Correcting Stock Trading Delays That Cost Brokerage Firms Millions
A cheap solution has been discovered by computer programmers for detecting millionth of a second delays in routers in data center networks. Automatic stock trading systems with even a millionth of a second delay can cost over a million dollars.
The work was presented on August 20th, 2009 at SIGCOMM. The computer programming method was created by a joint task collaboration between the University of California and Purdue University computer programmers.
A delay as short as a millionth of a second can be detected in a router. Even packet loss as rare as one packet in 10 million can be detected with this programming code. This code can run on any router and does not slow the router down.
The programming code is called the Lossy Difference Aggregator. It requires no new hardware and has no performance penalty on the router.
Big brokerage houses will be very interested in this technology. If an institutional investor has a stock trading algorithm that reacts to incoming market data just 100 microseconds earlier than the competition, it can buy millions of shares and push the price of a stock higher before the competition has time to react.
Exchanges like the Nasdaq use very expensive custom hardware designed to track delays in the performance of routers at different key points within a data center network. But these hardware boxes are too expensive to be added to every router within a data center's network. Especially if that data center is running an automated stock trading system. By the time the I.T. Department detects a problem router, it usually costs the company 1 - 3 million dollars in delayed entry and exits on trades.
Router vendors will now be able to add this programming code to every router at no extra cost to the customer. Expensive external router monitoring hardware will no longer be needed.
The way a router's performance is measured now is that an external hardware device tracks when a packet arrives and when it leaves and then takes the difference of those times.
Instead of summing the arrival and departure times of all packets traveling through a router, the computer programmers new system randomly splits incoming packets into groups and then adds up arrival and departure times of each of the groups separately. As long as the number of losses is smaller than the number of groups, at least one group will give a good estimate.
Subtracting these two sums (from the groups that have no loss) and dividing by the number of messages provides an estimate of the average delay with very little overhead. In fact, it really is just a series of lightweight counters.
A data center network that has this programming code built in to every router will be able to quickly pinpoint a faulty router that is adding an extra millionth of a second delay or that is losing one packet in ten million. - 23208
The work was presented on August 20th, 2009 at SIGCOMM. The computer programming method was created by a joint task collaboration between the University of California and Purdue University computer programmers.
A delay as short as a millionth of a second can be detected in a router. Even packet loss as rare as one packet in 10 million can be detected with this programming code. This code can run on any router and does not slow the router down.
The programming code is called the Lossy Difference Aggregator. It requires no new hardware and has no performance penalty on the router.
Big brokerage houses will be very interested in this technology. If an institutional investor has a stock trading algorithm that reacts to incoming market data just 100 microseconds earlier than the competition, it can buy millions of shares and push the price of a stock higher before the competition has time to react.
Exchanges like the Nasdaq use very expensive custom hardware designed to track delays in the performance of routers at different key points within a data center network. But these hardware boxes are too expensive to be added to every router within a data center's network. Especially if that data center is running an automated stock trading system. By the time the I.T. Department detects a problem router, it usually costs the company 1 - 3 million dollars in delayed entry and exits on trades.
Router vendors will now be able to add this programming code to every router at no extra cost to the customer. Expensive external router monitoring hardware will no longer be needed.
The way a router's performance is measured now is that an external hardware device tracks when a packet arrives and when it leaves and then takes the difference of those times.
Instead of summing the arrival and departure times of all packets traveling through a router, the computer programmers new system randomly splits incoming packets into groups and then adds up arrival and departure times of each of the groups separately. As long as the number of losses is smaller than the number of groups, at least one group will give a good estimate.
Subtracting these two sums (from the groups that have no loss) and dividing by the number of messages provides an estimate of the average delay with very little overhead. In fact, it really is just a series of lightweight counters.
A data center network that has this programming code built in to every router will be able to quickly pinpoint a faulty router that is adding an extra millionth of a second delay or that is losing one packet in ten million. - 23208
About the Author:
By Lance Jepsen. For free stock trading advice by master stock traders and free stock charting software go to stock trading
posted by X - Men @ 3:43 AM
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