[AusNOG] Networks in High Freq. Trading

Sat Apr 5 11:41:28 EST 2014

Until it gets foggy...

On 5 Apr 2014, at 11:39 am, "Bevan Slattery" <bevan at slattery.net.au<mailto:bevan at slattery.net.au>> wrote:

And wireless is better than fibre...

[b]

On 5 Apr 2014, at 9:45 am, Stephen Gillies <max at caretandstick.com.au<mailto:max at caretandstick.com.au>> wrote:

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

https://info.a10networks.com/White-Paper-Solutions_for_Financial_Services_FIX.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 ‘max’ 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<mailto:james at iroute.org>>
Date: Friday, 4 April 2014 7:47 pm
To: List List <ausnog at lists.ausnog.net<mailto: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<mailto: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<mailto: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

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-extremes.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<mailto:joe at apcs.com.au>
Sent: Friday 4 April 2014 6:59 AM
To: ausnog at ausnog.net<mailto: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

   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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