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Check out our Message Medium blog to find out what’s going on in the hardware-accelerated, low-latency messaging world. I Reckon We Can Wash Away Them Darn OutliersSeptember 25, 2008 at 2:00 pm I really like industry events: the intensity; the competitiveness; the pithy debates; the BS; the incredible concentration of opportunity. The good ones have the pulse and cacophony of a third-world bazaar. The evening parties aren’t too bad either, especially when they’re in New York or Las Vegas.
Fortunately, we had High Performance on Wall Street 2008 in New York this week. It was at the Roosevelt Hotel, La Grande Dame from La Belle Époque. I felt out of place without my frock suit and top hat, but mentally returned to the 21st century and enjoyed the healthy debates on in-line risk calculations, low latency, complex event processing, co-lo architecture, etc.
Candidly, with all the market animation this week, it was tough to gauge what the atmosphere would be going in to the event. With rare exceptions (“Hey, where’s the Lehman dude on the panel?”) things went rather smoothly. Hats off to Pete Harris for keeping things lively and moving.
I very much enjoyed the session “Gaining First Mover Advantage with a Low Latency Market Data Solution.” I skipped the concurrent “Low Latency Market Data Distribution – Software and Hardware Approaches” panel because I work with Barry Thompson and get to eat, drink and debate with him all the time. What struck me about the first panel was a very poignant comment made by an excellent panelist. He commented on the market obsession with low latency and the collective failure to account for devastating effect of outliers – late, non-low-latency information. Algos just don’t like outliers and it screws many of them up. Outliers are low-latency impurity. 99.44% pure is good for Ivory Soap, but it’s not good enough for today’s environments.
This subject deserves much more scrutiny. Outliers undermine low latency. Maybe a debate on this at the Roosevelt next year?
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