Tuesday, June 19, 2007

LSE Electronic Trading

The Wall Street Journal Europe is reporting that the LSE has unveiled a new electronic trading system that will allow a trade to be booked and confirmed within 10ms, 130ms faster than previously.
The London Stock Exchange on Monday unveiled a new electronic-trading platform, TradElect, which promises to trade a share in 10 milliseconds -- 30 times faster than the blink of an eye and a speed that could help decide the fate of Europe's biggest exchange by market capitalisation of its listed companies.

The system cuts the time from placing an order to final confirmation to an average of 10 milliseconds from 140 milliseconds. It can handle 3,000 orders a second, up from 600 under the LSE's old system, known as SETS, a number the LSE said it has approached on several occasions in recent months.

By comparison, it takes 110 milliseconds for a trade to make its way through the main trading platform of NYSE Euronext's New York Stock Exchange. The Big Board intends to cut that to 10 milliseconds.
Another way of putting this is that someone can make 11 trades on the LSE while you are waiting for your NYSE transaction to complete.

How much XML can you process in 10ms?


Graeme Burnett said...

It depends what they're talking about - the place trade instruction in isolation? or the transaction lifecycle.

It's quite easy to "cheat" - e.g. a system I worked on used to preallocated tradeids which were handed off to clients after a limit check was done. This reduced transactions to sub millisecond. Any problems settling, then me backed out the trade and decremented the limit.

Anonymous said...

It's the full transaction lifecycle, i.e. order entry, matching/execution and return of results to the participant.