Market Data Maelstrom
Immense market data volumes and a relentless latency race to zero has created plenty of challenges for high (and low) frequency trading firms as they attempt to trade modern markets. Not least of which being the need to be able to spot faults at trading speed. Bob Giffords talks to experts from leading buy- and sell-side firms to explore the world of FPGAs, microsecond timestampting, clustered trading engines and more...
"Five years ago market data delivery platforms were one to three milliseconds through the ticker plant,"
The speed and volume of market data has been ratcheting up year on year. "Five years ago market data delivery platforms were one to three milliseconds through the ticker plant," recalls Tony Kingsnorth, director of operations at Fixnetix. "Today with some of the legacy architectures they are still around 1 millisecond. Meanwhile, with some FPGA solutions - albeit with little or no data enrichment - we are heading for under ten microseconds. This is a huge gap."
Data volumes have similarly grown despite often thin markets. Hirander Misra, co-founder and chief executive of Algo Technologies, notes that collectively across all the major equity exchanges in Europe we were seeing rates of 5,000 to 10,000 messages per second before MiFID went live back in 2007. "Now Chi-X alone can peak at over 80,000 messages per second and we're seeing total market peaks approaching 150,000," he adds. "With LSE's Millennium and Chi-X both able to handle more than the whole market we could soon see huge growth. If some of the MTFs start offering single stock options we could see a data explosion in Europe."
In the US the rates have, of course, already exploded, with total equity, options and futures markets topping 4 million messages per second according to marketdatapeaks.com. "Recently OPRA reached 2.1 million messages per second and continues to climb," says Michael Tobin, managing director at Knight Capital, responsible for algorithms, DMA, EMS, OMS and listed derivatives technology. "We maintain capacity headroom up to 8 to 10 million messages per second to cover the millisecond bursts. Now we worry less about volumes, and more about latency and local bottlenecks. Equities also continue to hit new peaks. Volumes on Nasdaq TotalView alone for example have risen rapidly to over 450,000 messages per second."
Indeed speed and scale are linked. "As trading platforms improve the data feeds get spikier," says Nick Morrison, head of market data technology at Nomura. "The exchanges are moving to 10gig Ethernet internally and gigabit to the colo centres. Eventually we'll see 10gig to the trading engines as well. The microbursts will inevitably just become higher and more frequent."
"You need lots of headroom to cope with spikes," insists Kingsnorth, "at least.....
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