I was more referring to the usual KPIs like returns, Sharpe ratios etc. - has anyone done simulations of the impact on these depending on latency in an HFT setup? I mean, regular back testing can't do the job as it's sort of an "idealized" environment.
Co-location (colo) for trading software
- Thread starter Allistah
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I was more referring to the usual KPIs like returns, Sharpe ratios etc. - has anyone done simulations of the impact on these depending on latency in an HFT setup? I mean, regular back testing can't do the job as it's sort of an "idealized" environment.
Practically I would avoid classical colocation - there is no need for you to own the equipment which incurs physical issues (pay for replacing discs, ship them etc.
Talk to the data center and most will rent you out a computer and also if you want provide the license under SPLA monthly licensing fees.
Renting has teh serious advantage that the hardware is not your problem. No order, no shipping, no dealing with spare parts and paying the hoster for the time the technician takes. It is all in a monthly cost.
Internet et all is part of colocation. In my case I get 1000gb internet traffic and 2 ethernet ports - one if my computer (i.e. the virtual firewall on it), the second one the KVM subsystem for booting etc. Cabling and all is included in the rent.
In my case rental of month to month - after an initial 12 month period. We now start negotiating with the provider for replacement machines once Haswell comes out - probably under a lease to own agreement or me paying them, but for me it is important that the hardware is "handled" - i wont fly to the USA to replace a hard disc, or want to deal with warranty sending around in the USA.
Now OBVIOUSLY you should not be ignorant about what you work with, and let me sadly shoot you down - you have no clue. See...
It was. Before 2008 R2 came out, which was last year followed by Windows Server 2012.
If you are not even knowing the versions current of the OS you plan to use - better get together with and pay someone who has a clue what is out RIGHT NOW. You just recommended a 4 year old and two generations outdated operating system. Which means you wont know how to install proper drivers, configure and maintain the system etc. Find someone to do that for you.
Whoa, OK, I'm surprised. I learned something new and useful.
It's like Christmas.
I hadn't done a review of new microwaves since Dec but this looks incredibly cheap for quite fast. Looks like they don't do order routing (or priced separately) and there's a lot of * with no explanation. Considering what this stuff used to cost this is pretty much a level playing field.
Thanks, once you mentioned TPM, I read through this wiki link. https://en.wikipedia.org/wiki/Disk_encryption.
Your point is well-taken in the context of a retail trader. My question is how does a well known profitable institution say GETCO defends their strategies? They are not anonymous but rather well known to make billions every year. Or say how a smaller outfit like garachen's defend their IP from being compromised from co-located servers?
They likely host with the exchange in this case - and if you can not trust those employees, you know....
Better not trade. Also systems like that can not go down and it is HARD to steal something without turning off.Plus you get someone trusted in and LOCK THE CABINET. Aurora rents yo whole cabinets, then you lock them - access only for your technician. Online checking. Stuff like that.
Quote from NetTecture:
They likely host with the exchange in this case - and if you can not trust those employees, you know....
Plus you get someone trusted in and LOCK THE CABINET. Aurora rents yo whole cabinets, then you lock them - access only for your technician. Online checking. Stuff like that.
Thanks Net.
Garachen - I am curious of the protection measures your firm takes to protect your IP.
NetTecture, thank you.
I agree, I think the cost of colocation actually might in some cases be offsetted by keeping your house computer's hardware up-to-date
ps- you crack me up lol
here's another noob question; anyone know where the largest order matching etf/equities exchanges are? NJ??
I agree, I think the cost of colocation actually might in some cases be offsetted by keeping your house computer's hardware up-to-date
ps- you crack me up lol
here's another noob question; anyone know where the largest order matching etf/equities exchanges are? NJ??
The biggest protection is complexity. The code that makes everything work properly is quite tied to the hardware. Lots of hand tweaked pieces in the Linux kernal, crazy network card drivers, some custom written Assembly. On and on.
Basically, you'd need someone smart enough to write it all in the first place in order to transport it to a new environment and have any confidence that it would work.
95% of the work is speed. Only 5% is strategy writing. Most strategies are super simple.
I know of a case where the owner of a large well-known company fired a small team of 4 who had all their own software and were making 10+M/year. Even with all the software and servers left intact he couldn't get it to run - had 30 programmers trying - it just sits there now.
from experience, well... what we do ...
we own the servers, we rent the floor space(cages) or racks... those are locked... access to the facilities is limited to (and I mean this) like 3 people within the LLT team... they are escorted in, and out... the facilities are usually CCTV protected, everything recorded... I know our ITRM reviews the tapes weekly...
on the servers, instrumentation on the iLOM side alerts when anything is removed/down/taken offline/etc... that goes to the NOC, gets logged into ITSM, tickets are opened, etc... so there is an audit trail for anything and everything...
firewall from the outside, 2 layers... but flat network(arista) once you get in... Feed A/B for the market data (solarflares)... separate network (Redundant as well) to the OE side.. (depending on server function really)...
every activity on the server gets logged... locally and remotely at the same time... every shell session, etc... there is also two factor auth to get into the server (remotely that is)...
to make it simple... you have to trust the admins touching the systems... usually the co-lo staff doesnt touch them... everything is redundant within the servers and they are also redundant themselves in different cabinets, etc...
the op we have might be different... the LLT org is at pretty much every venue out there depending on the exchange and depending on what LOB are out there they also have a given number of servers, etc... so usually there are more than 3-4 racks onsite for us...
in any event, the code itself is usually compiled and obsfuscated, broken down into libraries that contain the GAT strategies, and components that each do something, etc...
overall, hard to steal... and if you are the admin... you still need the infra to run it... so unless you have deep pockets, hard to do...