'Millisecond' trading arrives By Anuj Gangahar in New York Some of the largest participants in US capital markets are to start using a new system that dramatically cuts the time it takes to trade and communicate with each other, as they respond to the greater demand for speed from hedge funds and other traders. It will reduce transaction times to just 1 millisecond from about 10 milliseconds at present, in the New York metropolitan area. Hedge funds and other traders who employ com-- plex strategies, are putting ever greater emphasis onthe speed at which they do business, as competition to eke out the best returns intensifies. The system, known as Radianz Ultra Access, offered by BT Radianz, part of BT Global Services, offers an ultra high-speed connection between exchanges and brokers in the region. Institutions that have signed up to use the system already include the NYSE Group, Nasdaq, Boston Options Exchange, BATS electronic communications network, and the International Securities Exchange, among others. The uptake of the newsystem comes just weeks after the introduction ofRegulation National Market System, a controversial set of rules aimed at levelling the competitive field in the US equity market, meaning trades must be routed tothe exchange that offers thebest price. The market has been preparing for the rules for more than two years. Most stock exchanges and trading platforms in the US have had to build new electronic trading systems or update existing ones amid widespread predictions of far greater trading volumes than ever before. During the recent market sell-off, a week before the introduction of Reg NMS, a spike in trading volumes caused some systems and servers to go down, leading to widespread concerns about technology bottlenecks disrupting the financial system. BT Radianz developed the new system in response to the growing use of algorithmic and black-box trading strategies by broker-dealers, asset managers, prime brokers and hedge funds. Tom Price, senior analyst in the securities and capital markets practice at the Tower Group consultancy, said: "Speed is a competitive differentiator for market participants using advanced trading strategies. "The ability to consume massive amounts of data, translate it into opportunity, and get orders to the appropriate execution venue ahead of the competition, is key to success."
Radianz Ultra Access http://www.radianz.com/public/default.asp?pg=92 Radianz Ultra Access is a high speed, fully resilient service from BT Radianz that provides ultra low latency connectivity between exchanges and brokers in the New York metropolitan area. Radianz Ultra Access allow transaction speeds of approximately one millisecond between local market participants and leading market data sources and execution venues including: Boston Options Exchange, BATS ECN, International Securities Exchange, NASDAQ (including INET), New York Stock Exchange, NYSE Arca, and OPRA. Broker-dealers, asset managers, prime brokers, and hedge funds require highly resilient, extremely low-latency network connectivity to support the growing use of algorithmic and black box trading strategies and direct market access (DMA). Radianz Ultra Access provides clients with key capabilities that offer customers competitive advantage: Speed Radianz Ultra Access offers one millisecond roundtrip transaction speeds within the New York City region to leading execution venues. This is made possible though an innovative patent-pending design that utilizes high speed, Ethernet-over-wave-length architecture and non-blocking core switches to provide ultra-low latency connectivity. Availability The Radianz Ultra Access infrastructure is built on a high speed, fully resilient, self-healing, fiber architecture that allows BT Radianz to provide a 100% availability service level agreement. The service provides four fiber routes connecting customers to the core and is engineered to deliver both speed and reliability. Direct Market Access Speedometer Radianz Ultra Access includes Speedometer, a state of the art toolset for accurately monitoring network latency, availability, and utilization for each connection. Optional Speedometer features are available for monitoring transaction and market data latency. The real time information from Speedometer is collected non-invasively and presented in a ticker format that can be incorporated into trading algorithms and monitoring applications in the customer’s electronic trading environment. Service Level Agreements Radianz Ultra Access service includes contractual commitments to latency and availability. Latency measurements are confirmed during a post-installation testing period after which financial credits are provided if the latency or 100% availability objectives are not met. More information is available in the Radianz Ultra Access datasheet.
经搜索发现的一些数据： 1）2004年国内期货交易大型公司每天委托/交易笔数在1万数量级； 2）台湾单一交易者的成交笔数可达10万数量级； 3）目前国内期货活跃交易合约每天成交笔数在1万数量级； 4）国内期货市场的职业短线客每天交易笔数约为数百笔，交易周期在1分钟左右，交易量过万手，保证金不过数十万元； 5) 股票市场方面，5秒行情刷新频率下个股的成交笔数高点在每日3000笔左右； 6）国内大型证券公司股票集中交易委托报盘速度可以超过1000笔/秒（招商证券/金仕达大集中），实际交易中的压力比这个低，峰值数国泰君安是70万笔/日，华泰是30万笔/日，也就几十笔/秒的样子，深交所定义的标准报盘流量是15笔/秒，但这个报盘速度不等于处理能力，也是这个招商证券前段时间闹出系统堵单的问题； 7）今后交易所会对报单（包括撤单）进行收费，深交所是0.15元/笔； 8）交易所方面，上交所的处理能力是4000-6000万笔每日，中金所是800万笔/日（6000笔/秒） 9）高频交易的现实需求在期货方面有各派炒单系统，在股票方面有ETF套利系统等。 10)美国市场的数据，NASDAQ每天的处理能力1-2亿个MESSAGE，NYSE2.2亿个MESSAGE/8000万个定单（每秒3-6万个MESSAGE）； 11）美国市场一笔交易从交易所主机到投资者屏幕的时间为300毫秒； 12）美国传统的交易和委托笔数比例接近1：1，目前相当一部分交易达到了1：10以上（大量的的交易算法导致频繁的撤单/改单）；