high performance in trading september 19, 2011 raymond russell, cto
TRANSCRIPT
![Page 1: High Performance in Trading September 19, 2011 Raymond Russell, CTO](https://reader035.vdocument.in/reader035/viewer/2022062715/56649da15503460f94a8e11f/html5/thumbnails/1.jpg)
High Performance in Trading
September 19, 2011
Raymond Russell, CTO
![Page 2: High Performance in Trading September 19, 2011 Raymond Russell, CTO](https://reader035.vdocument.in/reader035/viewer/2022062715/56649da15503460f94a8e11f/html5/thumbnails/2.jpg)
Agenda
Low-latency = high performance?
• Low-latency components
• Trading system performance
• Beyond latency
![Page 3: High Performance in Trading September 19, 2011 Raymond Russell, CTO](https://reader035.vdocument.in/reader035/viewer/2022062715/56649da15503460f94a8e11f/html5/thumbnails/3.jpg)
Market-leader in Latency Management:
• Over 20 market maker and proprietary trading firms
• 9 of the G14 group of broker/dealers monitor order flow performance
• 7 out of the top 10 investment banks as active customers*
• 18 additional tier 2 banks and brokers
• 15+ market maker and high frequency trading firms
• 14 exchanges, including 10 major global exchanges
*Source FT.com League Tables, % of Equities Fees collected in Q1 2011
Sell-Side
Exchanges
Providers
TradingNetwor
k
Buy-Side
Introduction to Corvil
![Page 4: High Performance in Trading September 19, 2011 Raymond Russell, CTO](https://reader035.vdocument.in/reader035/viewer/2022062715/56649da15503460f94a8e11f/html5/thumbnails/4.jpg)
For components, basically true:
• Matching engine: order to execution
• DMA engine: risk-checking and change-of-custody
• Feed-handler: exchange-tick to book-update
Low-latency = High Performance?
![Page 5: High Performance in Trading September 19, 2011 Raymond Russell, CTO](https://reader035.vdocument.in/reader035/viewer/2022062715/56649da15503460f94a8e11f/html5/thumbnails/5.jpg)
Low-latency = High Performance?
Trading imperatives driving high-performance:
• Lifting trades before the competition does
• Response time and speed of access to market
• Execute trades at optimal price and speed
• Scale and timing
• Competitive but profitable spreads
• Tracking the market to keep books balanced
Arbitrage Trading Market Making Algorithmic Trading
![Page 6: High Performance in Trading September 19, 2011 Raymond Russell, CTO](https://reader035.vdocument.in/reader035/viewer/2022062715/56649da15503460f94a8e11f/html5/thumbnails/6.jpg)
Low-latency = High Performance?
Q. How to measure algorithm performance?
• Execute trades at optimal price and speed
• Scale and timing
• Execute trades at optimal price and speed
• Scale and timing
Many fast orders?
One long transaction
?
Market slippage?
Algorithmic Trading
![Page 7: High Performance in Trading September 19, 2011 Raymond Russell, CTO](https://reader035.vdocument.in/reader035/viewer/2022062715/56649da15503460f94a8e11f/html5/thumbnails/7.jpg)
Low-latency = High Performance?
Q. How to measure algorithm performance?
A. Tick-to-order latency
• Performance determined by system latency:
Quote Market-data Strategy Order-entry Trade
Market data
Order
• Execute trades at optimal price and speed
• Scale and timing
• Execute trades at optimal price and speed
• Scale and timing
Algorithmic Trading
![Page 8: High Performance in Trading September 19, 2011 Raymond Russell, CTO](https://reader035.vdocument.in/reader035/viewer/2022062715/56649da15503460f94a8e11f/html5/thumbnails/8.jpg)
Low-latency = High Performance?
Q. What drives component latency?
A. In well-designed and well–tuned components, load drives latency
Latency in absence of load a sign of poor design or configuration
Feed-handler latency
Market-data rate
![Page 9: High Performance in Trading September 19, 2011 Raymond Russell, CTO](https://reader035.vdocument.in/reader035/viewer/2022062715/56649da15503460f94a8e11f/html5/thumbnails/9.jpg)
Summary
• Latency a critical performance metric for components
• High-performance trading demands system-wide performance
• Capacity under load as important a dimension as latency