7 ms·
High-Speed Trading: Lines, Radios, and Cables
- flunhat 9y agoSlight tangent (sort of) - has anyone else noticed that a lot of these high speed trading firms are hiring a lot more FPGA engineers lately? Hudson River Trading and Jane Street just to name a few. I regularly checked their job postings over the last year because I was looking for an internship, so that's why I noticed the change. Any thoughts?
- pgwhalen 9y agoThere is barely any software in the hot path of competitive equity HFTs these days. Even the most finely tuned C++ is probably on the order of single digit micros tick to trade, but the goal is sub-micro.
- mhurd 9y agoState of the Art trade system performance from a couple of years ago: https://meanderful.blogspot.com.au/2015/08/trade-system-performance-state-of-art.html https://meanderful.blogspot.com.au/2015/08/trade-system-perf...
- pgwhalen 9y agoGood source. I’m in the industry but not at an HFT, so my comment is more of a well-informed guess.
- physguy1123 9y agoThere's a huge amount of software trading in the 1-10us range, probably more than pure hardware. Fpgas often play a role in these stacks as market data parsing/disseminating and order entry however.
- pgwhalen 9y agoSorry yeah, I didn’t mean there isn’t a lot of software that qualifies as HFT, but the very quickest seems pretty light on software.
- physguy1123 9y agoThe quickest in terms of tick-to-trade (MD received to trade) are certainly all hardware, but having better connectivity changes the game by a lot. Latency arb trades generally aren't that great, the most competitive in terms of PnL don't depend on (but usually utilize) tick-to-trade style speed.
- ironSkillet 9y agoFrom a handful of conversations I had with people in HFT, researchers develop models in more conventional languages like java or python. The decision boundaries of these models are then translated into FPGA instructions for speed.
- senatorobama 9y agoTime to skill up on FPGAs. Do FPGA engineers at trading firms get paid the same as quants or are they like sysadmins?
- tomalpha 9y agoGood ones get paid like devs in my experience which, depending on your mental model, is likely somewhere between a sysadmin and a quant. However successful trading firms tend to pay well, especially those who contribute to their bottom line. Good devs are usually not the highest paid, but could well be in the second highest paid tier.
- paulie_a 9y agoFrom my understanding the pay night be very good but the quality of life is awful. If you last more than two to three years, that is impressive
- tomalpha 9y agoIt very much depends on the company you're working for. I've always been fairly keen on work/life balance and haven't found it that hard to find finance firms that respect (and even embrace) that way of thinking. Finance firms have increasingly had to compete with tech firms for tech talent and many have moved to offer similar benefits. Some do this because they believe it's inherently healthy, others because they feel they have to compete and it's a purely utilitarian matter. Others just offer more money instead. Interestingly, it's not always that much more in the long run.
- senatorobama 9y agoIs it true that in finance you don't get RSUs but just get the money straight away in bonus?
- tomalpha 9y ago
- pinewurst 9y agoThis link worked once for me and it's a very interesting article. Now, though, it only prompts with "Welcome to TabbFORUM. Please log in."
- asselinpaul 9y agoAlso posted here: https://meanderful.blogspot.com/2017/05/lines-radios-and-cables-oh-my.html https://meanderful.blogspot.com/2017/05/lines-radios-and-cab...
- RyanShook 9y agoTry opening in incognito.
- pinewurst 9y agoThat does work, thanks!
- madengr 9y agoThe 0.5C for the PCB is only the case for stripline in a Er=4 dielectric. Microstrip is faster since some of the E field is in the air. Need neutrino comms, straight through the earth.
- RyanShook 9y agoGreat post. Contained way more pertinent info than the entirety of Flashboys.
- zevyoura 9y agoIf you found this interesting, you might also like this classic Neal Stephenson piece for Wired, "Mother Earth, Motherboard": https://www.wired.com/1996/12/ffglass/ https://www.wired.com/1996/12/ffglass/
- ttobbaybbob 9y agoThere is no mention of the fact that fiber is more reliable than microwaves. Inclement weather can cause substantial packet loss in a microwave link. Fiber has no such issue. Getco et al may not have made perfect decisions, but the fiber <-> microwave comparison is not apples to apples. That said, still an interesting article.
- stephen_g 9y agoTrue. I believe most of them have a fibre backup. I’ve worked on ultra-low latency microwave at 80GHz that we were selling to HFT network providers, and the needed the fibre fallback whenever it was raining, but apparently the latency difference of the radios gave them a massive advantage when the conditions were good.
- OnePunchMan 9y agoIs 80GHz normally in unlicensed band worldwide? What kind of distances were you able to transmit without losing edge on latency?
- jrowley 9y agoGranted fiber isn't as backhoe proof.
- ori_b 9y agoSure, because it doesn't matter that much. If it rains for you, it also rains for your competition, and everyone goes to the fallback connection.
- rcarrigan87 9y agoVery interesting read, although like most things HFT it just all seems so ridiculous. Why aren't exchanges just rate limited so everyone gets the same execution time? Because I have better execution time I get to profit? I don't see how that adds any value to anything...
- DigitalJack 9y agoThe value is money going into the pockets of the people who own the exchanges. Or effectively own them.
- deleted 9y ago[deleted]
- dsacco 9y ago> Why aren't exchanges just rate limited so everyone gets the same execution time? Why would they rate limit them? Better yet: why do you think it’s better for the market that everyone is put on even footing? > Because I have better execution time I get to profit? Yes. Just like better information allows you to profit. Advantages exist in the world. Do you think better execution is trivial to develop? > I don't see how that adds any value to anything... HFT is fundamentally the same process as market making, but faster. Market making brings buyers and sellers together to exchange securities; doing this process faster improves liquidity, which in turn improves price discovery, which makes the market more efficient overall. Just because you cannot see the value doesn’t mean it’s not there.
- erik_seaberg 9y agoMarket-making is bridging a gap in time between when the seller was in market and when the buyer will be in market. If I need to race another HFT by 10 µs, I'm not routing society's capital in a more productive direction, I'm not even enabling a trade that wasn't already destined to happen.
- mrchicity 9y ago
- randywaterhouse 9y agoSniper in Mahwah [1] details a lot of the structure of HFT trading infrastructure, especially how microwave towers are used. It's a rabbit hole though, he's got tons of stuff on the various ways HFT networks make things work, including their licensing and contracting. [1] https://sniperinmahwah.wordpress.com https://sniperinmahwah.wordpress.com
- tomalpha 9y agoI remember talking to a guy who worked on an HFT firm's in-house microwave network. Sniper In Mahwah is (or at least was - I'm a little out of that world these days) pretty much bang on the mark. It's amazing what you can find out from public records, a bit of cycling and a lot of collating. Edit: reading through some of his more recent updates I think he's still on the money
- dsfyu404ed 9y agotl;dr If your ultimate goal is performance you need to select/tune every part of the system to work well with every other part. Monkeys slapping black boxes on black boxes on top of each other is not sufficient.
- mhurd 9y agoSometimes speculation can help your speculation. If your speculation is not too speculative then your speculative speculation is worthy of speculation ;-) That is, slapping black boxes together sometimes works despite the risks.
- mxuribe 9y agoI love the way this guy writes!