Is there some research resource/group working on benchmarking of software products out there with automated trading and goals of "Advanced alpha generation and execution strategies" incorporating low latency data of the order of milli/micro/nano seconds ?
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$\begingroup$ What benchmarks do you have in mind for a software product? Do you mean how fast it runs on standardized hardware? $\endgroup$– Tal FishmanMay 21, 2012 at 18:03
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$\begingroup$ As this is an evolving field from low latency ( now ) to zero latency ( trading tech disruption ) some n years hence where smart automated trading robots will dance on the floor as predited by professor john beddington/UK,I am interested to ascertain the major players at intra freq levels with two benchmarking goals of a) trading strategies that generate alpha/profit at milli/micro level atm and b) execution which is more infra related.Also interested about zero latency/auto trading robots at nano level if any atm. $\endgroup$– Anil BishnoieMay 23, 2012 at 5:50
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$\begingroup$ Well there are a couple of products. But it so happens I am working on such a product which overcomes many of the issues with the existing ones. Ping me if you want to know more. $\endgroup$– easytigerMay 27, 2012 at 13:52
2 Answers
There were a few vendors at the 2009/2010 Futures and Options Expo in Chicago that did exactly this. Two that I recall are RTS Group and Solace Systems however their sites don't mention anything of bench marking. Perhaps I'm missing it or they're no longer doing it.
The fastest systems out there are mostly custom built hardware solutions and even the off the shelf solutions are evolving very rapidly right now. There is a company call Correlix which provides latency measurement of trading systems with extremely high resolution. I have not needed their services and thus I cannot comment on how effective they are.
One thing to keep in mind is that measuring milliseconds and nano seconds is very different and just because something is good a benchmarking milliseconds does not mean it will be good at nanoseconds.