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Quantitative Finance · Glosarium

Apa itu Venue clock skew?

Definition 20.6 Networks, Hardware and Trading Infrastructure · Bab 20 — API Engineering for Crypto Venues

Venue clock skew is the difference between the clock that stamps a venue’s messages (its event and transaction times) and the firm’s own synchronised clock, which varies over time; it is estimated, never given.

Simulation: a venue clock running 3 to 5\, m s ahead of the firm’s over an hour, messages at ten a second with a minimum one-way delay of 0.8\, m s and exponential jitter; the one-minute minimum tracks the truth within 15\, µ s. Data: fig_api.py, nw_api.skew_series().
Figure 20.4. Simulation: a venue clock running 3 to 5 ms5\,\mathrm{m}\mathrm{s} ahead of the firm’s over an hour, messages at ten a second with a minimum one-way delay of 0.8 ms0.8\,\mathrm{m}\mathrm{s} and exponential jitter; the one-minute minimum tracks the truth within 15 µs15\,\text{µ}\mathrm{s}. Data: fig_api.py, nw_api.skew_series().
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