Thomas Chippas
Welcome to this special edition of The Algorithmic Trading Podcast, brought to you by Voices in Business, focusing on Low Latency.
As the subject of latency has come up repeatedly in this series of interviews, we decided to ask Thomas Chippas, Deutsche Bank’s Head of Autobahn Equity, North America back onto the show for a deeper dive into the topic.
In this conversation with Greg Grimer and Mike O’Hara of Voices in Business, Thomas discusses why low latency is so important, some of the causes and types of latency, issues with measuring and monitoring it and some of the ways it can be reduced.
Show notes for this episode:
00:08 - Introduction
01:24 - Some background and history
02:18 - At what point did latency become an issue?
04:01 - The diverse business drivers for reducing latency
07:36 - Orders versus market data
08:40 - The exponential growth of option data
09:26 - Managing real-time position risk
10:38 - Dangers of quote mitigation
11:32 - Causes and types of latency, & where it is introduced
15:32 - Piecemeal versus big-bang approach to reducing latency
18:22 - Measuring and monitoring latency
21:44 - Visualisation tools & heat maps
22:14 - Consistency & reliability versus outright speed
23:29 - FIX, FAST & other industry standards
25:55 - Proximity hosting and co-location
29:25 - What Telco & network providers are doing
30:57 - Do latency reduction initiatives justify the cost?
31:45 - Potential operational risks inherent in low-latency strategies
34:48 - End of interview and wrap-up
We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment on +44 (0) 20 7193 1295, or send a message to algo@voicesinbusiness.com.
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ATP Special Edition - Low Latency (feat. Thomas Chippas, Deutsche) [35:16m]: Play Now | Play in Popup | Download
3 comments so far
The real great divide is quality simulation on premier historical data. I recommend these gents, offering any asset class…
http://www.forextickdata.com
Even with exceptional data, a vast amount of quants and developers assume a price can be attained is there is a record of it. However in real life you might not be the person to hit the offer or bid first. If you better the bid someone might do it right back to you etc. Very high frequency methods with razor thin expectations play on the edge of disaster. The good thing is that one started in real time an immediate back test can be done to track the beta of back tested verse realtime results.
Best to everyone and great pod casts!
Cheers - David
Greetings from Housing Doom blog. Events from earlier this month have thrown an intense spotlight on algorithmic trading and low-latency. Earlier today we posted an annotated transcript of this interview in our article “Aleynikov Backgrounder: 2008 Chippas Interview on Low Latency in Algo Trading”.
We’d be delighted if you were to use our transcript as a basis for a PDF version you could add to your list. Even better would be if you could bring some of your experts back to discuss these subjects in the light of recent events.
[…] there are various web resources to start studying the issue. I recently came across this fascinating podcast about low latency and algorithmic trading.[1] I’m going to hope that creating a new Doom transcript of the interview and adding a few […]
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