3 ms·

JSON is common in crypto what Cantor appears to be trading.

gfd 5y ago
Does crypto allow colocation like stock trading? If it's gonna be some websocket endpoint, what's the point of optimizing microseconds?
- lordnacho 5y ago
  This is a good point. You expect more jitter on a public network. My guess is they've come from traditional finance, where performance porn is just irresistible. Some exchanges do offer colo.
- Bootvis 5y ago
  It kind of does. Most exchanges are hosted in the cloud and I don't think AWS offers colocation similar to the traditional exchanges. I bet Cantor ensures that the machines they are using are close to those used by the exchanges. HFT on a traditional exchange will be faster but that's not the competition. The competition in crypto faces the same problems so you just need to be faster than them. Of course, if the whole process has too much uncontrollable noise (jitter) due to cloud specific reasons it probably doesn't matter. I hope they managed to control this before doing this optimization :)
- ajoseps 5y ago
  one approach I've heard of some places using is to figure out where the exchange is hosted, spin up multiple instances to test the latency to the exchange, then choose the lowest latency instance. Not sure how often one would need to redo this process though.
- ajoseps 5y ago
  one exchange that does allow colo is gemini. They're located in NY5 (https://docs.gemini.com/fix-api/#connecting https://docs.gemini.com/fix-api/#connecting) and allow cross connects. When colo-ed, you wouldn't be using websocket but their FIX API. Multiple other crypto providers are also colo-ed in the same location
- nly 5y ago
  Lots of prop-trading firms aren't comfortable trading over the Internet. Often the concern isn't "someone might see my trades", since reverse engineering alpha from that is hard, or even latency, since not all strategies are super latency sensitive, ... but plain old infosec. These sorts of firms are super paranoid about the exfiltration of proprietary IP. When you add trading over the Internet in to the mix, you just have more ways to do that. You have highly dynamic cloud infrastructure to deal with (whereas traditionally everything is static), DNS security, tricky PKI/certificate management, the need for much tighter access controls, firewalling (both at the network and application protocol level) and the secure logging and monitoring of flow between networks. And everything needs to be tight enough so no single actor (external or internal) can compromise the system.

gfd 5y ago

Does crypto allow colocation like stock trading? If it's gonna be some websocket endpoint, what's the point of optimizing microseconds?

lordnacho 5y ago
This is a good point. You expect more jitter on a public network. My guess is they've come from traditional finance, where performance porn is just irresistible. Some exchanges do offer colo.
Bootvis 5y ago
It kind of does. Most exchanges are hosted in the cloud and I don't think AWS offers colocation similar to the traditional exchanges. I bet Cantor ensures that the machines they are using are close to those used by the exchanges. HFT on a traditional exchange will be faster but that's not the competition. The competition in crypto faces the same problems so you just need to be faster than them. Of course, if the whole process has too much uncontrollable noise (jitter) due to cloud specific reasons it probably doesn't matter. I hope they managed to control this before doing this optimization :)
ajoseps 5y ago
one approach I've heard of some places using is to figure out where the exchange is hosted, spin up multiple instances to test the latency to the exchange, then choose the lowest latency instance. Not sure how often one would need to redo this process though.
ajoseps 5y ago
one exchange that does allow colo is gemini. They're located in NY5 (https://docs.gemini.com/fix-api/#connecting https://docs.gemini.com/fix-api/#connecting) and allow cross connects. When colo-ed, you wouldn't be using websocket but their FIX API. Multiple other crypto providers are also colo-ed in the same location
nly 5y ago
Lots of prop-trading firms aren't comfortable trading over the Internet. Often the concern isn't "someone might see my trades", since reverse engineering alpha from that is hard, or even latency, since not all strategies are super latency sensitive, ... but plain old infosec. These sorts of firms are super paranoid about the exfiltration of proprietary IP. When you add trading over the Internet in to the mix, you just have more ways to do that. You have highly dynamic cloud infrastructure to deal with (whereas traditionally everything is static), DNS security, tricky PKI/certificate management, the need for much tighter access controls, firewalling (both at the network and application protocol level) and the secure logging and monitoring of flow between networks. And everything needs to be tight enough so no single actor (external or internal) can compromise the system.