[time-nuts] Google NTP Servers and smearing leap seconds...

lists at lazygranch.com lists at lazygranch.com
Fri Sep 16 23:42:47 UTC 2011


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 at darksmile.net
Sender: time-nuts-bounces at febo.com
Date: Fri, 16 Sep 2011 16:59:01 
To: <time-nuts at febo.com>
Reply-To: Discussion of precise time and frequency measurement
	<time-nuts at 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 at 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 at darksmile.net
> Sender: time-nuts-bounces at febo.com
> Date: Fri, 16 Sep 2011 13:05:40
> To: Discussion of precise time and frequency  
> measurement<time-nuts at febo.com>; Hal Murray<hmurray at megapathdsl.net>
> Reply-To: Discussion of precise time and frequency measurement
> 	<time-nuts at 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 at megapathdsl.net>:
>
>>
>> xaos at 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.
>>
>>
>>
>>
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>
>
>
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