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