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LSE Breaks World Record In Trade Speed With Linux
LingNoi writes with this excerpt from ComputerWorld UK: "The London Stock Exchange has said its new Linux-based system is delivering world record networking speed, with 126 microsecond trading times. The news comes ahead a major Linux-based switchover in twelve days, during which the open source system will replace Microsoft .Net technology on the group's main stock exchange. The LSE had long been criticised on speed and reliability, grappling with trading speeds of several hundred microseconds. The 126 microsecond speed is 'twice as fast' as its main international competitors, the London Stock Exchange said. BATS Europe and Chi-X, two dedicated electronic rivals to the LSE, are reported to have an average latency of 250 and 175 microseconds respectively. Neither company immediately provided details. But many of the LSE's older and more traditional rivals offer speeds of around 300 to 400 microseconds. Nevertheless, Linux is now standard in many exchanges, including the New York Stock Exchange."
http://www.youtube.com/watch?v=BwSM55bsCrM
I could watch it over & over... It puts a smile on my face... :)
http://news.cnet.com/8301-13846_3-10036286-62.html
Cheers... Clark
It is the time measured from when a bid/ask order is sent from the customer's network port, until it has been processed/stored and possibly matched at the Exchange, and back again.
Yep, and major trading firms will do anything to get closer to the exchange servers. I worked for a Major Bank which had a major data centre well outside London which hosted all the "slow" apps, and a small (but well cooled) server room in the City a few blocks from the LSE building. Each and every app in the central data room had to justify its need, and every so often you would hear about acquisitions of real estate closer still.
This is of course pre-2008; I'm no longer so intimate with the details of server rooms at major banks. C'est la vie.
Man who leaps off cliff jumps to conclusion.
while in theory your idea is correct, the harsh reality is that in practice, the large investment firms increase their profits drastically because there are actually two markets. this isn't strictly legal, but it's there. the large firms have dedicated connections to the exchanges with guaranteed SLAs and lower latencies than any other regular participant in the market. this allows them to stuff the buy/sell queues and rapidly cancel orders before they go through. the purpose of this is to deduce other bidders' price points and gain an edge. there are a number of such hedge funds (and even a major bank whose name escapes me), for example, that have had perfect trading days for over a year. statistically impossible outcomes like this only come from gaming the system in the above mentioned manner. as usual, the regulators are asleep at the wheel and the markets become more volatile week to week with increasing flash-crashes exactly because of these schemes. more efficient markets these are not.
check out my comic: Essential Tremors
Well, obviously the LSE wanted a real-time system and Accenture and Microsoft used .NET, which was a total failure on their part. You cannot do real-time with .NET - Idjits...
Then on top of being dog slow, it fell over, costing the LSE a ton of money. So they probably implemented it with an Access DB and Exchange mail server as well.
So, MS touted this as a major win and then fell on their asses.
1. Euphoria:
http://web.archive.org/web/20080303191622/www.microsoft.com/casestudies/casestudy.aspx?casestudyid=51828
2. Reality:
http://blogs.computerworld.com/london_stock_exchange_suffers_net_crash
3. Tux to the rescue:
http://www.computerworlduk.com/news/networking/3244936/london-stock-exchange-smashes-world-record-trade-speed-with-linux%22%22
4. The dead cat bounce?
http://moneycentral.msn.com/investor/charts/chartdl.aspx?symbol=MSFT&CP=0&PT=11
Excuse me, but please get off my Pennisetum Clandestinum, eh!
Themis Trading has a white papers on the kind of information HFT algorithms get to play with (for a fee of course, the exchanges want their cut).
http://blog.themistrading.com/?p=906
PS. some of this is being addressed at the moment, but it shows where the real money in HFT is coming from ... and it sure as hell isn't being better at price discovery.
No, i'm talking about the hours of downtime that the previous system experienced (my bad 7 hours not 8). It was a simple fact (get the facts haha).
When one of the numerous Linux exchanges goes down for that long then call me.
It's not only updating tables...
The exchange gets a cut of every sale, so at the very least, the more sales you have the more you can profit.
It's more insiduous than that though. Between the price a buyer wants to pay and a seller wants to receive, there's a certain spread. Faster trades allow the exchange to take advantage of that spread. Sometimes it lasts a second or so, but trading volume means a second can make thousands of dollars.
Faster exchanges also allow 'tasting'. The average investor doesn't get to take advantage of it, but the large houses do. They can float a price out there and see how many people are willing to buy at that price. Then they can test a higher price... Then higher.. At some point they reach a price that maximizes their profit.
It also means that certain brokerage houses can get their trades in faster. So that means a popular and rising stock goes to those houses that pay for the privilege of first dibs. These houses can then set the price on the stock.
There are dozens of other ways that faster trades help.... Of course, none of it helps us, the average stockbroker.
Actually what is most disgusting is:
When those algo/HFT systems have bugs or lose big
a) the stock market rolls back the trades[1]
b) the small timers beating those algorithms get sued.[2]
But they don't do that when the small timers make mistakes or the algo/HFT systems beat the small timers.
Even though many of the HFT bunch are doing dubious stuff:
http://www.nytimes.com/2009/07/24/business/24trading.html
http://www.nytimes.com/imagepages/2009/07/24/business/0724-webBIZ-trading.ready.html
[1] http://www.reuters.com/article/idUSTRE6456QB20100507
[2] http://www.computerworlduk.com/news/security/3244186/norwegian-traders-convicted-for-outsmarting-us-stock-broker-algorithm/
WoW client works fine under wine (tad better than under Windows imho).
Really? And what is the major improvement/difference, besides running under wine/in linux?
Swap performance and VM handling, frankly. It's better at not putting things in swap it shouldn't, and quickly getting things off swap it needs. Generally less lumpy if you aren't swimming in memory like I'm not.
I also get the added benefit of instantly switching in and out of the game with virtual desktops, and being able to shut down all unnecessary systems and programs, and SIGSTOP/hibernate large things like firefox so they sink entirely out of memory until I call them back, and I have total scripting and file control over all my addons and logs and things.
Also, crashes won't take out the box, and if things get really gnarly, I log in behind my GUI remotely and shoot things. For some games that are going under due to game corruption, flicking to the CLI, Kill, restart, can get the game back before the server has given up on your connection. WAY faster than Windows.
Describing this as getting sued for outsmarting an algo is pretty misleading. The traders in question did find some flaws in the algo, but rather than exploiting them directly to profit from the algo machine, they used the algo to manipulate the market as a whole, so they could profit from that. They understood what would happen when they started manipulating the algo, and they should have understood that market manipulation of this kind illegal.
Misleading? Illegal?
Go see one of the links I posted: http://www.nytimes.com/2009/07/24/business/24trading.html?_r=1
Quote: "High-frequency traders often confound other investors by issuing and then canceling orders almost simultaneously. Loopholes in market rules give high-speed investors an early glance at how others are trading. And their computers can essentially bully slower investors into giving up profits -- and then disappear before anyone even knows they were there"
Sure looks like one rule for the HFTs and another for the rest.
If you don't think the HFTs do all that and worse, you can google for evidence yourself.