Blogs

Read the article here.

Often when I come onto a project to help with performance problems, I am presented with statistics gathered about transaction timings. Most often, I will be presented with an average, sometimes with a more complete statistical picture which includes min/max/median/stddev.

Unfortunately, these numbers seldom tell me anything actionable which can be used to analyze the system for performance improvements. This is why the first thing I typically do is set these statistics aside and instead ask for the raw metrics data.

Good article in the NYT:

A repo is simply a “sale” of a financial asset to someone else, with an agreement to repurchase it at a fixed price and date. That amounts to borrowing secured by the asset, often a Treasury bond, with the added security that the lender has the bond, and so can sell it quickly if need be.

An interesting article from Red Hat describing some of the concepts in modern commodity hardware - everything you wanted to know about caches, NUMA, DRAM, etc, but were afraid to ask :)

Written in 2007, so may be a bit dated...

Very interesting article talking about "Shielded CPUs" in Linux. Essentially it describes how to dedicate a CPU to a process, so that the only thing running on that CPU is the task you want to run and the interrupts related to that task. This creates an almost real-time capability on commodity Linux and I think can have big implications in the low latency/market data arena.

Read the article here

Interesting article from "Traders Magazine" on HFT:

High-frequency trading firms must be concerned about latency, but that level of concern should depend on "how much profit they intend to make from every millisecond or microsecond," Goldman's Faulkner said. He noted that firms must understand the "value of a micro or milli" for the particular strategy they're running.

From Risk Magazine:

I found this while profiling an internal QuickFIX/J application.

Rolling Stone magazine ran a story that described Goldman as "a great vampire squid wrapped around the face of humanity, relentlessly jamming its blood funnel into anything that smells like money".

Read the full fascinating article about GS in the online Sunday Times

Lasalletech had a great time at the FPL Americas 2009 conference. While we were pretty busy showing off our new product suite, I did manage to sit in on a couple sessions. Here are some interesting points from the panel on Low Latency trading:

There are two aspects of latency that you can measure
1) How fast are you getting prices
2) How fast can you execute