2010/03/28 15:36 - 그대안의 작은 호수
1.
Traders Piqued By the Picosecond, But Physics Intervenes
Wall Street’s fastest traders have their eyes set on the newest speed–the picosecond, or one trillionth of a second. But even as trading reaches its fastest levels yet, companies with the need for speed are running into a pesky problem: the speed of light.
“When you look at what you need to do to get a trade from a firm to the exchange and back, there are other things involved–like physics–that make it difficult,” said Mark Palmer, president of StreamBase Systems, which develops trading tools and platforms. “When you get to that level, you are starting to approach speed-of-light problems.”
While no one is actually executing trades in the span of one picosecond yet, the race is on to start clocking parts of a trade in this smallest of measurements. Engineers are now working on getting a single chip inside a computer’s central processing unit, for instance, to run at their fastest speeds yet.
Adam Sussman, director of research at TABB Group, said people aren’t measuring the trading process in picoseconds. But “if you begin to slice your process into ever-more granular steps, you start to see things in picoseconds,” he said.
In order to stay competitive, many are paying to rent space within or near the exchanges, a practice called co-location.
StreamBase, founded by MIT engineers, follows a similar approach. “We hired 40 engineers and have them think really hard,” Palmer said. “Five years ago, five milliseconds was actually fast. Now, five milliseconds is really slow. It means there’s a bug in your system.
No we are hiring engineers to figure out how to trade in picoseconds. Why is this speed necessary? Why is our industry spending billions of dollars on technology to achieve this speed? Will this spending result in picking stocks to buy at $10 that will appreciate to $50? Will this result in new public small-cap capital formation? No
This will result in larger brokerage firms and hedge funds getting even larger by beating long term investors to a quote. Legalized stealing. Having fun?
If you ask an exchange developer, they’ll likely tell you that the physics (speed of light, materials of components, etc.) make 100 microsecond speeds a theoretical limit. To be talking picoseconds — a millionth of a micro — you either can’t do math (ok, ok; I know we’re talking TABB here), or you’re assuming that HFT strategies will be driven by microchips that will sit INSIDE of exchange matching engines.
On the math: the speed of light travels .3 millimeters in a picosecond. So that pretty much takes networks out of the picture.
On intra-matching engine co-lo: Today, most exchanges split matching engines across symbols to enhance performance — in other words, they throw more servers at the problem to gain speed. (Nasdaq is the lone exception that I’m aware of; there’s an ongoing debate as to whether they’ll have to change this architecture in the future.) Can exchanges “beef up” matching engines to accomodate co-lo’ed chips from users — maybe by further splitting symbols (and thereby increasing operating costs)? Maybe. Would the SEC allow it? Maybe. Does the entire notion scream “decreasing marginal benefits?” Absolutely. (Unless you’re a technology vendor or a consulting firm trying to sell people stuff.)
2. High Frequency Equities Trading: From the U.S. to Asia?
However, lacking precise data, our proxy for strategy is strong sensitivity to latency in the trading process. Today, our research suggests that latency-sensitive trading is highly pervasive and as a result we estimate that 42% of U.S. equities volume (measured in shares) is the result of HFT and will grow to 54% of volume by 2010.
A higher penetration of HFT will be multi-faceted and driven by an increase in the number of proprietary trading firms, an expansion of quantitative hedge fund strategies, and increasingly technology-driven automated market making. In addition, the convergence of fundamental and quantitative strategies by investment firms will mean the coupling of execution and investment strategies, leading to greater HFT adoption among even more traditionally conservative organizations. In other words, a rising HFT tide will lift all boats.
Back to the rest of the world. The adoption of HFT in Europe is less as a percentage of order flow than the U.S., but is growing. At the same time, HFT will most certainly expand in Asia over the next several years, with selected Asian marketplaces like Tokyo, Singapore, Hong Kong and Australia with the most potential for evolutionary changes at present. With the major upgrade of the Tokyo Stock Exchange's new Arrowhead system, the number of HFT firms trading Japanese equities will grow significantly. We also expect that Arrowhead will spur other innovations and compel more U.S. and European firms to locate trading applications closer to the exchange matching engines in Tokyo.
Similarly, these firms may also move to be physically closer to other Asian exchange matching engines. However, as a result of more heavy-handed regulation, culture and vested interests, the equities market structure in Asian markets should be slower to evolve than Europe post-MiFID introduction. Hence, we expect the HFT growth trajectory will not accelerate to the levels seen in U.S. and Western Europe anytime soon.
3.
HFT는 지역적으로, 기술적으로 한계에 도전하고 있습니다. 지역적으로 금융중심에서 부심으로 영역을 넓혀가고 있습니다. Latency에서도 불가능하고 의미가 없을런지 몰라고 피코초(秒)에 도전하고 있습니다. 이런 상황에서 KRX는 고객의 무관심으로 HFT가 한국에 도입되지 못하고 있다는 뉘앙스로 이야기하고 있습니다.
국내 알고리즘 트레이딩 성공 가능성
물론 알고리즘 트레이딩과 HFT를 같은 범주로 생각할 수 없지만 어느 정도 동전의 양면이라고 생각합니다. 어떤 알고리즘보다 가장 확실한 알고리즘은 Latency Arbitrage라고 생각하기 때문입니다. 이 점을 이용한 매매가 고빈도 매매 즉, HFT입니다.
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