Re: Low latency High Frequency Trading

2012-11-15 Thread Nicholas Marriott
Your first paragraph is not really true. For financial data UDP multicast is more efficient and can be considerably faster than TCP, even if you need to check integrity (which isn't always the case). Most market data feeds are UDP multicast for a reason. FPGAs can be very fast but they do have

Re: Low latency High Frequency Trading

2012-11-11 Thread Florenz Kley
On 10 Nov 2012, at 00:56, Ryan McBride mcbr...@openbsd.org wrote: http://www.brocade.com/solutions-technology/enterprise/application-delivery/fix-financial-applications/index.page From the product info: Client identity may be based on a choice of Layer 3 (IP), Layer 4 (TCP Port) and Layer 7

Re: Low latency High Frequency Trading

2012-11-11 Thread Nico Kadel-Garcia
On Thu, Nov 8, 2012 at 12:58 PM, Ariel Burbaickij ariel.burbaic...@gmail.com wrote: If money is not a problem -- go buy high-trading on the chip solutions and have sub-microsecond resolution. http://lmgtfy.com/?q=high+frequency+trading+FPGA Seconded as a much more viable approach. The

Re: Low latency High Frequency Trading

2012-11-09 Thread Diana Eichert
On Fri, 9 Nov 2012, Tomas Bodzar wrote: On Thu, Nov 8, 2012 at 8:55 PM, Diana Eichert deich...@wrench.com wrote: take a look at Tilera TileGX boards (you better hire a s/w developer.) Some company is already working on that http://mail-index.netbsd.org/netbsd-users/2012/10/31/msg011803.html

Re: Low latency High Frequency Trading

2012-11-09 Thread Ryan McBride
My immediate reaction is don't do it, but on the other hand I've never known people for whom 'money is not a problem' to shy away from something because of boring concerns like security. So... Software: Basically, to do this correctly you need to parse all the packets running in both directions

Re: Low latency High Frequency Trading

2012-11-09 Thread Ariel Burbaickij
What is the rationale behind this statement: ... - CPU: maximum SINGLE CORE turbo speed. Disable the other cores, they're not helping you at all...? /wbr Ariel Burbaickij On Fri, Nov 9, 2012 at 3:47 PM, Ryan McBride mcbr...@openbsd.org wrote: My immediate reaction is don't do it, but on

Re: Low latency High Frequency Trading

2012-11-09 Thread Ryan McBride
On Fri, Nov 09, 2012 at 04:14:28PM +0100, Ariel Burbaickij wrote: What is the rationale behind this statement: ... - CPU: maximum SINGLE CORE turbo speed. Disable the other cores, they're not helping you at all...? OpenBSD doesn't run multiprocessor inside the kernel, so SMP provides no

Re: Low latency High Frequency Trading

2012-11-09 Thread Ariel Burbaickij
Ah OK, as several other architectures/OSes were thrown around in this thread I did not immediately understand that you were talking about specifically OpenBSD context. Thank you for clarification. On Fri, Nov 9, 2012 at 4:19 PM, Ryan McBride mcbr...@openbsd.org wrote: On Fri, Nov 09, 2012 at

Re: Low latency High Frequency Trading

2012-11-09 Thread Christian Weisgerber
Ryan McBride mcbr...@openbsd.org wrote: Also, remember to use the shortest patch cables possible, to reduce signal propagation latency. More seriously, is there an appreciable latency difference between copper and fiber PHYs? -- Christian naddy Weisgerber

Re: Low latency High Frequency Trading

2012-11-09 Thread Dan Shechter
Hi Ryan, Thanks for the detailed answer. I can do some assumptions regarding the TCP flow and its origins. Its coming from the stock exchange over IPSEC gateways over leased lines. I think I can trust the origin of the flow. At least I can trust it as much as the off the shelf software does.

