# Tag Info

12

An interesting starting point is The Cost of Latency by Moallemi and Saglam. After setting up a simple order execution problem --- in which a trader must chose between a market order and a limit order and guarantee execution over a fixed interval $[0,T]$, they proceed to derive a (complex) close form solution for the optimal strategy and evaluate the impact ...

10

There are typically two important metrics: Order to Accept. This measures the round-trip time it takes your application to send an order to the exchange and get an accept, cancel, or execute back. Think of it as the minimum amount of time required for you to ask the market to do something and know whether it's been done. This plays an important role when ...

7

If this question is about matching engine latency then there are plenty of resources on the web. The short answer is that across various exchanges the latency is currently in range from hundreds of milliseconds to hundreds of microseconds. To name a few (as of 2010): NASDAQ: 250 us Australia Stock Exchange: 300 us Hong Kong Stock Exchange: 9 ms AFAIK ...

5

Jordan (@jordan.baucke) in his answer suggests that most latency arbitrages are actually market making strategies, as opposed to classical price arbitrage. While I generally agree, I can think of two exceptions: Equity price arbitrage in fragmented markets (See the fragulator for more on this). In this environment, negative spreads can arise and the ...

3

The round-trip latency from point A to a matching engine at point B can be thought of being comprised of two components: $RTT_{total,A \rightarrow B} = RTT_{network\_transit,A \rightarrow B} + MPL_{matching\_engine,B}$ Where $RTT$ is the round-trip time and $MPL$ is the message processing latency (how long it takes to receive a message and produce an ...

3

Being very fast within a single datacenter is not as valuable as having the fastest line between two datacenters. So being able to write a very fast program wouldn't be the holy grail of trading anyway (it would be to instantaneously transport information between e.g. NJ and Chicago using quantum entanglement or something.) That said, if you found an ...

3

If I understand correctly the TCP roundtrip time can be used as a posteriori proxi for the order entry gateway delay. So assuming the roundtrip time is composed of gate delay and independent other delays $RTT_g(t) = dT_g(t) + d_g(t)$ with assumed $Cov(dT_g,d_g)=0$ and $Cov(d_i,d_j)=0$. Minimizing the this combination of gate delay and other delays is ...

3

You're specifically interested in latency arbitrage (see, for instance, this old WSJ article). This strategy is strictly about being faster than everyone else. You can imagine any number of instances when this would matter (see this discussion of popular algos). For instance, if you can detect another algorithm trading (this is known as a "sniffer"), ...

3

You may want to look at STAC research, http://www.latencystats.com/ and other sites that you can find by searching for "latency" and "market data" I have no affiliation with those two links, however I am a principal in a company that measures and compares latency from exchanges.

2

Market making (to collect a liquidity rebate)? Flash trading (when the order is displayed to internal market participants prior to being distributed to the wider market)? *1 I think more generally strategies that implement pure latency arbitrage are related to transaction market making (providing liquidity within markets or securities) rather than price ...

2

First the kind of strategy you plan to implement is of importance: If it is scaling (arbitraging spread crosses: buy at one ask one one venue that is cheaper than one bid in another venue), the kind of approach you plan to use is rational. Nevertheless you should take into account: the fact that the latency is somehow not deterministic, use a Poisson ...

2

IEX is an ATS. The ECN/ATS business is dominated by rampant and well known conflicts of interest. A part of the IEX value proposition from the beginning was to offer an alternative to traders who were disenfranchised by this market structure. If maker-taker rebates are part of your trading business model or if you engage in any strategy that could be deemed ...

2

We believe that the FIX parser (encoder/decoder) is the easiest part of a FIX engine to optimize. The bottleneck is usually the network I/O because you can't do any encoding/decoding before you receive/send the bytes from/to the network. Below are the CoralFIX numbers we measured using an Intel Xeon 2.0GHz machine: In terms of encoding (from FixMessage to ...

1

For ultra-low-latency network applications it is mandatory to use a single-threaded, asynchronous, non-blocking network library. You can and should handle multiple TCP connections inside the same reactor thread which will be pinned to a dedicated and isolated cpu core. To give you an idea of TCP latencies you can take a look on our benchmarks using ...

1

You probably want more than a low "TCP latency". Anyway, what latency is it? The TCP layer to connect to your 10Go (i.e. The implementation of the TCP protocol only)? The implementation of a protocol to read the market data (direct native feed? FIX?)? Or to "move" the content of the feed to a zone of memory shared with your application? And what about the ...

1

Fix8 has some benchmark results on their website. They provide the code, so you can run your own benchmarks with your FIX engine against either Quickfix or Fix8.

1

Exchanges provides the following six timestamps: Gateway In Timestamp-T1. Time at which the order was received by the Gateway from the members TCP connection. Gateway Out Timestamp-T2. This is the time when the order was dispatched by the Gateway to the Matching engine. Matcher In Timestamp-T3. This is the time the order was received by the Matching ...

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