I am a former high-frequency trader. For a few
wonderful years I led a group of brilliant engineers
and mathematicians, and together we traded the
electronic marketplaces and pushed systems to the
edge of capability.
High-frequency trading (HFT) systems operate
and evolve at astounding speeds. Moore’s Law is of
little comfort when compared with the exponential
increase in market-data rates and the logarithmic
decay in demanded latency. As an example, during a
period of six months the requirement for a functional
trading system went from a “tick-to-trade” latency of
250 microseconds to 50. To put that in perspective,
50 microseconds is the access latency for a modern
I am also a former and current developer of
exchange technology. The exchange is the focal point
of HFT, where electronic buyers and sellers match in a
complex web of systems and networks to set the
price for assets around the world.
I would argue the computational chal-
lenges of developing and maintaining
a competitive advantage in the ex-
change business are among the most
difficult in computer science, and
specifically systems programming.
To give you a feeling of scale, our cur-
rent exchange technology is bench-
marked in nightly builds to run a se-
ries of simulated market data feeds at
one million messages per second, as
a unit test. There is no such thing as
premature optimization in exchange
development, as every cycle counts.
The goal of this article is to introduce
the problems on both sides of the wire.
Article development led by
A special section on high-frequency trading
and exchange technology.
BY JACoB LoVeLess