mailing list archives
RE: raging bulls
From: "Naslund, Steve" <SNaslund () medline com>
Date: Wed, 8 Aug 2012 09:14:13 -0500
It is a tough technical problem to be sure but not insurmountable.
Think about a system in which the real time market data is also
encrypted in such a way that it can only be decrypted at a particular
point in time. Essentially it would be like each trading system
receiving an envelope that must be opened simultaneously. Picture a
satellite network that is time synchronized to transmit a key stream
used to decrypt the data that is received over a terrestrial network. I
am not talking about easy to implement here just what is possible. It
is probably easier than faster than light travel although I supposed
real estate on Mt Everest could get very valuable (closer to the
From: Brett Frankenberger [mailto:rbf+nanog () panix com]
Sent: Wednesday, August 08, 2012 9:08 AM
To: Naslund, Steve
Cc: nanog () nanog org
Subject: Re: raging bulls
On Wed, Aug 08, 2012 at 08:52:51AM -0500, Naslund, Steve wrote:
It seems to me that all the markets have been doing this the wrong
Would it now be more fair to use some kind of signed timestamp and
process all transactions in the order that they originated? Perhaps
each trade could have a signed GPS tag with the absolute time on it.
It would keep everyone's trades in order no matter how latent their
connection to the market was. All you would have to do is introduce a
couple of seconds delay to account for the longest circuit and then
take them in order. They could certainly use less expensive
connections and ensure that international traders get a fair shake.
This isn't about giving international traders a fair shake. This sort
of latency is only relevant to high speed program trading, and the
international traders can locate their servers in NYC just as easily as
the US-based traders.
What it's about is allowing traders to arbitrage between markets. When
product A is traded in, say, London, and product B is traded in New
York, and their prices are correlated, you can make money if your
program running in NY can learn the price of product B in London a few
milliseconds before the other guy's program. And you can make money if
your program running in London can learn the price of product A in NY a
few milliseconds before the other guy's program.
Even if you execute the trades based on a GPS timestamp (I'm ignoring
all the logistics of preventing cheating here), it doesn't matter,
because the computer that got the information first will make the
trading decision first.