Slashdot Mirror
Heat and Humidity Slow Down High-Frequency Trading Due To Microwave Links (hackaday.com)
szczys writes: Even tiny slowdowns have major ramifications on automated stock trading. To put the computing power as close to the markets as possible, microwave links (point-to-point links via dedicated microwave dishes) connect Wall Street to server installations in New Jersey. Hot weather, especially when accompanied by high humidity, slows those links down enough to make an impact on trading. From a report via Hackaday: "For short-haul links around the financial centers in New York, though, dedicated network links are favored for low-latency connections. Rather than trusting their trades to the vagaries of the internet and risk an unfavorable routing path or a cable severed by an errant backhoe, high-frequency trading firms often rely on microwave links to exchange information. [...] As it turns out, those microwave connections are the weak link in the system. During the early July heatwave, the links were experiencing slight delays in transmission times over that 16-mile path and throwing off the timing of the trading algorithms. The delay was minuscule -- on the order of 10 microseconds -- but in a business where millions are made and lost in seconds, that's substantial." Last month, Bloomberg reported that high humidity was impeding radio transmissions among three New Jersey data centers where U.S. stocks trade. According to a note Nasdaq sent customers, it took about 8 microseconds longer to send info from the stock exchange's facility in Carteret to the New York Stock Exchange data center in Mahwah, and an extra 2 microseconds to send data to Cboe Global Markets' exchange in Secaucus.
There. I said it.
I doubt it.
Maybe if fewer quants tried to hedge things to change a method for investing capital into a method for legalized gambling, the world would be a better place.
(caveat - some of my cousins work for such firms)
-- Tigger warning: This post may contain tiggers! --
A reason for the Republicans to combat Global Climate change.
I would not shed a tear if someone jammed the link and sunk the company.
couldn't resist...
nothing to see here - move along
The delay was minuscule -- on the order of 10 microseconds -- but in a business where millions are made and lost in seconds, that's substantial."
My sympathies to all the high-frequency traders who have to wait an extra 10 mu to rip the rest of us off...
It must have been something you assimilated. . . .
Any kiddos in NJ have a drone and a sheet of aluminum foil?
/Nelson
I am Slashdot. Are you Slashdot as well?
I hope some person / voice of conscience at the SEC or Treasury is advocating to put a per-transaction fee on stock trades in the long run someday. Even 1/10000 of a cent. That probably would be enough.
I find it hard to understand how microsecond quantitative trading that screws all of society by skimming ~ a penny off of every 100 shares, is providing any extra liquidity that benefits the market (which is their claim to why this is a valid thing to do). We're all being played by these quantitative traders, for the pure benefit of billionaires.
I doubt it.
Maybe if fewer quants tried to hedge things to change a method for investing capital into a method for legalized gambling, the world would be a better place.
(caveat - some of my cousins work for such firms)
Of course not. By it's nature it's an activity that produces nothing (it's not like a company's going to shut down if someone doesn't buy its stock for that particular tenth of a second), punishes investors (it raises the price for the person who wants to invest in the company but can't afford the millions in infrastructure cost to get a give few seconds advantage), increases the divide between the rich and the poor (see #2), and is a drain on human society.
From a geeky perspective it's a fun idea, though. It's just using technology for pseudo-evil that happens to make you rich.
Somebody call the Whaaaaaaambulance!
This is terrible, because we all know that high-frequency trading is totally necessary for mankind to thrive.
If summer humidity is having an effect, what happens on a rainy day when humidity is 100%?
Also, does this mean someone could disrupt these transmissions with something like a drone...?
Too bad 10ms is too short for HFT promoters to think about how toxic their practice is to society.
My 401(k) contributions are supposed to purchase new shares every Wednesday. I've noticed that sometimes it's Thursday, or Friday, sometimes they even miss a week and it's delayed into the next week. Wouldn't surprise me a bit to learn that the money is being held and used for other things in the meantime. Or that they sell me shares when the price is best for them.
