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Quantitative Finance · Glossaire

Qu'est-ce que « Tick-to-trade and wire-to-wire latency » ?

Aussi appelé : tick-to-trade latency · wire-to-wire latency

Definition 1.2 Low-Latency Software · Chapitre 1 — Where Latency Comes From

The tick-to-trade latency of a trading system is the time from the arrival of the market-data message that triggers a decision to the departure of the order that the decision sends. It is a wire-to-wire latency when both instants are taken on the network cable (the last bit of the inbound packet, the first bit of the outbound one), by a device outside the server; it is a software tick-to-trade latency when they are taken inside the program (the packet handed to the application, the order handed to the network stack).

The tick-to-trade path of a trading server. The software stages (blue) are this book’s subject; the network card and the kernel’s receive and transmit paths (grey) are treated from the program’s side in chapters 4 and 13, and in hardware in One Quant Book 14.
Figure 1.1. The tick-to-trade path of a trading server. The software stages (blue) are this book’s subject; the network card and the kernel’s receive and transmit paths (grey) are treated from the program’s side in chapters 4 and 13, and in hardware in One Quant Book 14.
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