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Fri, Sep 16, 2011 11:42 PM

Bring back the transaction tax and I suspect these timing issues will go away.

I recall reading the London exchange was experimenting with linux and mysql, supposedly faster than what they were using.

-----Original Message-----
From: xaos@darksmile.net
Sender: time-nuts-bounces@febo.com
Date: Fri, 16 Sep 2011 16:59:01
To: time-nuts@febo.com
Reply-To: Discussion of precise time and frequency measurement
time-nuts@febo.com
Subject: Re: [time-nuts] Google NTP Servers and smearing leap seconds...

With the recent wild fluctuations in the Commodities markets it is
incredibly important that time delay between any 2 parties (in a
financial transaction) be reduced to a minimum.

Only a few years ago, gold, silver and oil would vary by a few dollars
(at most), intraday and even intraweek.

Lately, we had jumps of a few hundred dollars in a few minutes/seconds.

If a bank makes a few 100+ Mil transactions a day (trust me this is
not even a blip on the radar in some places) those extra microsecs add
up.

Now, one would think mathematically about this and say "it should
average out". Well, no! The market (for some weird reason) has a mind
of it's own and when you start to lose money, it just gets worse and
worse.

Even the best mathematical predictors (computer models and humans)
break down when the market volatility (randomness) goes up.

What does "up" or "down" volatility mean? Depends on the day.

The point is, when the proverbial shit hits the fan, you want to bail
out of your position ASAP. However, the time delay between you and
your overseas party added another 50-1000 microseconds to the closing
time, you just lost another xxxx dollars and in a losing day that adds
up!

I've worked on trading floors for many years and seen people drop dead
after they got closing confirmation!

No wonder most traders are so young.

Have a nice weekend everyone!

Quoting shalimr9@gmail.com:

I just read they were building a new transatlantic cable that will
shave 10uS from the normal 60 or so uS and that for large traders,
1uS represents 100 million $ per year saving/increased revenue.

Didier KO4BB

Sent from my BlackBerry Wireless thingy while I do other things...

-----Original Message-----
From: xaos@darksmile.net
Sender: time-nuts-bounces@febo.com
Date: Fri, 16 Sep 2011 13:05:40
To: Discussion of precise time and frequency
measurementtime-nuts@febo.com; Hal Murrayhmurray@megapathdsl.net
Reply-To: Discussion of precise time and frequency measurement
time-nuts@febo.com
Subject: Re: [time-nuts] Google NTP Servers and smearing leap seconds...

You are right.

To be more precise, I should have said that the time sync should be at
least 1 order of magnitude less. In the case of <10us turnaround time,
it is assumed that the timesync is <1us. This is the reason that
everyone uses multiple stratum 1 NTP servers using GPS in their
datacenters.

So the Forex transaction goes like this:

(Both parties) Are we in proper sync timewise?
(Party 1) I need transaction type x. My timestamp is: xxxx.xxxx. Go.
(PArty 2) Confirmed. My timestamp is: yyyy.yyyy. Go.

These timestamps are legal entities and bind both parties to the transaction.
That's why transactions have a data transfer entity in the middle
(Reuters, Bloomberg) which guarantees proper timesync for all involved.

With Reuters in the middle, only the Reuters timestamp (arrival time
and send time) can be trusted.

However, Many times you will see a Reuters machine lose sync and the
UNIX SA's will restart NTP on it. Reuters puts more than one machine
per site for redundancy.

Quoting Hal Murray hmurray@megapathdsl.net:

xaos@darksmile.net said:

You can forget Wall St. firms and Banks for starters.

They need sub-microsecond accurate timing as some instruments (Forex) are
moving to <10 microsecond latency from order entry to order ack.

10 microsecond latency doesn't say anything about how accurate the time has
to be.

Does anybody have a good URL on the accuracy requirements of banks and/or
stock markets? I expect there are both legal and technical issues.
I'd like
to understand them separately but I won't be surprised if they are
thoroughly
tangled.

