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Re: Hi speed trading - hi speed monitoring
From: Rodrick Brown <rodrick.brown () gmail com>
Date: Fri, 17 Feb 2012 13:01:36 -0500

On Feb 17, 2012, at 10:30 AM, Jay Ashworth <jra () baylink com> wrote:

----- Original Message -----
From: "Paul Graydon" <paul () paulgraydon co uk>

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.)

This was my experience in a callcenter as well; network type problem reports
always came in from the floor managers before Nagios came forth with an 
opinion.

This has nothing to do with a gut feeling or instinct. Trading companies today monitor P&L near realtime and traders 
will begin to experience low fill rates or worse be rejected by trading counter parties when prices are too far off or 
out of the money. The longer a system takes to responds to market quotes the lower fills rates they begin to notice and 
higher execution costs. Trades today in the equity markets must be within the national best bid, best offer price range 
or companies can be fined by the SEC which is why latency an jitter can be problematic in financial networks. 
 
Cheers,
-- jra
-- 
Jay R. Ashworth                  Baylink                       jra () baylink com
Designer                     The Things I Think                       RFC 2100
Ashworth & Associates     http://baylink.pitas.com         2000 Land Rover DII
St Petersburg FL USA      http://photo.imageinc.us             +1 727 647 1274



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