MC 2036, 1:00pm
With the explosive growth of electronic trading over the past decade there has been an increasing focus on latency in trading systems. In this presentation, I will discuss the impact of price and order message latency within the context of the equity trading operations at TD Securities. Tracing through a schematic of the trading systems architecture, I will illustrate the most common contributors to high latency. I will also show numerous plots of real trading data to illustrate the effect of various sources of latency and discuss how we detect and diagnose issues. I will also briefly discuss some of the technologies being used to reduce message latency to the microsecond range.
About the speaker: Stephen is a graduate from the University of Waterloo. He holds a B.Sc in Physics and an M.Math. and a Ph.D. in Applied Mathematics. He has been working in the financial industry since his graduation in 1993.