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Algorithmic Trading
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Re: High frequencey trading on Windows and .NET
Tanveer Ansari / Crystal
4 Jul 2008 11:01PM ET 100 ms is the upper limit above which the project isn't worth building- I want to target a value closer to 3 ms.
With processing a small set of symbols I am getting a latency of sub 1 ms for just the business logic, but in the high frequency system there will be a very high volume of symbols which will need to be processed in real time concurrently.
> As others have said, you can easily achieve sub 100 ms latency using C#
> on Windows. If your basic framework of processing incoming data and
> building order takes more than 1 ms, you are doing something wrong. So
> you have 99% of your allowed time for your business logic.
>
> However, if your strategy primarily relies on speed, 100 ms is unlikely
> to be faster than your competition. Can you tell us how you decided on
> 100 ms at your time target?
Re: High frequencey trading on Windows and .NET
Tanveer Ansari / Crystal 4 Jul 2008 11:01PM ET
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