--
These are my opinions, not necessarily my employer's. I hate spam.

time-nuts mailing list -- time-nuts@febo.com
To unsubscribe, go to
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Bring back the transaction tax and I suspect these timing issues will go away. I recall reading the London exchange was experimenting with linux and mysql, supposedly faster than what they were using. -----Original Message----- From: xaos@darksmile.net Sender: time-nuts-bounces@febo.com Date: Fri, 16 Sep 2011 16:59:01 To: <time-nuts@febo.com> Reply-To: Discussion of precise time and frequency measurement <time-nuts@febo.com> Subject: Re: [time-nuts] Google NTP Servers and smearing leap seconds... With the recent wild fluctuations in the Commodities markets it is incredibly important that time delay between any 2 parties (in a financial transaction) be reduced to a minimum. Only a few years ago, gold, silver and oil would vary by a few dollars (at most), intraday and even intraweek. Lately, we had jumps of a few hundred dollars in a few minutes/seconds. If a bank makes a few 100+ Mil transactions a day (trust me this is not even a blip on the radar in some places) those extra microsecs add up. Now, one would think mathematically about this and say "it should average out". Well, no! The market (for some weird reason) has a mind of it's own and when you start to lose money, it just gets worse and worse. Even the best mathematical predictors (computer models and humans) break down when the market volatility (randomness) goes up. What does "up" or "down" volatility mean? Depends on the day. The point is, when the proverbial shit hits the fan, you want to bail out of your position ASAP. However, the time delay between you and your overseas party added another 50-1000 microseconds to the closing time, you just lost another xxxx dollars and in a losing day that adds up! I've worked on trading floors for many years and seen people drop dead after they got closing confirmation! No wonder most traders are so young. Have a nice weekend everyone! Quoting shalimr9@gmail.com: > I just read they were building a new transatlantic cable that will > shave 10uS from the normal 60 or so uS and that for large traders, > 1uS represents 100 million $ per year saving/increased revenue. > > Didier KO4BB > > Sent from my BlackBerry Wireless thingy while I do other things... > > -----Original Message----- > From: xaos@darksmile.net > Sender: time-nuts-bounces@febo.com > Date: Fri, 16 Sep 2011 13:05:40 > To: Discussion of precise time and frequency > measurement<time-nuts@febo.com>; Hal Murray<hmurray@megapathdsl.net> > Reply-To: Discussion of precise time and frequency measurement > <time-nuts@febo.com> > Subject: Re: [time-nuts] Google NTP Servers and smearing leap seconds... > > You are right. > > To be more precise, I should have said that the time sync should be at > least 1 order of magnitude less. In the case of <10us turnaround time, > it is assumed that the timesync is <1us. This is the reason that > everyone uses multiple stratum 1 NTP servers using GPS in their > datacenters. > > So the Forex transaction goes like this: > > 1. (Both parties) Are we in proper sync timewise? > 2. (Party 1) I need transaction type x. My timestamp is: xxxx.xxxx. Go. > 3. (PArty 2) Confirmed. My timestamp is: yyyy.yyyy. Go. > > These timestamps are legal entities and bind both parties to the transaction. > That's why transactions have a data transfer entity in the middle > (Reuters, Bloomberg) which guarantees proper timesync for all involved. > > With Reuters in the middle, only the Reuters timestamp (arrival time > and send time) can be trusted. > > However, Many times you will see a Reuters machine lose sync and the > UNIX SA's will restart NTP on it. Reuters puts more than one machine > per site for redundancy. > > Quoting Hal Murray <hmurray@megapathdsl.net>: > >> >> xaos@darksmile.net said: >>> You can forget Wall St. firms and Banks for starters. >> >>> They need sub-microsecond accurate timing as some instruments (Forex) are >>> moving to <10 microsecond latency from order entry to order ack. >> >> 10 microsecond latency doesn't say anything about how accurate the time has >> to be. >> >> Does anybody have a good URL on the accuracy requirements of banks and/or >> stock markets? I expect there are both legal and technical issues. >> I'd like >> to understand them separately but I won't be surprised if they are >> thoroughly >> tangled. >> >> -- >> These are my opinions, not necessarily my employer's. I hate spam. >> >> >> >> >> _______________________________________________ >> time-nuts mailing list -- time-nuts@febo.com >> To unsubscribe, go to >> https://www.febo.com/cgi-bin/mailman/listinfo/time-nuts >> and follow the instructions there. >> > > > > > _______________________________________________ > time-nuts mailing list -- time-nuts@febo.com > To unsubscribe, go to https://www.febo.com/cgi-bin/mailman/listinfo/time-nuts > and follow the instructions there. > _______________________________________________ > time-nuts mailing list -- time-nuts@febo.com > To unsubscribe, go to https://www.febo.com/cgi-bin/mailman/listinfo/time-nuts > and follow the instructions there. > _______________________________________________ time-nuts mailing list -- time-nuts@febo.com To unsubscribe, go to https://www.febo.com/cgi-bin/mailman/listinfo/time-nuts and follow the instructions there.

