How should non-HFT algo traders optimize their data handling capability?

(Last Updated On: August 17, 2011)

How should non-HFT algo traders optimize their data handling capability?
With exchanges increasing their trading engine capacity, the frontend and data pipes of non-HFT traders are increasingly being choked by the vast amount of data grnerated by high frequency quotes. What is considered optimum data feed for non-HFT algo traders?
—–
the issue you’re addressing sounds a bit farfetched. Could you elaborate on your understanding of what is HFT and what is non-HFT? Normally I don’t see any problems with retail datafeeds for anything which tolerates a latency of 500+ ms.
—–
I came across a case which required a new trading instrument to be added to the trading system. There was a pipe size constraint for the price data. A recommendation was to remove another instrument of comparable data intensity so that the new instrument could be added. I wonder there are alternative solutions, eg., by way of data optimization, instead of a one-for-one replacement,
—–
First, which kind of pipes do you refer to? Second, do you really need to use pipes if you are into non-HFT? I highly doubt that you need unfiltered tick data with the least latency possible. Third, do you need order book information and if yes, which depth? How many instruments do you use, and how many exchanges do you need to be connected to simultaneously? Also I would repeat my request to give your definition of “non-HFT”. In other words, let’s first understand your demand for data and then compare it with the current load.
—-
The data pipe refers to the conduit from the exchange to the server of the market participant. It involves a leased line between the two ends. The leased line is dedicated to one exchange group, which consists of several exchanges. Data are taken from the exchanges without filtering. As you have rightly mentioned, the lowest latency should not be a requiremenr. There are a good number of instruments to access to, as there are quite a number of traders who each has his own set of requirements. Order book depth is 5 or 10 levels depending on the exchange. For this discussion, non-HFT may be taken as anything between click trading to algo trading that generates not more than 500 order messages per instrument per day by a trader.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
This entry was posted in HFT High Frequency Trading and tagged , , , on by .

About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs