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High Performance in Trading

High Performance in Trading. Raymond Russell, CTO. September 19, 2011. Agenda. Low-latency = high performance? Low-latency components Trading system performance Beyond latency. Introduction to Corvil. Buy-Side. Sell-Side. Providers. Trading Network. Exchanges.

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High Performance in Trading

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  1. High Performance in Trading Raymond Russell, CTO September 19, 2011

  2. Agenda • Low-latency = high performance? • Low-latency components • Trading system performance • Beyond latency

  3. Introduction to Corvil Buy-Side Sell-Side Providers Trading Network Exchanges *Source FT.com League Tables, % of Equities Fees collected in Q1 2011 Market-leader in Latency Management: • Over 20 market maker and proprietary trading firms • 9 of the G14 group of broker/dealers monitor order flow performance • 7 out of the top 10 investment banks as active customers* • 18 additional tier 2 banks and brokers • 15+ market maker and high frequency trading firms • 14 exchanges, including 10 major global exchanges

  4. Low-latency = High Performance? • For components, basically true: • Matching engine: order to execution • DMA engine: risk-checking and change-of-custody • Feed-handler: exchange-tick to book-update

  5. Low-latency = High Performance? Trading imperatives driving high-performance: Arbitrage Trading Algorithmic Trading Market Making • Lifting trades before the competition does • Response time and speed of access to market • Competitive but profitable spreads • Tracking the market to keep books balanced • Execute trades at optimal price and speed • Scale and timing

  6. Low-latency = High Performance? Q. How to measure algorithm performance? • Execute trades at optimal price and speed • Scale and timing Algorithmic Trading Many fast orders? One long transaction? Market slippage?

  7. Low-latency = High Performance? • Q. How to measure algorithm performance? • Tick-to-order latency • Performance determined by system latency: • Quote  Market-data  Strategy  Order-entry  Trade • Execute trades at optimal price and speed • Scale and timing Algorithmic Trading Market data Order

  8. Low-latency = High Performance? • What drives component latency? Feed-handler latency Market-data rate • In well-designed and well–tuned components, load drives latency • Latency in absence of load a sign of poor design or configuration

  9. Summary • Latency a critical performance metric for components • High-performance trading demands system-wide performance • Capacity under load as important a dimension as latency

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