Tag Archives: latency

Rithmic data is affordable for futures traders with no latency on the CME. What about brokerage costs and minimum funding?

Rithmic data is affordable for futures traders with no latency on the CME. What about brokerage costs and minimum funding requirements?

Here are some more details on Rithmic:  from my member:

To use the Rithmic data, you need to have a funded account with the associated brokers. The cost of
Rithmic R|Trader Pro is $25 per month, but need to consider the commission extra for using the
Rithmic data per trade. I don’t know how long you can use the R|Trader pro without trading, I guess
that would depends on individual broker.

Rithmic is CME specific I think, so no spot forex only futures.

 

I will report back once I find out. I am trying to find out minimum funding requirements.

 

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More reasons why Matlab, Simulink, FPGA is the future of high frequency trading with near zero latency?

Hi there

Do read on my sudden discoveries of FPGA to a well seasoned ‘quant researcher’. I also know many HFT operations are using this for hard to reach profits. It seems any other technology is old news now unfortunately. The other big benefit is you house all your algorithm, model, and FPGA code development in one environment called Matlab. It makes life easier as well. So?

–> Join Now <–

Hopefully you have gone through my email yesterday. This could be a very important development as I am looking to shift towards FPGA. I have listed a few postings you should be aware of why I am considering this:
1. Youtube video opinion: Is FPGA useful for HFT with jobs, affordable hardware, and possible Matlab design solution
2. Youtube video opinion on FPGA and Matlab could be the future of trading and HFT
Remember, two immediate benefits include access to my private webinar Dec 18. Also, I will be posting my detailed progress as I go in my membership so they get access. This will not be public info any more.

–> Join now <–

Thanks Bryan

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Is Matlab, Simulink, FPGA the future of high frequency trading with near zero latency?

Hi there
Once again, I am finding various technical challenges with my proposed HFT platform. I think I have found the ultimate end target which is near zero latency. I will only be detailing my process to my QuantLabs.net Premium  Members how to do it. Now is the time as this highly prized technique becomes more valuable to join while it is very affordable.

–> JOIN NOW <–

I have documented my challenges of Matlab Coder and GPU/CUDA technologies. There is a highly powerful solution to all that so read on.

I have been looking at how to implement non supported Matlab Coder toolbox functions as a  replacement for a C++ based HFT platform. Here is what I found:
1. Matlab 2012b Coder Toolbox supported function list is not that impressive for the big bucks they charge
2. My C++ Demo video of using gretl, gsl, and other open source libraries Matlab Code does not support
As with any evolution of learning new technologies, there are unknown limitation with those that you choose. As a result, here are the challenges of using technologies like GPU, OpenGL, and CUDA:
1. Can GPU CUDA be used for real time data analysis for HFT?
2. Bye bye GPGPU and GPU? This Nvidia CUDA vs FPGA debate for real time data HFT systems
So is FPGA the true answer to all these problems? This link below is the most important of all!
1. For HFT: FPGA notes with potential capabilities thanks to Matlab’s Simulink and HDL Code Generation
In tomorrow’s email. I will document the benefits of using this unknown technology and amazing benefits you get with it. In the meantime, start preparing your QuantLabs.net Premium Membership because I will be on the only person documenting it online for the world of trading.
There appears to be a huge demand to learn FPGA in trading as we reached our highest second day in traffic after announcing this discovery. As a they say about typical supply and demand, this training is extremely expensive. My learning appears to be the most affordable way to get to market using FPGA.
I will definitely be talking about the evolution of my learning from clusters to FPGA in my private Premium Membership come Dec 18.

–> JOIN NOW <–

It is still affordable but will be going up substantially first week of January, 2013.
Thanks Bryan

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For HFT: Lowest latency with sockets over APIs? How to build a C++ Linux based open source FIX engine

Hi there

Another opportunity, get in the on the action soon as we are closing out this FREEMIUM stuff soon! In other words, join the QuantLabs.net Premium membership while you can for the upcoming private webinars. .

I went to my Meetup last nite where I always learn lots of things. From what I see, everything is being streamed into trading platforms these days. Also, screw APIs as they becomes bottlenecks with latency so you need to learn how to program sockets.  Interactive Brokers comes to mind with their Trader Workstation  versus their FIX gateway options.
Not only that, many in the past have told me that using R with RCpp/RInside could be a bottleneck. There is a potential with that so it leads me into investigating event rule based programming using a Complext Event Processing engine like Esper. Well, there is none for C++ as Esper is for C# or Java. Too bad but there is an option to stream it in. I posted about that yesterday. There are some options I posted at:
I am investigating 2 options currently.
I also got my backups in place if R does indeed become the bottleneck, I can hint it is most popular part of QuantLabs.net. It also involves a very big expense but you gotta do what you gotta do to get things working. Aahh… the joyous challenges in working on these HFT potential platforms?
Another important element are FIX engines built on top of wonky QuickFIX. I documented my experience on one solution called FIX8
These are the most complicated parts of any HFT platform. As I am building this out, I am realizing the incredible value people are getting being on this list. 

