Benchmarking Low-Latency Automated Trading Systems

Summary

The document asks whether research groups or commercial resources benchmark automated trading products for alpha generation and execution, including systems operating at very short time scales. Responses recall vendors associated with trading-system technology and identify a firm offering high-resolution latency measurement. They also note that some of the fastest trading systems use custom hardware and that the market for off-the-shelf systems changes quickly.

The main practical point is that a benchmark’s time resolution must match the system being measured: results at millisecond scale do not establish performance at nanosecond scale. The answers are anecdotal, refer to historical vendor recollections, and do not provide a standardized methodology, current vendor assessment, or comparative performance evidence. The document is therefore useful as a caution about benchmark scope and measurement precision, rather than as a definitive resource list.

Key ideas

• Automated trading benchmarks may cover latency measurement as well as system performance.
• Some fast trading systems use custom hardware, while commercial offerings evolve rapidly.
• A benchmark at millisecond resolution does not establish performance at nanosecond resolution.
• The responses are recollections and do not provide a standardized or current comparison.

Tags

# Resources for Benchmarking Automated Trading Systems available as deltix etc.?


# Resources for Benchmarking Automated Trading Systems available as deltix etc.?












Is there some research resource/group working on benchmarking of software products out there with automated trading and goals of "Advanced alpha generation and execution strategies" incorporating low latency data of the order of milli/micro/nano seconds ?

## Answer by strimp099 (score 2)

https://quant.stackexchange.com/a/3520

There were a few vendors at the 2009/2010 Futures and Options Expo in Chicago that did exactly this. Two that I recall are RTS Group and Solace Systems however their sites don't mention anything of bench marking. Perhaps I'm missing it or they're no longer doing it.

## Answer by Steve Severance (score 2)

https://quant.stackexchange.com/a/3521

The fastest systems out there are mostly custom built hardware solutions and even the off the shelf solutions are evolving very rapidly right now. There is a company call Correlix which provides latency measurement of trading systems with extremely high resolution. I have not needed their services and thus I cannot comment on how effective they are.

One thing to keep in mind is that measuring milliseconds and nano seconds is very different and just because something is good a benchmarking milliseconds does not mean it will be good at nanoseconds.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.