It's interesting that one motivation for using microwave communications is to avoid the risk of disruptions like inadvertent cable cuts. However, cables buried in the ground are probably more resilient to attacks than 16-mile communications over open air. If humidity spikes can impact communications, how about steam chimneys, kites, and balloons along the path placed by competitors, not to mention intermittent random jamming.
My 401(k) contributions are supposed to purchase new shares every Wednesday. I've noticed that sometimes it's Thursday, or Friday, sometimes they even miss a week and it's delayed into the next week. Wouldn't surprise me a bit to learn that the money is being held and used for other things in the meantime. Or that they sell me shares when the price is best for them.
It wouldn't surprise me if a well aimed email would answer your query.
Follow the money, and if you can't follow that, follow the excuses to those who claim to have lost the money.
Yes, in high winds microwave transceivers do have loss of signal (LoS) and other issues. In high humidity and temperature there are other factors. All that is true.
However, a 16 microsecond latency is UNDETECTABLE and IRRELEVANT. To put it in perspective, the latency of a 1500 octet Ethernet frame over a 1Gbps LAN including processing by the transmitter and receiver running a Real-Tiime OS (which none of these Windows-using traders run) is 15-30ms which is 1000x slower than the 16 microseconds described in the article.
If your underlying network hardware and software stack can't process the data in less than 15ms (best case) then your extra 16 microsecond delay is UNDETECTABLE AND IRRELEVANT.
Caps for emphasis not for yelling. This is just traders making up excuses for why they lost money and suck.
E
running a Real-Tiime OS (which none of these Windows-using traders run)
Windows is only the HMI. The lower level network stacks and trading apps are running on highly customized and stripped down networking stacks. Linux was hot some years ago. But I imagine that some trading systems have gone to FPGAs/ASICs. So a 16 microsecond latency represents thousands of instructions on some of the more mainstream architectures. More on the really high performance stuff.
Have gnu, will travel.
The climate crisis is nigh. Never mind the fires and drowning polar bears. It's affecting the bottom line of rich people. Put up those windmills and solare panels now!
Have gnu, will travel.
I think you're confusing microseconds and milliseconds.
Milliseconds (typically abbreviated ms) is noticeable. Miroseconds (typically abbveriated us) is not. 1 ms = 1000us.
Put another way 16us=0.0016ms. That's like an eighth of a millisecond. 1/8ms. Not noticeable.
It doesn't matter how fast the FPGA, CPU, ASICs (listed in increasing order of performance) can process data if the underlying network hardware is 1000 times slower.
E
I'm on a WISP (Wireless Internet Service Provider) and it is definitely slightly slower when it's hot.
Ferret
Sic gorgiamus allos subjectatos nunc
Put another way 16us=0.0016ms
Good thing we all went metric because dividing by 1000 is easy.
16 microseconds is 0.016 milliseconds.
My 401(k) contributions are supposed to purchase new shares every Wednesday. I've noticed that sometimes it's Thursday, or Friday, sometimes they even miss a week and it's delayed into the next week. Wouldn't surprise me a bit to learn that the money is being held and used for other things in the meantime. Or that they sell me shares when the price is best for them.
The financial industry is heavily regulated. 401(k) trustees and mutual funds (which most 401(k) plans consist of) are no exception. Mutual funds do (and must) hold money for lots of "things", such as paying expenses and honouring reimbursement requests. Remember that a mutual fund is not like a stock. It is priced once a day after the market closes, and then transactions are processed at this price. We can be (perhaps rightly) cynical about a day or two slippage here or there, as your contributions make their way through your 401(k) trustee to your mutual funds, but I don't think it's some kind of giant conspiracy to hold onto your money for a day or two before it is invested. If it were, there would be shit to pay.
And while we're on the subject of 401(k) plans and mutual funds, if you are concerned about their lack of transaction speed, you might want to consider rolling over to an IRA, where you can trade not just mutual funds, but also stocks and ETFs. The latter are like index mutual funds, but with lower administrative fees, and you can trade them just like a stock.
If it weren't for deadlines, nothing would be late.
That's like an eighth of a millisecond. 1/8ms. Not noticeable.
