1 Algo Generates 4% of Quotes
October 9, 2012
A single program placed 4% of all quotes last week -- and canceled them all, according to market data aggregator Nanex. HFT Technologies said two new applications are providing faster access to prices and orders at CME and its partner exchanges. Spread Networks said its fiber service between Chicago and New York now operates at a roundtrip speed of 12.98 microseconds.
NANEX.NET: A single algorithm placed 4% of all quotes last week. And canceled them all, according to market data aggregator Nanex. The program placed orders in 25-millisecond bursts, producing quotes onabout 500 stocks. But it never made a single trade and ended its activity at about 10:30 a.m. Friday.
The single program accounted for about 10 percent of the bandwidth that is allowed for trading on any given day, according to Nanex.
Nanex developer Eric Hunsader said this type of bandwidth usage needs to be addressed by regulators, because the “hogging” takes away bandwidth from legitimate trading.
HFT TECHNOLOGIES: The firm said it released two new applications that give developers and traders of algorithmic trading strategies faster access to prices and orders at CME and its partner exchanges.
Both the Ultra Low Latency Price Feed Handler and the FIX Order Gateway are CME-certified and are available now for all major developer platforms.
“Virtually all operations have been clocked under 10 microseconds,” said Tony Verga, CEO, HFT Technologies. “Many have been completed under 6 microseconds, and we are continually working on ways to achieve even lower latencies.”
In addition to faster time to market, the firm’s application programming interface uses fewer computing cycles, whether installed on Windows C++, Linux ,or .NET platforms.
The applications are hosted at CME's Aurora Data Center.
SPREAD NETWORKS: The communications company said its flagship Ultra Low Latency dark fiber service between Chicago and New York now operates at a roundtrip speed of 12.98 microseconds. That is a one-microsecond improvement from the previous 13.1-microsecond rate.
The improvement is the “result of continuous route improvements that the company has undertaken since going live in August 2010,’’ the company said.
Spread’s wavelength service will also gain speed. Scheduled for implementation on October 12, the ULL Wavelength service will achieve a round-trip speed below 14.1 microseconds.
Spread recently deployed technology that can handle 100 billion bits of data a second on a single circuit.