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I think I want to take advantage of this opportunity to engage in a
minor rant. First of all, I should note that I am not a "trader" as you
folks understand the term. I don't have either the capital or the time
to do this sort of trading, nor do I think I could handle the emotional
part of the game. I lived in Las Vegas for nine years, so I've seen the
symptoms.
What I do for a living is computer performance analysis. Along with the
art and the obvious required skills in interpreting data, there is a
great deal of mathematics and statistics involved. Trading and computer
performance analysis have a great deal of common mathematics. And the
stories I am hearing from Earl and others on this mailing list and in
some of the Usenet groups lead me to believe that the current rage for
electronic trading, especially browser clients and Windows N T or UN IX
servers, presents us with a classic example of the sorts of things that
can happen to you if you don't get your computer performance analysis
and capacity planning right.
The math is pretty hairy, but fortunately some pretty simple pictures
tell the story, and when I figure out how to post them here I will. But
the basic concepts are throughput -- the number of transactions a system
is processing in a given amount of time -- and response time -- the time
from when the client submits a request to the server to when the client
receives the response back from the server. And *any* system has a
*finite* capacity in transactions per second. An idle system (no
transactions) has a very fast response time. Add some load -- increase
the throughput -- and the response time gets longer. Exceed the
capacity of the system -- increase the throughput beyond a certain
point -- and the response time becomes essentially infinte. The system
can't handle the transactions, and it either ignores them, or just
collapses in a ragged heap.
What Earl is describing, and what I've heard about the E-trade problems
and to some extent certain events during the 1987 stock market crash
sounds to me very much like what happens when you try to pump 1000
transactions per second through a system that only has a capacity of 100
transactions per second. I can't be sure, of course, without looking at
NT PerfMon or UNIX 'sar' traces, but the educated guess of this
performance analyst is that a number of the computer systems that
high-freqency traders depend on are operating dangerously near their
capacity limits. So on top of all the other risks of high-frequency
trading, you should be aware that all computers have a finite capacity
and that bad things can happen to you when that capacity is exceeded.
--
M. Edward Borasky znmeb@xxxxxxxxxxxx http://www.teleport.com/~znmeb
If God had meant carrots to be eaten cooked, He would have given rabbits
fire.
-----Original Message-----
From: Earl Adamy <eadamy@xxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Date: Tuesday, February 09, 1999 08:54
Subject: CL_Signal OnLine & TimberHill down
>One of those mornings where everything which can go wrong does.
TimberHill
>price feed went down around 830 mountain - if customers noticed no
price
>changes coming in that was fine, otherwise tough s__t for some 15+
minutes
>until they sent out a bulletin about 5 minutes before they got the feed
back
>up. Next Signal Online feeds went down and now they won't stay down nor
will
>they stay up.
>
>Earl
>
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