andy's blog
A Good White Paper on Gigabit Packet Capture
An informative survey of the various approaches with their pros and cons can be found here.
Ken Olsen of Digital Equipment Corp - dead at 84
DEC co-founder - computer pioneer. Obit
Thor Enters the High-Frequency Trading Arms Race
Institutional investors may finally have a hammer to use against the high-frequency traders who have allegedly been poaching their trades.
A new trading technology from RBC Capital Markets called “Thor” – publicly rolling out this month – could help counteract the ability of high-frequency traders to pick off the orders of other investors. Of course, many expect the HFT crowd to start working on a counter-Thor strategy straight away.
Spread Networks digs own route from Chicago to NY - becomes king of the hill for now
It cost them $300M to dig 825 miles. Now at 13ms they are 3ms faster than all competitors.
Want to trade faster? Move to Antarctica
Interesting article about server location for those who need to access multiple non-colocated servers.
SGX boasting of 90 microsecond latency on new trading platform
Read the article here.
Tune your performance with graphs
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.
Demystifying the Lehman Shell Game
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.
What Every Programmer Should Know About Memory
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...
Shielded Processors - Guaranteeing Sub-millisecond Response in Standard Linux
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.
