23 June 2014
Trading at 'light' speed
By combining programming models with extremely fast network management, a new research project at the eScience Centre at the Niels Bohr Institute will develop new programming tools that will make it possible to accelerate high-speed equity trading while increasing the security and transparency of the stock market. The research project will be led by Kenneth Skovhede, who has a PhD in eScience and has received a three-year industrial postdoc funded by the Danish National Advanced Technology Foundation, the network component company Fiberblaze and the Niels Bohr Institute.
Most trades carried out in the world’s stock markets currently take less than a second. This places great demands on the systems and calculations that follow small variations in rate changes in order to make the right decisions. It is imperative that the response time is as short as possible in order to complete the good deals before the competition. Huge investments have already been made in systems for fast transactions. One of the solutions has been to rent rooms that are located physically close to the stock exchanges so as to be able to send and receive data faster. In addition, there has been investment into both hardware and programmes to reduce the processing time. But programming the hardware is incredibly complex – even for experienced developers, making for potential that has not been fully utilized.
At the Niels Bohr Institute, a group of researchers have developed a programming model that is very similar to the way financial analysts typically express their mathematical models. The programming model is also designed in such a way that it can be effectively implemented in many different kinds of computers.
“By combining the extremely fast network components from Fiberblaze with our programming models, it will be possible to execute equity trades in less than a microsecond,” explains Kenneth Skovhede, adding that it with this sharp increase in speed will be much cheaper to develop programs and to verify that they are correct and comply with the law.