At a past job, I was in charge of investigations as to why latency had changed in a high frequency trading system.
There was dedicated team of folks that had built a random forest model to predict what the latency SHOULD be based on features like:
- trading team
- exchange
- order volume
- time of day
- etc
If that system detected change/unexpected spike etc, it would fire off an alert and then it was my job, as part of the trade support desk, to go investigate why e.g. was it a different trading pattern, did the exchange modify something etc etc
One day, we get an alert for IEX (of Flash Boys fame). I end up on the phone with one of our network engineers and, from IEX, one of their engineers and their sales rep for our company.
We are describing the change in latency and the sales rep drops his voice and says:
"Bro, I've worked at other firms and totally get why you care about latency. Other exchanges also track their internal latencies for just this type of scenario so we can compare and figure out the the issue with the client firm. That being said, given who we are and our 'founding story', we actually don't track out latencies so I have to just go with your numbers."
There was dedicated team of folks that had built a random forest model to predict what the latency SHOULD be based on features like:
- trading team
- exchange
- order volume
- time of day
- etc
If that system detected change/unexpected spike etc, it would fire off an alert and then it was my job, as part of the trade support desk, to go investigate why e.g. was it a different trading pattern, did the exchange modify something etc etc
One day, we get an alert for IEX (of Flash Boys fame). I end up on the phone with one of our network engineers and, from IEX, one of their engineers and their sales rep for our company.
We are describing the change in latency and the sales rep drops his voice and says:
"Bro, I've worked at other firms and totally get why you care about latency. Other exchanges also track their internal latencies for just this type of scenario so we can compare and figure out the the issue with the client firm. That being said, given who we are and our 'founding story', we actually don't track out latencies so I have to just go with your numbers."