BP

Bob Paddock

Fri, Sep 16, 2011 11:50 PM

On Fri, Sep 16, 2011 at 2:36 PM, Hal Murray hmurray@megapathdsl.net wrote:

xaos@darksmile.net said:

You can forget Wall St. firms and Banks for starters.

They need sub-microsecond accurate timing as some instruments (Forex) are
moving to <10 microsecond latency from order entry to order ack.

10 microsecond latency doesn't say anything about how accurate the time has
to be.

Does anybody have a good URL on the accuracy requirements of banks and/or
stock markets? I expect there are both legal and technical issues. I'd like
to understand them separately

There are some big names in Banking and Stocks behind the
Advanced Message Queuing Protocol (AMQP):

http://www.amqp.org/confluence/display/AMQP/About+AMQP

http://www.oasis-open.org/committees/tc_home.php?wg_abbrev=amqp

http://amqp.org/resources/financial-services

Actually Time Nut Grade measurements are not addressed at this level
to my knowledge.

  <p><b>Round Trip</b>: The term round trip refers to the
  process of a peer sending a command to its partner and
  receiving confirmation that the command is complete. Round
  trips are necessary for synchronization of world views,
  however, it is not necessary for a client to wait and do
  nothing while a round trip occurs or only deal with a single
  round trip at a time.</p>
</li>

<li>
  <p><b>Round Trip Time (RTT)</b>: The term RTT refers to the
  time taken to complete a round trip. This is described with
  the following formula:</p>
  <pre>

RTT = 2*latency_network + latency_processing
</pre>

  <p>Note that RTT at the execution layer differs from RTT at
  the network layer. At the network layer the processing
  latency is zero resulting in an RTT of twice the network
  latency. At the execution layer the processing time becomes
  significant if, for example, processing the command requires
  sending data to disk. This would be the case with durable
  messages and the RTT would then include the Broker's disk
  latency.</p>
</li>

but I won't be surprised if they are thoroughly
tangled.

http://www.imatix.com/articles:whats-wrong-with-amqp

There is also the even more obscure 0MQ:

http://www.zeromq.org/

--
http://blog.softwaresafety.net/
http://www.designer-iii.com/
http://www.wearablesmartsensors.com/

On Fri, Sep 16, 2011 at 2:36 PM, Hal Murray <hmurray@megapathdsl.net> wrote: > > xaos@darksmile.net said: >> You can forget Wall St. firms and Banks for starters. > >> They need sub-microsecond accurate timing as some instruments (Forex) are >> moving to <10 microsecond latency from order entry to order ack. > > 10 microsecond latency doesn't say anything about how accurate the time has > to be. > > Does anybody have a good URL on the accuracy requirements of banks and/or > stock markets? I expect there are both legal and technical issues. I'd like > to understand them separately There are some big names in Banking and Stocks behind the Advanced Message Queuing Protocol (AMQP): http://www.amqp.org/confluence/display/AMQP/About+AMQP http://www.oasis-open.org/committees/tc_home.php?wg_abbrev=amqp http://amqp.org/resources/financial-services Actually Time Nut Grade measurements are not addressed at this level to my knowledge. Round Trip: The term round trip refers to the process of a peer sending a command to its partner and receiving confirmation that the command is complete. Round trips are necessary for synchronization of world views, however, it is not necessary for a client to wait and do nothing while a round trip occurs or only deal with a single round trip at a time. </li> <li> Round Trip Time (RTT): The term RTT refers to the time taken to complete a round trip. This is described with the following formula: <pre> RTT = 2*latency_network + latency_processing </pre> Note that RTT at the execution layer differs from RTT at the network layer. At the network layer the processing latency is zero resulting in an RTT of twice the network latency. At the execution layer the processing time becomes significant if, for example, processing the command requires sending data to disk. This would be the case with durable messages and the RTT would then include the Broker's disk latency. </li> > but I won't be surprised if they are thoroughly > tangled. http://www.imatix.com/articles:whats-wrong-with-amqp There is also the even more obscure 0MQ: http://www.zeromq.org/ -- http://blog.softwaresafety.net/ http://www.designer-iii.com/ http://www.wearablesmartsensors.com/

