Sunday, December 20, 2009

Treasury low-latency trading

(Background: most low-latency trading systems are related to eq or FX...)

Bloomberg and tradeweb allow an institutional client to send RFQ to her favourite Treasury dealers. The dealer's auto quoter is typically low-latency. Typical latency [from receiving RFQ at gateway, to sending out quote from gateway] is typically 100~200ms. 500ms would be too high.

For an interdealer broker (espeed/brokertec), 30ms is good. 60ms will arouse complaints from hedge fund clients. Perhaps 30ms from receiving order to sending out acknowledgement? Distributed cache? No need. Just a regular database cache is enough. Coherence is being considered though.

Order matching engine is the heart of a treasury ECN operator. An ECN for muni bond or corporate bond may have a very different algorithm.

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