David Quarrell's Blog
December 12, 2012
This article was originally published at the finteligent trading technology community website, and is reproduced here with the author's permission.
This year has been a tough one for banking with fines for LIBOR abuse and Iran sanctions busting but there has been good news too. The report by the UK government into the computer based trading has been both thorough and reassuring. Computer based trading is not going away and with better analytical procedures at both execution...
May 29, 2012
I attended a Financial Services forum event last week, FUTURECITY hosted at Cisco House, a purpose built executive briefing centre overlooking London’s Olympic Park. Over 100 guests listened to speakers from London Clearing House and Cisco describing the challenges of regulation, risk management, new technology and growing trading throughput. The challenges I identified from the discussion were:-
New regulations require mission critical financial institutions...
February 15, 2012
I had a great conversation with Rolf Andersson of Pantor last week and the discussion turned to FPGAs and their use in High Performance Trading. I've seen them being used as "circuit breakers" for in-flow risk checking and some limited algo trading but Rolf has seen some sophisticated algos being used on complex FPGAs. At a recent discussion of FIX trading engine performance Ben Stephens described how Nomura is committing to FPGA development. Things are changing in low latency...
February 7, 2012
I've been working with the team at Intel's fasterLABs to investigate the Low Latency performance of FIX Protocol engines. It's been a great experience to bring a collaborative team from half a dozen firms together, run up the test rig and produce the results paper. Three weeks of edits since I wrote the first draft and I'm please to say it's published here, Phew! We demonstrated what we kind of already knew but now we can point to a definitive set of...
December 13, 2011
If you ask an historian they would say 1588 was about bad timing; if the Spanish Armada had departed Spain in June instead of late August it might not have been caught by the gales that blew it off course. To the internet community 1588 is the RFC that deals with network synchronisation and the irony is that RFC 1588 is all about accuracy.
There’s been a buzz in the trade tech space about PTP that I’ve been prompted to investigate the new SolarFlare PTP enabled network card. That...
December 8, 2011
I’m working with the team for one of our clients who have built a super application that is deployed widely in the ultra low latency, high frequency trading market providing sophisticated trade routing and execution. The tension between the brilliant software designers and steady plodding pace of infrastructure implementers is fascinating, sometimes painful to observe. It reminds how I am spending the evenings this week as I plan this summer’s sailing capper, a passage south...
July 8, 2011
At a trade conference recently, the platform asked for a straw poll of those people developing solutions using FPGA (Field Programmable Gate Arrays), about a third of the room put their hands up. This is a new technology to the financial services industry and is beginning to be adopted into the HFT stack and I thought it was worth finding out what the buzz is all about.
Gate arrays have in fact been around since the beginning of the digital revolution and consist of rows of logic...
June 23, 2011
I was treated to a special day this week when HP invited me to bring a customer to see the future products and road map for the next twelve months. They insisted I sign a non-disclosure agreement, so I cannot elaborate on the content of the day here. What I did observe was the amount of effort an OEM has to make to differentiate themselves not only against each other, but the vast army of “white goods” manufacturers who can also bash out Intel/AMD servers. As a hobby...
June 16, 2011
I had the chance to spend some time with the CTO of a software house that delivers into the HFT market last week. Most of the conversation was about issues that any medium to large organisation faces, multiple sites across different continents. Supporting users’ desktops, the need to reduce the capital and operational expenditure and still deliver the operational excellence to the business.
When the conversation turned to the specific issues of the HFT market, my host...
June 8, 2011
I was sitting on a panel with some great technology innovators hosted by Agilysys at a recent conference. The recurring issue of testing came up–it’s regular topic at these shows. The need to get even better performance from the infrastructure to support high frequency trading has lead to some great innovations. The question remains, how do you test it and demonstrate the investment has actually improved performance? Then the question arises, performance of what? It’s...