Kernel bypass – revving up linux networking

Posted by on Mar 30, 2010

In Formula One racing, all cars must comply with a defined set of rules (the formula) and find ways to differentiate with a car, driver and support team that all follow the basic guidelines. The same is true of automated trading systems. The formula is simple: each trading system consumes market data and produces orders. What happens in between is how each firm differentiates themselves. Just...
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Filed under Capital Markets, Messaging, Partners
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Latest financial meme: consistent latency

Posted by on Mar 24, 2010

Let’s face it, if you want to get attention on the Internet, you have to fall in line with the concept of memes. These are the ideas that take on a life of their own, such as the dramatic prairie dog or the VP dropping an F-bomb. Twitter’s version of memes is the concept of trending topics based on frequently tweeted keywords. This lets you see what topics people are talking about...
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Filed under Capital Markets, Financial Services
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Hardware trading: The machines are taking over…

Posted by on Mar 22, 2010

With each day that passes it becomes more obvious that hardware is replacing software in the critical path of high performance trading. It doesn’t take a genius to see what’s happening, as the evidence is everywhere: Feed handlers: All of the recent entrants into the feed handler market are using custom hardware. Messaging middleware: Appliances from companies like Solace are winning...
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Filed under Capital Markets, Hardware, Messaging
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Quants on wall street: Revenge of the nerds

Posted by on Feb 12, 2010

I borrowed the headline above from the title of an interview at Yahoo! Finance today featuring Scott Patterson, the author of a new book called The Quants. His book tells the story of how mathematics took over trading on Wall Street. I haven’t read the book yet (just downloaded on Kindle), but based on the teaser text at Amazon, I was disappointed to see that the author felt the need to tie...
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Filed under Capital Markets, High Frequency Trading
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Trading microseconds for nanoseconds

Posted by on Sep 23, 2009

The co-location of market data systems near or inside exchanges is becoming big business. The ultra-low latency high frequency trading systems that you find in these facilities are niche applications to be sure, but what a niche! NYSE Euronext recently committed to build a 400,000 square foot co-location facility in New Jersey. That’s a big investment to make in something NYSE Euronext CEO...
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Filed under Financial Services, Messaging, Products
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Listen all y'all it's an arbitrage…

Posted by on Mar 11, 2009

Arbitrage is back, that is, if it ever really went away. Rob Curran recently wrote a piece in the Wall Street Journal’s MarketBeat blog on how the 10-15 millisecond gap between the National Best Bid and Offer (NBBO) and the pricing algorithms in most dark pools of liquidity is making money for technologically advanced traders using latency arbitrage. Basically if you can calculate the NBBO...
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Filed under Capital Markets, Messaging, Technology
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Infiniband Losing the War to Ethernet

Posted by on Jan 30, 2009

A few short years ago, the buzz around Infiniband for low-latency algorithmic trading was deafening. If you absolutely needed the lowest latency possible, and were willing to write special adapters to special APIs, Infiniband’s eye-popping latency numbers were very appealing when compared with software running over GigaBit Ethernet. Sure it was expensive and proprietary, and you only had a...
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Filed under Capital Markets, Hardware, Network Tech
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Algorithmic news as secondary validation

Posted by on Sep 11, 2008

I wanted to chime in with a couple more comments relating to algorithmic news feeds. Even if an algo news feed is providing sentiment tags, it has to remain the responsibility of the algo engine to own the trading decision, and most news is still a long way from being predictable enough to base a buy or sell on. Most algo designers still use news only as secondary validation, not as the primary...
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Filed under Capital Markets, CEP
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Getting sentiment-al about algo trading

Posted by on Sep 11, 2008

Marc Adler posted an interesting question on his Magmasystems blog asking how CEP and/or sentiment engines might have determined if the United Airlines bankruptcy story was old and could have avoided the actions taken by algo trading engines that caused the stock to take a hit. The problem with considering sentiment alone is that sentiment algorithms perform a discreet function. They read a...
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Filed under CEP
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Hybrid computing for the corporate masses?

Posted by on Jul 30, 2008

Computerworld posted a story yesterday about hybrid systems speeding up corporate apps. Without getting into the obvious joke about how many miles per gallon these systems will get, this echoes conversations we are having daily with Wall Street and cloud computing firms about how hardware assist can help deal with performance issues – both volume of data, and latency of response In the article,...
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Filed under Utility Computing
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