The goal of this article is to introduce the problems on both sides of the wire. Today a big Wall Street trader is more likely to have a Ph.D from Caltech or MIT than an MBA from Harvard or Yale. The reality is that automated trading is the new marketplace, accounting for an estimated 77 percent of the volume of transactions in the U.K. market and 73 percent in the U.S. market. As a community, it’s starting to push the limits of physics. Today it is possible to buy a custom ASIC application- specific integrated circuit to parse market data and send executions in 740 nanoseconds or 0.00074 milliseconds.4 Human reaction time to a visual stimulus is around 190 million nanoseconds.
By 2005, most shops were also modifying kernels and/or running realtime kernels. I left HFT in late 2005 and returned in 2009, only to discover that the world was approaching absurdity: by 2009 we were required to operate well below the one-millisecond barrier, and were looking at tick-to-trade requirements of 250 microseconds. Tick to trade is the time it takes to:
1. Receive a packet at the network interface.
2. Process the packet and run through the business logic of trading.
3. Send a trade packet back out on the network interface.
To do this, we used realtime kernels with bypass drivers (either InfiniBand or via Solarflare’s