To you or me, no. But to specialized HFT trading systems with optimized hardware and networking stacks, that is ages. Particularly if you are trying to beat some other HFT system to a trade.
Have gnu, will travel.
Only liquid water impedes microwaves. Vapor doesn't, nor does ice and snow. Even then, liquid water only marginally affects frequencies above 2 GHz. It's a big problem above 11 GHz in the Ku- and Ka-bands as satellite TV and satellite internet users are well aware.
Terrestrial point-to-point microwave is a little above 3 GHz, which has been demonstrated to be unaffected at all by liquid water, and completely unaffected by humidity. The problem is that this article doesn't even bother to mention the frequency used.
Humidity doesn't affect anything. The problem, from my humble perspective, would be processor throttling due to high heat at the receiving site. More so, the BER, or Bit Error Rate, is not even mentioned in the article even though it's the chief factor used to judge how a digital link functions.
Kriston
Also, you're all wrong. (Well, most of you are.) If your computer is the best you can afford, and your algorithm for deciding on whether or not and when to to make a trade is as efficient as possible, and your bid or order or whatever is less than 1 microsecond BEHIND the one that it could have beaten if your signal had managed to be only 1 microsecond faster, that can make a VERY big difference if your order was to buy all the shares of this one stock, and the one that beat you said, "buy all the share of this one stock," you go from being able to buy all the shares of this one stock, to being able to buy NONE of them. Or something like that.
Inside the exchange itself, they let traders put their computers inside the actual exchange, and the cable-runs provided are all carefully measured so that no matter how far a given computer is from the one that handles the requests, physically, they are all the exact same distance in TIME, meaning the time it takes for the signal to go from the back of your computer to the other endÂis exactly the same for all the others, so it's fair. Timing matters THAT much.
If you get beaten by only 1 microsecond, that microsecond might as well be an eternity. Ask anyone who's ever lost by a nose in a photo-finish, or anyone who had money on the loser.
Here's more on this. https://www.wnycstudios.org/story/267124-speed/
(There's multiple segments of this podcast: the first is about the Pitch Drop Experiment, not really relevant here, but about 24 minutes in, they talk about HFT.)
Our reign has gone on long enough. Indeed. Summon the meteors.
What next, reading fine print?! Where does the slippery slope to knowledge end?!
Really? I'm gonna bet that would be a complete waste of life. If you get a response at all it's going to be a mix of dissembling and "fuck you, prole, you have no rights" boilerplate.
Don't hold your breath. Those advising you to do so have scurrilous motives.
Sent from my ASR33 using ASCII
Really? I'm gonna bet that would be a complete waste of life. If you get a response at all it's going to be a mix of dissembling and "fuck you, prole, you have no rights" boilerplate.
I learned a long time ago that the most powerful word in the world is why.
It's particularly useful when used as a question and asked repeatedly without accepting bullshit answers like "we've always done it this way." Tends to highlight stupid excuses people have for not wanting to change or expend any effort into troubleshooting.
And quite honestly, a company 401(k) contribution policy should not be a hard document for a company to produce in order to help explain the GP's issues. That should take essentially zero effort beyond a phone call or email to HR.
Anecdote: Somebody told me they were building the packets on the fly before they knew they even wanted them sent, and if a decision was made that the packet shouldn't be sent then they'd fudge the checksum at the end of the pipeline.
Or to paraphrase somebody who wouldn't add more flash memory to a device because it costed 2 cents more per unit: when you add volume it ads up to millions.
"Everybody's naked underneath" -- The Doctor
The way banks make money on these millisecond information advantages is by learning in advance about pending orders big enough to move the market, and trading on that knowledge before the big order comes through. This is called "front running", and used to be illegal. The law hasn't changed, it just isn't enforced anymore.
Correct me if I'm wrong, but it seems like this would only be a problem for high frequency traders that don't pay to colocate at the New York Stock Exchange.
For those that don't know, you can pay to have a server on location at the NYSE site in New Jersey. The exchange goes through great lengths to make sure all clients have the same latency. I believe all of the network connections are equal length.
One of our competitors trademarked the term "hypothesis". From now on, we will call them "boneheaded ideas".