With the recent wild fluctuations in the Commodities markets it is
incredibly important that time delay between any 2 parties (in a
financial transaction) be reduced to a minimum.
Only a few years ago, gold, silver and oil would vary by a few dollars
(at most), intraday and even intraweek.
Lately, we had jumps of a few hundred dollars in a few minutes/seconds.
If a bank makes a few 100+ Mil transactions a day (trust me this is
not even a blip on the radar in some places) those extra microsecs add
up.
Now, one would think mathematically about this and say "it should
average out". Well, no! The market (for some weird reason) has a mind
of it's own and when you start to lose money, it just gets worse and
worse.
Even the best mathematical predictors (computer models and humans)
break down when the market volatility (randomness) goes up.
What does "up" or "down" volatility mean? Depends on the day.
The point is, when the proverbial shit hits the fan, you want to bail
out of your position ASAP. However, the time delay between you and
your overseas party added another 50-1000 microseconds to the closing
time, you just lost another xxxx dollars and in a losing day that adds
up!
I've worked on trading floors for many years and seen people drop dead
after they got closing confirmation!
No wonder most traders are so young.
Have a nice weekend everyone!
Quoting [email protected]:
I just read they were building a new transatlantic cable that will
shave 10uS from the normal 60 or so uS and that for large traders,
1uS represents 100 million $ per year saving/increased revenue.
Didier KO4BB
Sent from my BlackBerry Wireless thingy while I do other things...
-----Original Message-----
From: [email protected]
Sender: [email protected]
Date: Fri, 16 Sep 2011 13:05:40
To: Discussion of precise time and frequency
measurement<[email protected]>; Hal Murray<[email protected]>
Reply-To: Discussion of precise time and frequency measurement
<[email protected]>
Subject: Re: [time-nuts] Google NTP Servers and smearing leap seconds...
You are right.
To be more precise, I should have said that the time sync should be at
least 1 order of magnitude less. In the case of <10us turnaround time,
it is assumed that the timesync is <1us. This is the reason that
everyone uses multiple stratum 1 NTP servers using GPS in their
datacenters.
So the Forex transaction goes like this:
1. (Both parties) Are we in proper sync timewise?
2. (Party 1) I need transaction type x. My timestamp is: xxxx.xxxx. Go.
3. (PArty 2) Confirmed. My timestamp is: yyyy.yyyy. Go.
These timestamps are legal entities and bind both parties to the transaction.
That's why transactions have a data transfer entity in the middle
(Reuters, Bloomberg) which guarantees proper timesync for all involved.
With Reuters in the middle, only the Reuters timestamp (arrival time
and send time) can be trusted.
However, Many times you will see a Reuters machine lose sync and the
UNIX SA's will restart NTP on it. Reuters puts more than one machine
per site for redundancy.
Quoting Hal Murray <[email protected]>:
[email protected] said:
You can forget Wall St. firms and Banks for starters.
They need sub-microsecond accurate timing as some instruments (Forex) are
moving to <10 microsecond latency from order entry to order ack.
10 microsecond latency doesn't say anything about how accurate the time has
to be.
Does anybody have a good URL on the accuracy requirements of banks and/or
stock markets? I expect there are both legal and technical issues.
I'd like
to understand them separately but I won't be surprised if they are
thoroughly
tangled.
--
These are my opinions, not necessarily my employer's. I hate spam.
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