6 ms·

> Some facilities such as the Mahwah, New Jersey, NYSE (New York Stock Exchange) data center have rolls of fiber so that every cage has exactly the same length

> Some facilities such as the Mahwah, New Jersey, NYSE (New York Stock Exchange) data center have rolls of fiber so that every cage has exactly the same length of fiber running to the exchange cages.3 I remember the first time someone told me that. I thought they were kidding. Then I actually got to see the data center. The exchanges, and HFT firms, take this very seriously. The speed at which they execute is just unbelievable. The amount of technology and networking stack knowledge is just mind blowing. I remember tuning my linux distribution's networking stack to gain an advantage only to find out that everyone had moved onto using asic's and infiniband hardware. I continue to be amazed at the sheer talent and brain power that goes into this field:)

dclusin 13y ago
Kernel bypass is also common. Having the OS manage your networking stack adds too much latency.
- rdtsc 13y ago
  That is the most common one I've heard of. Obviously if they are building fpgas into the switch itself then well of course they'd already tried running customized ethernet driver firmware and all.
  - dclusin 13y ago
    It really depends on what asset class you are trading, like the author mentioned. For equities the performance demands are out of control (< 50 micros). For FX, it's still pretty tight but much more manageable.
blumkvist 13y ago
I hope "amazed" is just poor wording.
- chollida1 13y ago
  I think I'm being trolled but I'll bite. What's wrong with the word amazed? If I said I worked at Google and I continue to be amazed at the tech behind how they served up ads would I still get the same remark from you? Maybe I could be doing more with my skill? I don't know but I really love the learning curve I'm on working with cutting edge technology and pushing the performance envelope.
  - blumkvist 13y ago
    I realized that there's a frequent uproar against HFT, so I assume people here are pretty tired of it and are not willing to discuss it/have their minds made up about it already. That's why I won't go rhetoric. edit: I guess, I did though. I can't help to reply to the adwords question - although you can argue that advertising/marketing is soulless, at least it creates real world value. Someone makes a product, someone else buys it. Exchange of goods happens. Derivatives are uncontrallable in the my humble opinion. Especially if regulated by uber greedy people. And it makes me sad sad when I see the highest skilled people go and put their talent in something that is pretty much useless, apart from making a few, selected people even richer than they are. But I guess, whatever pays the bills. But that's not why I made my comment. I made my comment, because what I find even more sad, is people going numb to injustice and admiring this situation and the people who are making it possible.
    - mmodahl 13y ago
      Car insurance is a derivative.
    - jbooth 13y ago
      He wasn't admiring the economic situation, he was admiring some truly amazing high-end computer networking. If HFT produces nothing else (and I generally agree with your economic view of it), at least it'll have financed the next generation of low-latency networking gear.
    - fractalsea 13y ago
      So no one would buy anything if there was no advertising? Or maybe you are worried they would buy less? In that case, would the world really be a worse place? People only buying what they need...
mcphilip 13y ago
Spread Networks invested an estimated $300 million in building a new fiber line from Chicago to New York in order to shave 3 off ms. However, they found out after completing the line that faster speeds were already being achieved by microwave connections built in secret. It's an interesting arms race: http://www.cnbc.com/id/100695563 http://www.cnbc.com/id/100695563
rfnslyr 13y ago
How do I get into this field? I'm a 20 year old making a shit ton of money by doing mobile work but I find it so boring. Nothing about it is innovative. I feel like a high level computer construction worker. It's brainless for the most part, it just takes time. I want to get into some really cool stuff. I've been wanting to get into investment banking from a technical standpoint, HFT, algorithmic trading etc, but honestly don't know where to start. What are the de facto books/websites/reads for this field?
- sseveran 13y ago
  The worlds of HFT and the rest of algorithmic trading are very far apart. For HFT pickup the exchange documentation for each exchange. Memorize how order types. Get a copy of RegNMS. Memorize that as well. To be effective an HFT needs to exploit the market structure. Learn how processors work. How do you avoid a pipeline stall or a cache miss? Become an expert in c++. Maybe pickup some verilog for those pesky FPGAs. The rest of algorithmic trading offers a lot more flexibility. In either case read 'Trading and Exchanges'. It will give you a good overview of the mechanics of all different venue types. Then its thinking about how to build better algorithms then the next guy, or get better data.
  - shogunmike 13y ago
    I second the recommendation of 'Trading and Exchanges'. It's a great book to get insight into how the underlying exchanges work and how to exploit certain architecture to produce profitable strategies.
- shogunmike 13y ago
  For HFT the learning requirements are extensive. It is /almost/ essential to have a PhD in CompSci/EE from a top school to do HFT. Alternatively one should demonstrate extensive hardware/networking and optimisation skills obtained from other low-latency industries. All of the top work is being done on FPGAs and latency is now on the order of microseconds (probably lower). As for lower frequency algorithmic trading, that is a game that one can play at the 'retail' level if you're willing to spend (quite a lot of) time learning. I run a website about algo trading. If you want to get a taste for what is involved have a look at some of the articles here: http://quantstart.com/articles/#algorithmic-trading http://quantstart.com/articles/#algorithmic-trading

dclusin 13y ago

Kernel bypass is also common. Having the OS manage your networking stack adds too much latency.

