[AusNOG] Networks in High Freq. Trading

Sat Apr 5 10:45:59 EST 2014

Latency issues are more than just the fiber, but the infrastructure too.
There¹s a decent whitepaper (we wrote, sorry for the plug) around FIX at

https://info.a10networks.com/White-Paper-Solutions_for_Financial_Services_FI
X.html

Which describes the kinds of issues providing low latency/low jitter
application access and the problems involved.

‹excerpt ‹

The FIX Protocol specification was co-authored in 1992 by Robert Lamoureux
and Chris Morstatt, specifically to support electronic communication of
equity trading data between Fidelity Investments and Salomon Brothers, for
pre-trade and trade activities. Since its initial release, the scope of FIX
has expanded significantly, through to the post-trade space, supporting
straight-through processing (STP) from indications of interest (IOI) to
allocations and confirmations. FIX is now the de facto messaging standard
for pre-trade and trade messaging in global equity markets, and has been
adopted more broadly in post-trade activities, foreign exchange (FX), fixed
income and derivatives.

Who Uses FIX and Why?

There are a number of key reasons why the securities community continues to
use, develop and invest in FIX infrastructure, including:

€ FIX is a free and open standard.
€ FIX is not generic. It was developed by the securities community for
securities applications, and is extensively used, tested and peer reviewed
to ensure it remains fit for purpose.
€ The FIX protocol is relatively simple and has a fairly narrow focus; key
benefits being very little overhead and improved protocol efficiency and
performance over a generic messaging scheme.
€ FIX compresses the time needed for price discovery and time to transact,
by enabling the electronic exchange of trade-related information (it does
not require human intervention).
€ Since FIX enables the electronic exchange of trade-related information, it
is a key component in automation for high-frequency trading, algorithmic
trading and arbitrage (we discuss these shortly).

‹ fin ---

Stephen Œmax¹ Gillies
M: 0409 245 888   |   AU: 02 8188 0383   |   NZ: 09 888 1001
W: Sales Engineer, A10 Networks
ADC  SSL Offload  DDoS  CGNAT - IPv6

From:  James Spenceley <james at iroute.org>
Date:  Friday, 4 April 2014 7:47 pm
To:  List List <ausnog at lists.ausnog.net>
Subject:  Re: [AusNOG] Networks in High Freq. Trading

vocus has the lowest latency path, which we built specifically to guarantee
the lowest latency to the ASX.

it was 2 years ago now but a very cool project and has been popular with a
very specific customer group ever since ...

http://www.itnews.com.au/News/304818,vocus-lays-cross-harbour-fibre.aspx

--
James

On 4 Apr 2014, at 4:22 pm, J Williams <jphwilliams at gmail.com> wrote:

> This is probably already happening on the Australian stock market.
> What is the fastest network between Equinix and Gore Hill Business Park?
> Finished the book yesterday, great read.
> 
> 
> On Fri, Apr 4, 2014 at 10:04 AM, Joseph Goldman <joe at apcs.com.au> wrote:
>> The thing that stuck out to me most - is the updates via multiple 'exchanges'
>> when an order is placed, and the front-running they described. Obviously as
>> network builders it is not our role to take ethics and morals into account
>> when doing things like this - but with the structure of ASX, is the same
>> thing [frontrunning] possible? Or is this industry secret/question that won't
>> be answered?
>> 
>> I understand and fully support the need to have low-latency communication
>> with the ASX to catch trends first and get your orders filled at the right
>> price, but the idea that they were detecting trades early and beating them to
>> the trade before the order was filled is outright devious (IMHO).
>> 
>> Ethics and the actual trading itself aside - i liked the idea of staggering
>> the orders so they hit out at once, and the new exchange they started using a
>> 60km roll of fibre to artificially inflate response !
>> 
>> 
>> On 04/04/14 09:51, Tim Jones wrote:
>>> Interesting video Joe.
>>> 
>>> The Vocus fibre under Sydney Harbour was rolled out to the ASX Gore Hill
>>> Primary DC shortening the path from the city by 400 metres:
>>> 
>>> http://news.slashdot.org/story/12/06/15/0139255/aussie-telco-lays-new-fiber-
>>> for-microsecond-trading-boost
>>> <http://news.slashdot.org/story/12/06/15/0139255/aussie-telco-lays-new-fiber
>>> -for-microsecond-trading-boost>
>>> 
>>> 
>>> And for participants in the ASX Gore Hill DC:
>>> 
>>> "the ASX will commission a 60 metre fibre path to customer equipment that is
>>> only two metres from its core systems, to ensure that customer gains no
>>> better speeds than customers in far corners of the room."
>>> 
>>> http://www.itnews.com.au/News/261198,asx-takes-network-neutrality-to-new-ext
>>> remes.aspx#ixzz2xrllcQ00
>>> <http://www.itnews.com.au/News/261198,asx-takes-network-neutrality-to-new-ex
>>> tremes.aspx#ixzz2xrllcQ00>
>>> 
>>> Cheers,
>>> Tim
>>> 
>>> 
>>> 
>>> -----Original Message-----
>>> From: AusNOG [mailto:ausnog-bounces at lists.ausnog.net
>>> <mailto:ausnog-bounces at lists.ausnog.net> ] On Behalf Of joe at apcs.com.au
>>> Sent: Friday 4 April 2014 6:59 AM
>>> To: ausnog at ausnog.net
>>> Subject: [AusNOG] Networks in High Freq. Trading
>>> 
>>> Hi list,
>>> 
>>>    Just watched this piece:
>>> 
>>>      http://www.youtube.com/watch?v=8RFLIj4a2kw#t=29
>>> <http://www.youtube.com/watch?v=8RFLIj4a2kw#t=29>
>>> 
>>>    It's 60 minutes, so a bit sensationalised, but it discusses the role of
>>> fibre optic networks in stock exchanges and namely High Frequency trading,
>>> and some interesting solutions to the problem. Found it quite interesting so
>>> thought I'd share!
>>> 
>>> Thanks
>>> 
>>> 
>>> 
>>> 
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>>> AusNOG at lists.ausnog.net
>>> http://lists.ausnog.net/mailman/listinfo/ausnog
>>> <http://lists.ausnog.net/mailman/listinfo/ausnog>
>> 
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