3 ms·
I never saw a need for this in HFT. In my experience, GPS was used instead, but there was never any critical need for microsecond accuracy in live systems. Sub-
by dmurray 10mo ago
I never saw a need for this in HFT. In my experience, GPS was used instead, but there was never any critical need for microsecond accuracy in live systems. Sub-microsecond latency, yes, but when that mattered it was in order to do something as soon as possible rather than as close as possible to Wall Clock Time X.
Still useful for post-trade analysis; perhaps you can determine that a competitor now has a faster connection than you.
The regulatory requirement you linked (and other typical requirements from regulators) allows a tolerance of one second, so it doesn't call for this kind of technology.
- blibble 10mo ago> I never saw a need for this in HFT. In my experience, GPS was used instead, but there was never any critical need for microsecond accuracy in live systems. mifid ii (uk/eu) minimum is 1us granularity https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2017.087.01.0148.01.ENG&toc=OJ:L:2017:087:TOC https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:...
- dmurray 10mo agoIt's 1 us granularity, which means you should report your timestamps with six figures after the decimal point. The required accuracy (Tables 1 and 2 in that document) is 100 us or 1000 us depending on the system.
- blibble 10mo ago> The required accuracy (Tables 1 and 2 in that document) no, Tables 1 and 2 say divergence, not accuracy accuracy is a mix of both granularity and divergence regardless, your statement before: > The regulatory requirement you linked (and other typical requirements from regulators) allows a tolerance of one second, so it doesn't call for this kind of technology. is not true
- metaphor 10mo ago> accuracy is a mix of both granularity and divergence I respectfully disagree. In context, "granularity" is nothing more than a resolution constraint on reported timestamps. Its inclusion adjacent to the specified "divergence from UTC" is a function of market manipulation surveillance objectives as discussed in preamble item (2), and really doesn't have anything to do with accuracy proper.
- broretore 10mo agoany time i am certain of something i never capitalize and i do not end my sentences with periods or use any punctuation because i like people to believe i am an omniscient narrator who cannot be interrupted
- throw0101c 10mo ago> mifid ii (uk/eu) minimum is 1us granularity 1us is nothing special for GPS/NTP/PTP appliances (especially with OCXO/rubidium oscillators): * https://www.microchip.com/en-us/products/clock-and-timing/systems/ptp-grandmaster-clocks/timeprovider-4100 https://www.microchip.com/en-us/products/clock-and-timing/sy... * https://www.meinbergglobal.com/english/productinfo/gps-time-server.htm https://www.meinbergglobal.com/english/productinfo/gps-time-...