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...

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...

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...

 
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...

 
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...

 
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...

 
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...

With the fantastic weather, royal weddings and oodles of public holidays, I had a chance to settle down and reflect on the insights I got from all of the conference surfing I’ve been doing recently. Just before Easter I was on a panel at the A-Team Low Latency business conference held in London last month. I was a bit nervous sitting among the learned folks from Nomura, Intel, Dell and Arista. The panel was organised by my old friend Nigel Woodward who has been kicking around...

 
I’ve been ambushed by events again when I realised a trade show in London I had been preparing is days away! I have been so focused on the logistics for a panel workshop we are hosting that it was a shock to realise the Low Latency Trading show is Tuesday, April 19. The organisers have posted a short biography  of me on their site which is flattering. If you’re going to the show at Brewery on Chiswell Street drop by the Agilysys booth and say,...

 
I went to a conference recently and was fascinated by the notion that risk is not about the maths, it’s about the data. The fantastic Monte Carlo simulations that traders use to calculate the risk of doing business use difficult but well documented maths. The problem is the huge amount of data that needs to be processed to create an accurate picture of the trading position. Added to the burden is the impact of regulation. Banks undergo 6 to 8 stress tests a year for different...