mailing list archives
Re: Hi speed trading - hi speed monitoring
From: Joel jaeggli <joelja () bogus com>
Date: Thu, 16 Feb 2012 16:53:20 -0800
On 2/16/12 05:03 , Hank Nussbacher wrote:
Nanosecond Trading Could Make Markets Go Haywire
"Below the 950-millisecond level, where computerized trading occurs so
quickly that human traders can't even react, no fewer than 18,520
crashes and spikes occurred."
Anyone who has managed a network knows that when you look at your
MRTG/Cacti graphs at 5min, 10min ,15min intervals - all looks well.
Start looking at 1sec intervals and you will see spikes that hit 100% of
capacity - even on networks running at 25% average utilization.
given a serialized interface the network is 100% utilized everytime a
packet is sent, if you're measuring at the microsecond level it's far
more germain what the queue depth is rather than whether a packet is
currently on the wire or not. A 5 minute 1 minute or 1 second average is
a pretty good measure of how much of the time it wasn't being utilitized
during the same interval.
The fm4000 based Aristas have hardware hooks to stream the latency data
in the form of queue thresholds at you via LANZ, that can take your
visibility down to 800 or so usec snapshot of the queue. The broadcom
devices doesn't have a comparable functionality.
I guess trading and networking do have many unseen similarities.
I'd be careful about analogizing them to much. high speeding trading
strategies to a very large extent depend on the high speed parties being
about to make more granular decisions faster that other participants can
complete transactions, forwarding engines are mostly looking to get rid
of packets as expeditiously as possible.