4 ms·

If this is legit, what amazes me is the time! Network hops can account for approx 100microseconds, which means that these HFT trades would not only have to be i

If this is legit, what amazes me is the time! Network hops can account for approx 100microseconds, which means that these HFT trades would not only have to be in the same datacenter, but within no more than 2-3 hops of the exchange device. Then on top of that, it's making its trade decision within 500 microseconds. I need to sit down to calculate this, but that is guaranteed to mean that they are reading from RAM and not disk. Could the entire stock market fit in a single hashmap in memory? That's just some awesome hardware and super efficient software. Edit:typos

gruez 11y ago
>Could the entire stock market fit in a single hashmap in memory? I don't see why not. You also don't have to put the entire market onto one machine - you can shard the market across multiple servers, with one server handling each symbol.
- bluejekyll 11y ago
  > shard the market across multiple servers Sure, but now you've added a router, consistent hash or the like, to the picture, which is either another hop or a custom physical rack instead of a traditional ToR. It's not impossible at all, it's just impressive that they do all of this in 1ms!
  - deleted 11y ago
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  - gruez 11y ago
    >Sure, but now you've added a router, consistent hash or the like, to the picture not necessarily. If the HFT companies are using some sort of secret internal API (very possible as they like to shave milliseconds off their execution time), it's possible that they are talking directly to relevant server, bypassing any loadbalancers or routers.
    - omgtehlion 11y ago
      On a regulated exchages you cannot bypass official gateway. Though you do not need to. The only thing you want is to be faster than other traders.
  - JumpCrisscross 11y ago
    We'd burn logic to chips once a week. That was back in 2011, however.
- sabarn01 11y ago
  It wouldn't surprise me we were using fpgas to do fix decoding and we were relatively naive.
fleitz 11y ago
Yes, Google "LMAX Architecture", only the tape is written to disk. The order book itself is tiny and there are only ~20,000 stocks, and you only have to fit one stock per computer.
- ximeng 11y ago
  http://martinfowler.com/articles/lmax.html http://martinfowler.com/articles/lmax.html
nostrademons 11y ago
Pretty easily. With an efficient data representation, the entire stock market could fit in L3 cache.

gruez 11y ago

>Could the entire stock market fit in a single hashmap in memory? I don't see why not. You also don't have to put the entire market onto one machine - you can shard the market across multiple servers, with one server handling each symbol.

bluejekyll 11y ago
> shard the market across multiple servers Sure, but now you've added a router, consistent hash or the like, to the picture, which is either another hop or a custom physical rack instead of a traditional ToR. It's not impossible at all, it's just impressive that they do all of this in 1ms!
- deleted 11y ago
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- deleted 11y ago
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- gruez 11y ago
  >Sure, but now you've added a router, consistent hash or the like, to the picture not necessarily. If the HFT companies are using some sort of secret internal API (very possible as they like to shave milliseconds off their execution time), it's possible that they are talking directly to relevant server, bypassing any loadbalancers or routers.
  - omgtehlion 11y ago
    On a regulated exchages you cannot bypass official gateway. Though you do not need to. The only thing you want is to be faster than other traders.
- JumpCrisscross 11y ago
  We'd burn logic to chips once a week. That was back in 2011, however.
sabarn01 11y ago
It wouldn't surprise me we were using fpgas to do fix decoding and we were relatively naive.

fleitz 11y ago

Yes, Google "LMAX Architecture", only the tape is written to disk. The order book itself is tiny and there are only ~20,000 stocks, and you only have to fit one stock per computer.

ximeng 11y ago
http://martinfowler.com/articles/lmax.html http://martinfowler.com/articles/lmax.html

nostrademons 11y ago

Pretty easily. With an efficient data representation, the entire stock market could fit in L3 cache.