《Networking for Quants and Traders》.pdf

Networking for Quants and Traders Ben Van Vliet October 26, 2009 © 2009 Ben Van Vliet 1 1. Introduction 3 2. Microprocessors 3 3. Computer 6 4. Operating System 6 5. Motherboard 8 6. Memory 9 7. Bus 12 8. Message Queue 12 9. Network 13 10. Nodes and Hubs 13 11. Server 14 12. Packet 14 13. TCP/IP 15 14. UDP 15 15. Frame Relay 16 16. OSI Model 16 17. Router 17 18. Switch 18 19. Ethernet 18 20. Leased/Dedicated Line 19 21. Conclusion 19 2 1. Introduction For automated trading, hardware and networking components are incredibly important. So, at a minimum, a foundation of knowledge in these topics is crucial. In a network environment that enables trading, the fewer the number of hops between the front-end application and the exchange, the better the performance (at least measured in milliseconds, and maybe in dollars). Achieving better performance requires both analysis and synthesis, that is to say, a holistic approach. Trading is not a hardware or software problem; it is a hardware/software problem. Latency may be added in either the hardware, or the software, or in the interaction between the two. Every component of a trading system must be examined individually on its own merits, but also in light of the whole. As my friend Alex Deitz says, “Everything has an impact, and everything can influence everything else.” Obviously, there are thousands of resources, including books and websites, which describe all manner of network tech