TH

Tom Holmes

Sat, Sep 17, 2011 1:25 AM

All this fuss over microseconds being worth billions and it still takes a
bank 5 days to find out if the check I wrote is good?

Where's a good manure scoop when you need one?

Tom Holmes, N8ZM
Tipp City, OH
EM79

-----Original Message-----
From: time-nuts-bounces@febo.com [mailto:time-nuts-bounces@febo.com] On
Behalf Of Bob Paddock
Sent: Friday, September 16, 2011 7:50 PM
To: Discussion of precise time and frequency measurement
Subject: Re: [time-nuts] Google NTP Servers and smearing leap seconds...

On Fri, Sep 16, 2011 at 2:36 PM, Hal Murray hmurray@megapathdsl.net
wrote:

xaos@darksmile.net said:

You can forget Wall St. firms and Banks for starters.

They need sub-microsecond accurate timing as some instruments (Forex)

are

moving to <10 microsecond latency from order entry to order ack.

10 microsecond latency doesn't say anything about how accurate the time

has

to be.

Does anybody have a good URL on the accuracy requirements of banks

and/or

stock markets? I expect there are both legal and technical issues. I'd

like

to understand them separately

There are some big names in Banking and Stocks behind the
Advanced Message Queuing Protocol (AMQP):

http://www.amqp.org/confluence/display/AMQP/About+AMQP

http://www.oasis-open.org/committees/tc_home.php?wg_abbrev=amqp

http://amqp.org/resources/financial-services

Actually Time Nut Grade measurements are not addressed at this level
to my knowledge.

   <p><b>Round Trip</b>: The term round trip refers to the
   process of a peer sending a command to its partner and
   receiving confirmation that the command is complete. Round
   trips are necessary for synchronization of world views,
   however, it is not necessary for a client to wait and do
   nothing while a round trip occurs or only deal with a single
   round trip at a time.</p>
 </li>

 <li>
   <p><b>Round Trip Time (RTT)</b>: The term RTT refers to the
   time taken to complete a round trip. This is described with
   the following formula:</p>
   <pre>

RTT = 2*latency_network + latency_processing
</pre>

   <p>Note that RTT at the execution layer differs from RTT at
   the network layer. At the network layer the processing
   latency is zero resulting in an RTT of twice the network
   latency. At the execution layer the processing time becomes
   significant if, for example, processing the command requires
   sending data to disk. This would be the case with durable
   messages and the RTT would then include the Broker's disk
   latency.</p>
 </li>

but I won't be surprised if they are thoroughly
tangled.

http://www.imatix.com/articles:whats-wrong-with-amqp

There is also the even more obscure 0MQ:

http://www.zeromq.org/

--
http://blog.softwaresafety.net/
http://www.designer-iii.com/
http://www.wearablesmartsensors.com/

time-nuts mailing list -- time-nuts@febo.com
To unsubscribe, go to

https://www.febo.com/cgi-bin/mailman/listinfo/time-nuts

and follow the instructions there.

