4 ms·

http://martinfowler.com/articles/lmax.html?t=1319912579 http://martinfowler.com/articles/lmax.html?t=1319912579 This is actually a trading platform but if you

by fleitz 15y ago

http://martinfowler.com/articles/lmax.html?t=1319912579 http://martinfowler.com/articles/lmax.html?t=1319912579 This is actually a trading platform but if you can run the exchange on the JVM you could certainly write a client for it on the JVM. Also: http://www.quantfinancejobs.com/jobs/java.asp http://www.quantfinancejobs.com/jobs/java.asp

wglb 15y ago
I had seen that, but Martin Fowler is not whom I would have thought of as deeply familiar with low latency and JVM performance under stress. I will be looking into that platform, but I see one caution flag: LMAX is a new retail financial trading platform. As a result it has to process many trades with low latency. the key word being "retail". I am wondering if retail's version of low latency is in seconds or tens of seconds.
- chollida1 15y ago
  > I am wondering if retail's version of low latency is in seconds or tens of seconds. I think you're off by an order of magnitude or two. Our fund doesn't really worry too much about execution speed and we'd only tolerate low 100 millisecond latency. 10's of milliseconds is what we'd prefer. Many firms want to be lower still.
  - wglb 15y ago
    Thanks for the note. Couple of questions. 1) Do you consider yourself retail? I would have not considered a hedge fund retail. 2) Can you say if you are colocating your servers? 3) Can you say if you are using JVM in a latency-critical application? I am working on a benchmark, building a fake exchange framework as a platform to test relative performance of various languages, where various includes Lisp, C, Java and possibly others.
    - chollida1 15y ago
      > 1) Do you consider yourself retail? I would have not considered a hedge fund retail. Yes fair point. That terminology isn't really well defined. You are correct that typical retail means individuals and institutional means large funds (read professionals). Banks will often count hedgies as retail clients which is where the terminology gets blurry. But if you mean non professional individuals then your point a bout latency is probably correct. > 2) Can you say if you are colocating your servers? We don't typically, but we don't live far from the exchanges. We also aren't super low latency. I honestly think that super low latency is a loosing proposition as there is usually only one person who can jump on an arbitrage opportunity. Having said that we do have one server executing algos that is collocated. > 3) Can you say if you are using JVM in a latency-critical application? I can and we aren't though, it's not because of the jvm itself.

by fleitz 15y ago

wglb 15y ago

I had seen that, but Martin Fowler is not whom I would have thought of as deeply familiar with low latency and JVM performance under stress. I will be looking into that platform, but I see one caution flag: LMAX is a new retail financial trading platform. As a result it has to process many trades with low latency. the key word being "retail". I am wondering if retail's version of low latency is in seconds or tens of seconds.

chollida1 15y ago
> I am wondering if retail's version of low latency is in seconds or tens of seconds. I think you're off by an order of magnitude or two. Our fund doesn't really worry too much about execution speed and we'd only tolerate low 100 millisecond latency. 10's of milliseconds is what we'd prefer. Many firms want to be lower still.
- wglb 15y ago
  Thanks for the note. Couple of questions. 1) Do you consider yourself retail? I would have not considered a hedge fund retail. 2) Can you say if you are colocating your servers? 3) Can you say if you are using JVM in a latency-critical application? I am working on a benchmark, building a fake exchange framework as a platform to test relative performance of various languages, where various includes Lisp, C, Java and possibly others.
  - chollida1 15y ago
    > 1) Do you consider yourself retail? I would have not considered a hedge fund retail. Yes fair point. That terminology isn't really well defined. You are correct that typical retail means individuals and institutional means large funds (read professionals). Banks will often count hedgies as retail clients which is where the terminology gets blurry. But if you mean non professional individuals then your point a bout latency is probably correct. > 2) Can you say if you are colocating your servers? We don't typically, but we don't live far from the exchanges. We also aren't super low latency. I honestly think that super low latency is a loosing proposition as there is usually only one person who can jump on an arbitrage opportunity. Having said that we do have one server executing algos that is collocated. > 3) Can you say if you are using JVM in a latency-critical application? I can and we aren't though, it's not because of the jvm itself.