JOIN NOW 

Benefits are listed are here. 
Bryan

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LMAX How to get 100K transactions per second in less than 1 ms latency

LMAX How to get 100K transactions per second in less than 1 ms latency

infoq.com

Martin Thompson and Michael Barker talk about building a HPC financial system handling over 100K tps at less than 1ms latency by having a new approach to infrastructure and software. Some of the tips include: understand the…

 

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That was like 18 months ago, wasn’t it?

 

Yes, this is an intro served for the beginning level folks in the group. Not everyone is this group is at the same level. I am trying to bring everyone up to speed

infoq.com

Martin Thompson and Michael Barker talk about building a HPC financial system handling over 100K tps at less than 1ms latency by having a new approach to infrastructure and software. Some of the tips include: understand the…

 

That was like 18 months ago, wasn’t it?

 

Yes, this is an intro served for the beginning level folks in the group. Not everyone is this group is at the same level. I am trying to bring everyone up to speed

 

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LMAX Disruptor model gets less than 1 ms latency for quant development and HFT? Video using open source Java, JBOSS, PostgresSQL

LMAX Disruptor model gets less than 1 ms latency for quant development and HFT? Video using open source Java, JBOSS, PostgresSQL

LMAX – How to Do 100K TPS at Less than 1ms Latency

Summary
Martin Thompson and Michael Barker talk about building a HPC financial system handling over 100K tps at less than 1ms latency by having a new approach to infrastructure and software. Some of the tips include: understand the platform, model the domain, create a clear separation of concerns, choose data structures wisely, and run business logic on a single thread.

http://www.infoq.com/presentations/LMAXgen

Also, the one thing I like about this talk is how they pre-allocated their buffers to optimize and minimize garbage collection. They put everything in a ‘ring buffer’ to minimize GC and optimize their caching. This may eliminate those who doubt Java because of garbage collection.

This has been open sourced as well http://code.google.com/p/disruptor/

After researching, this may become a game change for my solutions?

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lowest latency data injection to hadoop for quant analytics?

lowest latency data injection to hadoop for quant analytics?

I’ve customer looking for low latency data injection to hadoop . Customer wants to inject 1million records per/sec. Can someone guide me which tools or technology can be used for this kind of data injection to hadoop.

 

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There is a number of solutions for loading data into HDFS: Flume, Scribe, Chukwa. Some teams load data into HBase as fast storage. If data is loaded from a relational database there is a Sqoop.

As usual the devil is in details. What is the size of a record? What are the latency requirements (msec, seconds, minutes)? How many sources of data? Is it a continuous data stream or a batch load?

 

 

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Mellanox Announces World Lowest Latency for High-Frequency Trading


Mellanox Announces World Lowest Latency for High-Frequency Trading

Mellanox’s messaging acceleration software (VMA 6.0) delivers record-breaking performance for socket-based applications, including those used in…

http://www.hftreview.com/pg/newsfeeds/mellanox/item/32491/mellanox-announces-world-lowest-latency-for-highfrequency-trading

An off the shelf IP core and low-cost Xilinx setup already beats their “world record”.

 

would like to know more

 

Maybe STACResearch should more to develop benchmarking in this area

http://www.stacresearch.com/node/10807

 

 

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LMAX has a unique Java disruptor for multithreading latency for quant development. Now C++ and C# versions exists

LMAX has a unique Java disruptor for multithreading latency for quant development. Now C++ and C# versions exists

Here the links you should know about this:

http://stackoverflow.com/questions/6943569/lmaxs-disruptor-pattern-is-there-a-port-to-c

http://www.2robots.com/2011/08/13/a-c-disruptor/

From LMAX In Java:

http://code.google.com/p/disruptor/

C++ version:

http://code.google.com/p/disruptor-cpp/

 

http://www.infoq.com/presentations/LMAX

 

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Quant opinion: What is your latency on CME futures orders?

Quant opinion: What is your latency on CME futures orders?

I’m trading through an API provider (similar to TT X_Trader but someone else), and getting around 11ms between issuing an order and it appearing in the market. Personally I feel this is very slow, as I have a direct CME connection. What latency are other people able to get down to?

time between issuing an order and it appearing in the market should be easily less than 2ms.

 

–0

My last order took about 9 ms.

Should I yell at someone?

 

We see 4 – 8 ms but CME will not even discuss the range of internal latency. Does anyone know even a ballpark latency for the CME internal processing?

We are trying to determine the latency in different areas of our system and without the CME latency benchmark it is difficult to know what we are shooting for (lowest possible latency exclusive of CME).

 

 

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