Tervela Message Medium Blog | low latency

The Rob Daly piece from Waters that I referenced last week really got me thinking.  I responded to the piece in Waters and will reprint it below, but the topic has been a source of ongoing debate. Recently, I was out with several customers where we spent dinner discussing the physics of information movement within complex systems.  The gist was that we continually tweak our market data systems to ensure low latency, yet we just don't have the time (or the insight) to look at it more systematically.  This is a problem.

The Waters Letter

Rob Daly's September column, "Stop the Latency Insanity," is a harbinger for a much broader discussion on a systematic approach to addressing and analyzing latency across the entire trade-execution spectrum. The ever-elusive latency equation is inherently complex and consists of diverse variables whose individual characteristics are constantly changing. Mr. Daly covers several of these, including network bandwidth, protocol stack bypass, application architecture, and so forth, but we need to look at the entire chain, not just the pieces.

Unfortunately, we struggle as an industry to fully grasp the entire latency spectrum. Why? The reasons are as diverse as the variables. Trade execution spans departmental and organizational boundaries, preventing integrated and holistic analysis; latency tools only cover a limited number of discrete systems; volatility and the non-deterministic nature of market data inhibit accurate modeling; algorithmic execution generates non-deterministic computational and network loads.

The semblance to chaos theory is warranted. We're dealing with complex, inter-related, dynamic systems, which is why latency is so hard and-stealing from Mr. Daly's point-insane. While chaos theory puts much emphasis on initial conditions (market open), today's trading ecosystems introduce more stimuli all the time (Fed announcements, earnings reports). The mathematical modeling of latency around chaos theory may be a good concept (and a reasonable PhD dissertation), but it's just not pragmatic in the real world.

That shouldn't, however, stop us from attempting to solve the latency equation-which also needs to include stability, predictability and scale. There isn't a choice, especially in today's markets. Not having a grasp on broader, systemic latency will not only put our trading systems at risk, but erase any market advantage as well.

=rob.ciampa

Tags: low latency (4) chaos theory (1) 

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A recent article by Fayazuddin Shiraz in Chief Executive turned me onto a post by Jonathan Schwartz, CEO of Sun, lauding the company’s recent announcement of 1 million messages per second for RMDS (Reuters Market Data System). Congratulations to Sun and Intel on the worthwhile collaboration. There is, however, an interesting implication: what happens to the network when you source such a vast amount of market data to a large number of very hungry electronic consumers? (Who may, of course, generate derivative traffic.) Rhetorical question perhaps, but this volume of messaging data can destroy even the most well-provisioned infrastructure regardless of the bandwidth ceiling.

Some time ago (in the pre-steroids era), we had message traffic flowing on a separate network. It was the right thing to do. Later, that network was collapsed into the “new and improved” high performance switched infrastructure. All the data lived happily together for a while – until message volumes went up and multicast trashed the network. And everyone screamed about low latency. Now we’re seeing the pendulum swing back to separate networks for messaging again. We don’t have time to manage one network and soon we’ll have two.

=rob.ciampa

Tags: rmds (1) market data (4) low latency (4) 

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I was reviewing some notes from a discussion I had with Kevin McPartland from Tabb Group. We talked about messaging volumes in the global equities and options markets. His numbers were an astonishing 7 billion (Yes, Virginia, that's a "B") messages per day in 2007. More interesting, though, were the projections: 128 billion messages per day by 2010. Wow. And low latency, too.

=rob.ciampa

Tags: message (2) messaging (5) low latency (4) 

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