Re: Low latency High Frequency Trading

2012-11-09 Thread Ryan McBride
On Fri, Nov 09, 2012 at 06:27:06PM +0200, Dan Shechter wrote: I can do some assumptions regarding the TCP flow and its origins. Its coming from the stock exchange over IPSEC gateways over leased lines. I think I can trust the origin of the flow. At least I can trust it as much as the off the

Low latency High Frequency Trading

2012-11-08 Thread Dan Shechter
Hi All, current situation A windows 2008 server is receiving TCP traffic from a stock exchange and sends it, almost as is, using UDP multicast to automated high frequancy traders. StockExchange --TCP--- windows2008 ---MCAST-UDP On average, the time it take to do the TCP to UDP translation,

Re: Low latency High Frequency Trading

2012-11-08 Thread Johan Beisser
On Thu, Nov 8, 2012 at 4:12 AM, Dan Shechter dans...@gmail.com wrote: Hi All, current situation A windows 2008 server is receiving TCP traffic from a stock exchange and sends it, almost as is, using UDP multicast to automated high frequancy traders. StockExchange --TCP--- windows2008

Re: Low latency High Frequency Trading

2012-11-08 Thread Ariel Burbaickij
If money is not a problem -- go buy high-trading on the chip solutions and have sub-microsecond resolution. http://lmgtfy.com/?q=high+frequency+trading+FPGA On Thu, Nov 8, 2012 at 6:36 PM, Johan Beisser j...@caustic.org wrote: On Thu, Nov 8, 2012 at 4:12 AM, Dan Shechter dans...@gmail.com

Re: Low latency High Frequency Trading

2012-11-08 Thread Johan Beisser
On Thu, Nov 8, 2012 at 9:58 AM, Ariel Burbaickij ariel.burbaic...@gmail.com wrote: If money is not a problem -- go buy high-trading on the chip solutions and have sub-microsecond resolution. http://lmgtfy.com/?q=high+frequency+trading+FPGA I'd love to see PF offloading on to something like

Re: Low latency High Frequency Trading

2012-11-08 Thread Ariel Burbaickij
I know that you have an impression I am getting caustic :-) but these ideas are pretty obvious once money is not a problem field, so: http://en.wikipedia.org/wiki/Netronome IXPs on steroids. On Thu, Nov 8, 2012 at 7:01 PM, Johan Beisser j...@caustic.org wrote: On Thu, Nov 8, 2012 at 9:58

Re: Low latency High Frequency Trading

2012-11-08 Thread Dan Shechter
When I was saying money is not a problem, it was related to server component costs... :) Best regards, Dan On Thu, Nov 8, 2012 at 8:07 PM, Ariel Burbaickij ariel.burbaic...@gmail.com wrote: I know that you have an impression I am getting caustic :-) but these ideas are pretty obvious once

Re: Low latency High Frequency Trading

2012-11-08 Thread Dan Shechter
For unrelated reasons, I can't directly receive the TCP stream. I must copy the TCP data from a running stream to another server. I can use tap or just port-mirroring on the switch. So I can't use any network stack or leverage any offloading. I also need to modify the received data, and add few

Re: Low latency High Frequency Trading

2012-11-08 Thread Ariel Burbaickij
They are all available with PCI Express interface, no worries, so you will be able of plug them straight into your server. Alternatively, how about going for the second option of making living in this business :-) ? On Thu, Nov 8, 2012 at 7:09 PM, Dan Shechter dans...@gmail.com wrote: When I

Re: Low latency High Frequency Trading

2012-11-08 Thread Diana Eichert
take a look at Tilera TileGX boards (you better hire a s/w developer.)

Re: Low latency High Frequency Trading

2012-11-08 Thread William Ahern
On Thu, Nov 08, 2012 at 08:08:05PM +0200, Dan Shechter wrote: For unrelated reasons, I can't directly receive the TCP stream. I must copy the TCP data from a running stream to another server. I can use tap or just port-mirroring on the switch. So I can't use any network stack or leverage any

Re: Low latency High Frequency Trading

2012-11-08 Thread Tomas Bodzar
On Thu, Nov 8, 2012 at 8:55 PM, Diana Eichert deich...@wrench.com wrote: take a look at Tilera TileGX boards (you better hire a s/w developer.) Some company is already working on that http://mail-index.netbsd.org/netbsd-users/2012/10/31/msg011803.html