[erlang-questions] trading systems

Kenneth Lundin kenneth.lundin@REDACTED
Thu Oct 1 20:43:35 CEST 2009


Please explain more.
I have also heard about the latency requirements for trading systems
but they are still very diffuse
to me. I got the impression that latency is a big selling point for
trading systems but in reality there might be
other factors that are more limiting and makes the hunting for latency
under a certain level unnecessary.

Please explain more.

A backtest system is not run in real time and there should be no
absolute requirements on latency?
Correct me if I am wrong.

On Thu, Oct 1, 2009 at 6:04 PM, Joel Reymont <joelr1@REDACTED> wrote:
> Kenneth,
> On Oct 1, 2009, at 4:50 PM, Kenneth Lundin wrote:
>> It would be nice if you could explain what the system needs to do and
>> after that
>> why you think it is a problem to store prices in an ETS-table.
>> [...]
>> Why are you talking about mmapped files? Please explain for a novice
>> in trading systems.
> It's high-frequency trading systems I'm talking about. Where's Serge
> Aleynikov [1] when you need him?
> I'd like to process an incoming price quote, make a decision and submit a
> trade order with minimal latency. I know that this is normally done using
> C++ (or OCaml [1]) but I'm wondering how this can be achieved using Erlang.
You have a server supporting some protocol (probably FIX) , the price
quote arrives this way?
The decision is taken at the server?
The trade order is handled in the server or sent to another system?
>From where , to where is the latency measured?
>From your reasoning it seems that the encoding/decoding +
communication latency is not part of
the important latency? In that case why not?

Anyway there must be som latency value that is just good enough and
going below that is just unnecessary?


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