088: Dave Lauer – A Former-High Frequency Trader Talks Speed, Market Structure and Dark Pools
Chat With Traders
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How Citadel Optimized Their Strategies for Speed
When I was working at Turvilla, we solved one part of the problem, but you were only as fast as your slowest point. At that time, in those few years, I became a real latency measurement and mitigation specialist. That's really what I focused on. And my average or median latency was around 40 microseconds from message hitting my server to order leaving my server. You have to look for every possible source of delay with standard deviations of double digit microseconds. Um, then you have to tune all of your network card settings, your network driver settings and all depends on the particular network chip car,. The kind of lines that you're using, whether you're all fiber
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