On 2/16/2012 3:03 AM, Hank Nussbacher wrote:
Nanosecond Trading Could Make Markets Go Haywire
http://www.wired.com/wiredscience/2012/02/high-speed-trading/
"Below the 950-millisecond level, where computerized trading occurs so
quickly that human traders can't even react, no fewer than 18,520
crashes and spikes occurred."
Anyone who has managed a network knows that when you look at your
MRTG/Cacti graphs at 5min, 10min ,15min intervals - all looks well.
Start looking at 1sec intervals and you will see spikes that hit 100%
of capacity - even on networks running at 25% average utilization.
I guess trading and networking do have many unseen similarities.
-Hank
Anecdotally, I had an interview years ago for a small-ish futures
trading company based in London. The interviewer had to pause the
interview part way through whilst he investigated a 10ms latency spike
that the traders were noticing on a short point-to-point fiber link to
the London Stock Exchange. He commented that the traders were far
better at 'feeling' when an connection was showing even a trace of lag
compared to normal than anything he'd set up by way of monitoring (not
sure how good his monitoring was, though.)
Paul