rdtsc 13y ago
That is the most common one I've heard of. Obviously if they are building fpgas into the switch itself then well of course they'd already tried running customized ethernet driver firmware and all.
- dclusin 13y ago
  It really depends on what asset class you are trading, like the author mentioned. For equities the performance demands are out of control (< 50 micros). For FX, it's still pretty tight but much more manageable.

blumkvist 13y ago

I hope "amazed" is just poor wording.

chollida1 13y ago
I think I'm being trolled but I'll bite. What's wrong with the word amazed? If I said I worked at Google and I continue to be amazed at the tech behind how they served up ads would I still get the same remark from you? Maybe I could be doing more with my skill? I don't know but I really love the learning curve I'm on working with cutting edge technology and pushing the performance envelope.
- blumkvist 13y ago
  I realized that there's a frequent uproar against HFT, so I assume people here are pretty tired of it and are not willing to discuss it/have their minds made up about it already. That's why I won't go rhetoric. edit: I guess, I did though. I can't help to reply to the adwords question - although you can argue that advertising/marketing is soulless, at least it creates real world value. Someone makes a product, someone else buys it. Exchange of goods happens. Derivatives are uncontrallable in the my humble opinion. Especially if regulated by uber greedy people. And it makes me sad sad when I see the highest skilled people go and put their talent in something that is pretty much useless, apart from making a few, selected people even richer than they are. But I guess, whatever pays the bills. But that's not why I made my comment. I made my comment, because what I find even more sad, is people going numb to injustice and admiring this situation and the people who are making it possible.
  - mmodahl 13y ago
    Car insurance is a derivative.
  - jbooth 13y ago
    He wasn't admiring the economic situation, he was admiring some truly amazing high-end computer networking. If HFT produces nothing else (and I generally agree with your economic view of it), at least it'll have financed the next generation of low-latency networking gear.
  - fractalsea 13y ago
    So no one would buy anything if there was no advertising? Or maybe you are worried they would buy less? In that case, would the world really be a worse place? People only buying what they need...

mcphilip 13y ago

Spread Networks invested an estimated $300 million in building a new fiber line from Chicago to New York in order to shave 3 off ms. However, they found out after completing the line that faster speeds were already being achieved by microwave connections built in secret. It's an interesting arms race: http://www.cnbc.com/id/100695563 http://www.cnbc.com/id/100695563

rfnslyr 13y ago

How do I get into this field? I'm a 20 year old making a shit ton of money by doing mobile work but I find it so boring. Nothing about it is innovative. I feel like a high level computer construction worker. It's brainless for the most part, it just takes time. I want to get into some really cool stuff. I've been wanting to get into investment banking from a technical standpoint, HFT, algorithmic trading etc, but honestly don't know where to start. What are the de facto books/websites/reads for this field?

sseveran 13y ago
The worlds of HFT and the rest of algorithmic trading are very far apart. For HFT pickup the exchange documentation for each exchange. Memorize how order types. Get a copy of RegNMS. Memorize that as well. To be effective an HFT needs to exploit the market structure. Learn how processors work. How do you avoid a pipeline stall or a cache miss? Become an expert in c++. Maybe pickup some verilog for those pesky FPGAs. The rest of algorithmic trading offers a lot more flexibility. In either case read 'Trading and Exchanges'. It will give you a good overview of the mechanics of all different venue types. Then its thinking about how to build better algorithms then the next guy, or get better data.
- shogunmike 13y ago
  I second the recommendation of 'Trading and Exchanges'. It's a great book to get insight into how the underlying exchanges work and how to exploit certain architecture to produce profitable strategies.
shogunmike 13y ago
For HFT the learning requirements are extensive. It is /almost/ essential to have a PhD in CompSci/EE from a top school to do HFT. Alternatively one should demonstrate extensive hardware/networking and optimisation skills obtained from other low-latency industries. All of the top work is being done on FPGAs and latency is now on the order of microseconds (probably lower). As for lower frequency algorithmic trading, that is a game that one can play at the 'retail' level if you're willing to spend (quite a lot of) time learning. I run a website about algo trading. If you want to get a taste for what is involved have a look at some of the articles here: http://quantstart.com/articles/#algorithmic-trading http://quantstart.com/articles/#algorithmic-trading