Rick Hunseydar founder of Nanex LLC, a consulting company for the financial markets of the US, recently analyzed on time to trade and what had been worse than even he suspected, although often komnentira structure of markets.
RF Trade companies have 500 microsecond-second advantage on Nasdaq NDAQ, + 1.17% from the use of data than any other company not using price quotes directly from the exchanges, he said.
This analysis became possible thanks to new software changes introduced by the NYSE (who incidentally caused the suspension of important profiles) measured is the difference in speed between the data transmitted by the exchange of their direct emissions and transmitted data processor of information security or SIP, which connects US equity markets through processing and konsoliditsiya all offer
Hunseyd said that any failure in data processing due to the time required for the SIP to consolidate data on all exchanges and turn it into an issue. But its analysis further shows that the time for consolidation is generally not more than 15 microseconds. That leaves 225 microseconds inexplicable time. (Click to play).
It's hard for people to imagine what good can be done in-one microseconds microsecond is equal to one thousandth of a millisecond - but in the new era of e-commerce, fast algorithms and processing of the rapid deal HF companies like Citadel and Virtu You can achieve a lot.
In a speech in April 2014, physicist Greg Berman, who was associate director of the Office of Analysis and Research of the Securities and Exchange Commission, said that recent studies carried out by the Agency are that 39% of all orders They have been canceled within half a second or 500 milliseconds and 23 %% of all orders were canceled within 50 milliseconds. These studies also show that 27% of all transactions are against the orders which have been delayed for 500 milliseconds or less and 19% of all transactions are against the orders which have been zbava for 50 milliseconds or less.
Hunseyd said that a good HFT is even quicker than that. "In about 300 microseconds, they can cancel an order in Carteret from Mahwah Mahwah or from Carteret. From BATS, they can undo / foreground in Mahwah in about 200 microseconds or Carteret in about 150 microseconds."
Berman told the audience in 2014 that "if the rate of failure is much faster than the speed with which can be accessed that data, then I would say quote cancellations are not only fast, but maybe they are too fast . " He went on to say that in view of latency, or delay in routing data to SIP, and then out of the SIP, each machine or retailer ", hoping to answer any exchange of data, fast and slow, So there must be an exchange of own emissions. Data SIP is simply not fast enough. "
Nasdaq and the NYSE each SIP operates on behalf of the US stock exchanges. NYSE also works through SIP of optsionnite exchanges. Information is disseminated reward investors, suppliers of market data as Nanex and others. Exchanges earn hundreds of millions of dollars in fees for processing SIP. Nanex, company Hunsader, which provides research and analytical tools for interpreting the data from SIP and other sources of property.
If the analysis of Hunseyd is vyaren and 500 microseconds delay to give the data makes it hard to compete in high-frequency trading firms. It describes the business model of HFT under these conditions, essentially risk-free. "They know how both sides of the trade will come out before they ever press."
Nasdaq spokesman declined to comment.
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