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Re: Hi speed trading - hi speed monitoring
From: Paul Graydon <paul () paulgraydon co uk>
Date: Thu, 16 Feb 2012 15:08:31 -1000

On 2/16/2012 3:03 AM, Hank Nussbacher wrote:
Nanosecond Trading Could Make Markets Go Haywire
http://www.wired.com/wiredscience/2012/02/high-speed-trading/

"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.

I guess trading and networking do have many unseen similarities.

-Hank

Anecdotally, I had an interview years ago for a small-ish futures trading company based in London. The interviewer had to pause the interview part way through whilst he investigated a 10ms latency spike that the traders were noticing on a short point-to-point fiber link to the London Stock Exchange. He commented that the traders were far better at 'feeling' when an connection was showing even a trace of lag compared to normal than anything he'd set up by way of monitoring (not sure how good his monitoring was, though.)

Paul



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