Translate

sabato 19 marzo 2016

QUANTO COSTA NEGOZIARE SUI MERCATI USA CON UN VANTAGGIO TEMPORALE DI 883μ?

La fonte è il mio amico Hunsader (miglior financial data analyst al mondo), fondatore di NANEX , che ha gentilmente autorizzato la riproduzione del file di cui sotto su questo blog. 
Quando costa avere un vatanggio competitivo di tipo temporale nella negoziazione sui mercati, pari a 883 microsecondi? 1.1 milioni di $ all' anno esclusi i costi inerenti all' hardware, ai data scientists, ecc. 
Perché HFTs, internalizzatori, investitori sofisticati desiderano avere tale vantaggio.? Qui potete trovare alcune risposte. 



Total Advantage 883μ
Total Annual Price for Advantage $1.116.600

Differential Between Fastest and Slowest Access and Data Options for Routers
Market Data Feeds (Content)

Premium Option Low Cost Option

Exchange Feed Type Latency Added Annual Cost Feed Type Latency Added Annual Cost Speed Advantage Annual Price for Advantage
NYSE Direct (Routing Non-Display) N/A $252.000




NASDAQ Direct (Routing Non-Display) N/A $150.000




BATS Direct (Routing Non-Display) N/A $60.000




NSX Direct (Routing Non-Display) N/A $6.000




ALL Direct (Routing Non-Display) N/A $468.000 SIP 500μ $144.000 500μ $324.000

Order Entry Cross Connects (Physical Ports)

Premium Option Low Cost Option

Exchange Cross Connect Route Latency Annual Cost for XC Cross Connect Latency Annual Cost for XC Speed Advantage Annual Price for Advantage
NYSE 40 GB Switch to ME 62μ $240.000 1 GB 74μ $60.000 12μ $180.000
NASDAQ 40 GB Switch to ME (11μ -23μ faster than 1GB) 72μ $240.000 1 GB (11μ -23μ slower than 40GB) 89μ $30.000 17μ $210.000
BATS 10 GB (Binary) Port to ME Round Trip 82μ $48.000 1 GB (Binary) 104μ $24.000 22μ $24.000

Market Data Connectivity (Inter-Datacenter Network)

Premium Option Low Cost Option

Exchange Connection Type Route Latency Annual Cost Connection Latency (HFN map) Annual Cost Speed Advantage Annual Price for Advantage
NASDAQ Wireless (50Mbps) Mahwah <> Secaucus 118μ $120.000 Fiber (SFTI 100Mbps) N/A N/A N/A N/A
NASDAQ Wireless (50Mbps) Carteret <> Secaucus 90μ $120.000 Fiber (SFTI 100Mbps) 150μ $31.200 60μ $88.800
NASDAQ Wireless (50Mbps) Carteret <> Mahwah 192μ $240.000 Fiber (SFTI 100Mbps) 320μ $31.200 128μ $208.800
NYSE N/A Carteret <> Secaucus N/A N/A Fiber (SFTI 100Mbps) N/A N/A N/A N/A
NYSE Wireless (20Mbps) Mahwah <> Secaucus 120μ $246.000 Fiber (SFTI 100Mbps) 200μ $31.200 80μ $214.800
NYSE Wireless (20Mbps) Mahwah <> Carteret 191μ $246.000 Fiber (SFTI 100Mbps) 318μ $31.200 127μ $214.800

Order Entry Ports

Premium Option Low Cost Option

Exchange Connection Type
Latency Annual Cost Connection Latency Annual Cost Speed Advantage (avg) Annual Price for Advantage
NYSE Binary Port to ME Round Trip 163μ $6.000 FIX 250μ $6.000 88μ $0
Nasdaq Dedicated Ouch Port to ME Round Trip 2000 msg/s $66.000 FIX 1200 msg/s $6.000 800 msg/s $60.000
BATS Binary Port to ME Round Trip 82μ $6.000 FIX 104μ $6.000 22μ $0

Market Data Delivery

Premium Option Low Cost Option

Exchange Connection Type
Latency Annual Cost Connection Type Latency Annual Cost Speed Advantage Annual Price for Advantage
NASDAQ FPGA ITCH

$30.000 TCP/IP
$9.000 34μ $21.000