All this fuss over microseconds being worth billions and it still takes a bank 5 days to find out if the check I wrote is good? Where's a good manure scoop when you need one? Tom Holmes, N8ZM Tipp City, OH EM79 > -----Original Message----- > From: time-nuts-bounces@febo.com [mailto:time-nuts-bounces@febo.com] On > Behalf Of Bob Paddock > Sent: Friday, September 16, 2011 7:50 PM > To: Discussion of precise time and frequency measurement > Subject: Re: [time-nuts] Google NTP Servers and smearing leap seconds... > > On Fri, Sep 16, 2011 at 2:36 PM, Hal Murray <hmurray@megapathdsl.net> > wrote: > > > > xaos@darksmile.net said: > >> You can forget Wall St. firms and Banks for starters. > > > >> They need sub-microsecond accurate timing as some instruments (Forex) > are > >> moving to <10 microsecond latency from order entry to order ack. > > > > 10 microsecond latency doesn't say anything about how accurate the time has > > to be. > > > > Does anybody have a good URL on the accuracy requirements of banks and/or > > stock markets? I expect there are both legal and technical issues. I'd like > > to understand them separately > > There are some big names in Banking and Stocks behind the > Advanced Message Queuing Protocol (AMQP): > > http://www.amqp.org/confluence/display/AMQP/About+AMQP > > http://www.oasis-open.org/committees/tc_home.php?wg_abbrev=amqp > > http://amqp.org/resources/financial-services > > Actually Time Nut Grade measurements are not addressed at this level > to my knowledge. > > Round Trip: The term round trip refers to the > process of a peer sending a command to its partner and > receiving confirmation that the command is complete. Round > trips are necessary for synchronization of world views, > however, it is not necessary for a client to wait and do > nothing while a round trip occurs or only deal with a single > round trip at a time. > </li> > > <li> > Round Trip Time (RTT): The term RTT refers to the > time taken to complete a round trip. This is described with > the following formula: > <pre> > RTT = 2*latency_network + latency_processing > </pre> > > Note that RTT at the execution layer differs from RTT at > the network layer. At the network layer the processing > latency is zero resulting in an RTT of twice the network > latency. At the execution layer the processing time becomes > significant if, for example, processing the command requires > sending data to disk. This would be the case with durable > messages and the RTT would then include the Broker's disk > latency. > </li> > > > but I won't be surprised if they are thoroughly > > tangled. > > http://www.imatix.com/articles:whats-wrong-with-amqp > > There is also the even more obscure 0MQ: > > http://www.zeromq.org/ > > > > > -- > http://blog.softwaresafety.net/ > http://www.designer-iii.com/ > http://www.wearablesmartsensors.com/ > > _______________________________________________ > time-nuts mailing list -- time-nuts@febo.com > To unsubscribe, go to https://www.febo.com/cgi-bin/mailman/listinfo/time-nuts > and follow the instructions there.

X

xaos@darksmile.net

Sat, Sep 17, 2011 5:49 AM

Love it!

You just brought to mind one of the least known (but best) true
stories about Linux, Windows big money and even bigger BS.

This is an absolutely 100% true story:

September 8, 2008 was the busiest Forex trading day in the history of
stock markets.

On that day, the London stock exchange failed. It was down for the entire day.
Fortunes were lost.

Why? Well, it is a well known fact that the Exchange (LSE) was run by
a notorious Windows advocate by the name of "Clara Furse". It was her
push to an "All Windows Shop" that brought to light some serious
architectural problems with Windows. Especially when exposed to a
super high volume trading environment.

Even as the exchange was shut down by Windows issues she continued to
praise MS and Windows for the great job they did in solving the
problems.

She lost her job soon after this incident. Good riddance. I had
dealing with her office (and some of her staff) and they were a bunch
of idiots.

Linux is now the standard among any Wall St. and Banking firms.
Nothing compares.

Read this article for more info:
http://blogs.computerworld.com/14876/london_stock_exchange_dumps_windows_for_linux

Google has a ton of more info on it.

-George

Quoting lists@lazygranch.com:

Bring back the transaction tax and I suspect these timing issues
will go away.

I recall reading the London exchange was experimenting with linux
and mysql, supposedly faster than what they were using.