Barbarians at the Gateways

I am a former high-frequency trader. For a few wonderful years I led a group of brilliant engineers and mathematicians, and together we traded the electronic marketplaces and pushed systems to the edge of capability.

High-frequency trading (HFT) systems operate and evolve at astounding speeds. Moore's Law is of little comfort when compared with the exponential increase in market-data rates and the logarithmic decay in demanded latency. As an example, during a period of six months the requirement for a functional trading system went from a "tick-to-trade" latency of 250 microseconds to 50. To put that in perspective, 50 microseconds is the access latency for a modern solid-state drive.