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Most of the overnight traders seem to congregate in the stocks (and options)
rather than the futures so I would make some distinction there. Generally,
the stock exchanges seem to have high performance systems with capacities
close to an order of magnitude larger than average daily volume and
communications loads are relatively concentrated between exchanges and
clearing firms. The stock brokers, on the other hand, appear to have
reasonably solid order systems but face constant challenges in both inbound
communications and computing capacity due to the sheer number of people who
are convinced they can make untold riches. Most of these traders are
gamblers, believe all the crap put out by the talking head, have absolutely
no understanding of the market itself, and will disappear with the bull
market.
The futures business is somewhat, but not entirely different. There have
always been those attracted to futures to make a quick buck using high
leverage and 95+% of them disappear after turning over their money to the
professionals; however their numbers pale in comparison to the stock
traders. The major difference systems wise, is that neither the exchanges
nor the brokers possess computer and communications systems which provide a
reasonable degree of reliability. I have a huge folder full of e-mails from
LeoWeb, the largest of the online order systems, detailing downtime in all
parts of the system. The TimberHill system is more reliable than most
because it bypasses the exchange systems entirely, however it has its
problems - yesterday's problems were with the real-time price feed, not the
order system as I was still able to execute orders in real-time. There is a
reason that those of us who trade smaller lots persist in using these
systems (I do have backup) and that is because when the systems do work, the
playing field is more level in execution time with large lot traders who are
provided direct floor phone access. There are also psychological reasons
for trading electronically.
I suspect you are right on the money when it comes to Signal Online as it
serves traders in stocks, futures and options and every trader requires an
internet connection. Quite frankly, the internet is the least reliable of
all delivery mechanisms and I would not be using it if I had a better
alternative. On the other hand, Ensign is capable of requesting and using
tick infill when connections are restored so I'm not down for the day if
I've lost a batch of ticks for whatever reason.
There will be untold numbers of computers and communications switches which
will go begging for a home when the bull dies!
Earl
-----Original Message-----
From: M. Edward Borasky <znmeb@xxxxxxxxxxxx>
To: eadamy@xxxxxxxxxx <eadamy@xxxxxxxxxx>; RealTraders Discussion Group
<realtraders@xxxxxxxxxxxxxx>
Date: Tuesday, February 09, 1999 11:11 PM
Subject: Re: CL_Signal OnLine & TimberHill down
>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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