3 ms·

I'd be curious to hear some statistics on how much money a ~10ms difference in time of information received can actually make.

deleted 8y ago
[deleted]
kasey_junk 8y ago
I don’t have any statistics but I have an anecdote. I built a trading platform ~6 years ago that had a 100 microsecond tick to trade (a term that means from the time a market update hits your nic to the time an order leaves your nic). We knew then that we were too slow for large swaths of the HFT space & wouldn’t even attempt those trades. I haven’t kept up with the industry but I’d guess tick to trade times at the speed edge are in the low hundreds of nanos now. In an environment like that a 1ms time improvement is out of the capabilities of your software/hardware engineers and can only happen at the network.
- aldanor 8y ago
  If we’re really talking “at the speed edge”, low hundreds of nanos would be already considered too slow these days :)
chirau 8y ago
Hold my beer ... https://www.youtube.com/watch?v=L5cZaIZ5bWc https://www.youtube.com/watch?v=L5cZaIZ5bWc And that was more than 6 years ago, one ticker symbol only. You can imagine now.
- titanomachy 8y ago
  Holy shit. That gave me a much better sense of scale than hearing "a trade takes 200ns" or whatever. The engineering that goes into making this possible must be just insane.
SpicyP 8y ago
If you’re an options market maker and you are 10ms slower, you legitimately will be obsolete in the market. You will be arbitraged against when stocks move and you are slow to update quotes. This happens all the time, and it makes it so that you have to quote so wide that you aren’t competitive. Milliseconds are the difference from being competitive and going broke in the industry.
lordnacho 8y ago
10ms is way too long. Think about 3D graphics drawn at 60fps. That's 16ms you get for each frame. But 3D graphics calculates a LOT of stuff for your whole game in that time. In trading you're not calculating nearly as much stuff. In trading it's probably very sharp, the line between making and losing money. You want to be under 100us for sure. That's micros. Depends on what you're doing of course but 10ms is OOM to slow.

deleted 8y ago

[deleted]

kasey_junk 8y ago

I don’t have any statistics but I have an anecdote. I built a trading platform ~6 years ago that had a 100 microsecond tick to trade (a term that means from the time a market update hits your nic to the time an order leaves your nic). We knew then that we were too slow for large swaths of the HFT space & wouldn’t even attempt those trades. I haven’t kept up with the industry but I’d guess tick to trade times at the speed edge are in the low hundreds of nanos now. In an environment like that a 1ms time improvement is out of the capabilities of your software/hardware engineers and can only happen at the network.

aldanor 8y ago
If we’re really talking “at the speed edge”, low hundreds of nanos would be already considered too slow these days :)

chirau 8y ago

Hold my beer ... https://www.youtube.com/watch?v=L5cZaIZ5bWc https://www.youtube.com/watch?v=L5cZaIZ5bWc And that was more than 6 years ago, one ticker symbol only. You can imagine now.

titanomachy 8y ago
Holy shit. That gave me a much better sense of scale than hearing "a trade takes 200ns" or whatever. The engineering that goes into making this possible must be just insane.

SpicyP 8y ago

If you’re an options market maker and you are 10ms slower, you legitimately will be obsolete in the market. You will be arbitraged against when stocks move and you are slow to update quotes. This happens all the time, and it makes it so that you have to quote so wide that you aren’t competitive. Milliseconds are the difference from being competitive and going broke in the industry.

lordnacho 8y ago

10ms is way too long. Think about 3D graphics drawn at 60fps. That's 16ms you get for each frame. But 3D graphics calculates a LOT of stuff for your whole game in that time. In trading you're not calculating nearly as much stuff. In trading it's probably very sharp, the line between making and losing money. You want to be under 100us for sure. That's micros. Depends on what you're doing of course but 10ms is OOM to slow.