that you can get as an exchange member, albeit with more redundancy. There are also access control systems that only come into play when you first open a session, and lots of other moving parts each with their own task. For example, if you lose your connection to the exchange you can ask a certain (non-core) server to replay all the events that happened from a given point in time in order to catch up. These, too, would be listening to the main event stream and spooling to disk, but the central exchange processes are RAM-only.
How do they handle machine failures? That's harder to speculate on from the outside, but if I were them I'd be running the same exchange in parallel on 2-3 machines. I don't know how it could be done without serializing the incoming order flow to make sure that each machine sees the same order of events, but it's not impossible.
Re: London Stock Exchange smashes world record trade speed with Linux
#57They replaced one software package (a custom solution by Accenture) with another (a company they bought, as an aside, for a solution that they now sell: Ergo, take their claims with a grain of salt). Drawing assumptions about underlying systems is speculative and somewhat ignorant.
Of note is that it cost less to acquire MilleniumIT then it did to run their Accenture provided solution for 1 year.
Re: London Stock Exchange smashes world record trade speed with Linux
#58This is nothing to be proud of. The American disaster with dirivitives can be traced to ultra fast automated trading.
Re: London Stock Exchange smashes world record trade speed with Linux
#59Encouraging 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.
If damping is profitable, someone will do it.
Well it's a complicated system. Whilst individual traders might benefit from faster trading if you consider the health of the system as a whole, which favours steady predictable controlled growth, faster trading may introduce instabilities which result in reduced profitability.
Re: London Stock Exchange smashes world record trade speed with Linux
#60Earlier quoted context omitted.
If damping is profitable, someone will do it.
Well it's a complicated system. Whilst individual traders might benefit from faster trading if you consider the health of the system as a whole, which favours steady predictable controlled growth, faster trading may introduce instabilities which result in reduced profitability.
For a different perspective, there was a huge opportunity to make a killing with damping during the recent flash-crash.