[Beowulf] Deutsche Boerse

Vincent Diepeveen diep at xs4all.nl
Mon Sep 10 03:47:07 PDT 2012


As for Deutsche Boerse, let me not use the word dinosaur as that is  
not appropriate terminology here.

Yes i worked at a few hundreds of meters away from it. Their old  
datacenter used gigabit ethernet and
the total processing time of a single trade was in the many  
milliseconds.

So the maximum amount of trades a second one could do in the same  
instrument a second was pretty
limited. Say 100-200 or so.

Moving their new datacenter to infiniband and newer software  
processing, their processing time probably
will get similar to LSE which is just above a 100 microseconds.

So that is a speedup of factor 100 nearly.

That will also mean that most traders will during those 30 minutes of  
a surge trade a factor 100 more a second.

That also means there will be up to factor 100 more datapoints per  
second that the traders need to store at home and simulate
with.

That also means they simply need factor 10000 more processing power  
at home.

As you might know Monte Carlo, a rather primitive algorithm to  
simulate the financial data, is a searching algorithm.

Search is exponential, so even factor 10k more processing power won't  
handle factor 100 more datapoints.

The branching factor and how far you want to look ahead determines  
the additional exponential processing power you need.

If i were chief of Mellanox or Qlogics, i'd keep my office opened 24  
hours a day for the wave of traders that will want to upgrade.

More large exchanges will soon move towards newer hardware as well.  
Gigabit ethernet was the defacto standard and this
dinosaur manner of doing things is getting replaced exchange by  
exchange now to bigger pipes that can handle more data a second.

That gives an explosion in the calculation power the traders needs,  
and one by one they are realizing it.

Basically they first need to lose a couple of hundreds of millions,  
some larger ones in the billions, prior to realizing what they're doing
wrong - and some still are asleep.

Yet the reality of the market is that companies are pretty healthy  
now, yet they dont' make big profits. Furthermore things could go down
pretty quickly. When i analyzed the local stock exchange i saw that  
nothing is really "a buy". What's cheap is companies that are really  
in trouble.

In this volatile landscape the only thing that really CAN make you  
money now is high frequency trading and nothing else makes great cash.



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