Tech Vendors Respond to the Low-Latency Challenge
"The product will track every step of latency as that order is received by brokers from the buy side, and as they route the order to the exchanges, and as the exchange acknowledges receipt of the order, and the time the execution venue takes to complete the trade," explains Marie Giangrande, SVP of alliances marketing for Trading Metrics. "The whole trading cycle can be looked at end to end from the time the buy-side customer sends it to the time the order is filled," notes Giangrande.
The technology, according to Giangrande, has the ability to "listen" to copies of the messages as they travel across the network. "It's a nonintrusive approach to tracking latency," she says, adding that customers don't have to load any software onto or extract any data out of their trading applications. TLM can detect latency by trading session, venue, order ID or customer account, Giangrande notes.
The TLM product is deployed on the Endace Ninja Box, an appliance for hardware-based, high-speed data capture and time stamping that attaches to the network switch, explains Steve Gleave, VP, marketing, at Endace Inc. (booth #3606). "We make the high-speed capture cards that ... monitor traffic on the circuits that are delivering the market data and trading messages," he says.
The message traffic is then written to disk so that software applications, such as Trading Metrics' solution, are able to analyze the data, Gleave continues.
"Those observation points are fed to our analytical software," adds Trading Metrics' Giangrande. "It does correlations of messages, and it identifies the fastest and slowest orders, and allows [firms] to configure alerts and alarms."
According to Giangrande, brokers competing for DMA trades from buy-side clients are implementing the product to gauge their performance. First, they develop a benchmark of latency to see how they do during open versus close or triple witching versus normal days, she explains. Next, they set triggers and alerts for when the latency gets out of range to notify the algo-trading desk of a delay. In the future, brokers may dynamically shift order flow to different venues based on latency, Giangrande suggests.
Low-Latency Hardware Is Cool
Many of the breakthroughs in minimizing latency are occurring in hardware. For example, Tervela (booth #1606), a hardware-based messaging network, claims it can process up to 10 million messages per second. "We're looking at the convergence of messaging and networking together to get the fan-out and latency characteristics of the next generation of high-performance infrastructure," says Robert Cramer, Tervela's CEO.
Release 3.0 of the Tervela Messaging Network, which is on display at the SIFMA exhibit, includes a persistence engine as well as the ability to run services like intelligent order routing on the message network, according to Tervela CTO Barry Thompson. Instead of forwarding data to a disk for storage, the persistence engine captures the data flowing across the network and makes it available to applications.
Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio
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