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Bullets, Milliseconds and Petaflops (visualizing the speed of HFT)
Bullets, Milliseconds and Petaflops...
Here is an interesting byte from today's news:
A Chinese scientific research center has built the fastest supercomputer ever made, replacing the United States as maker of the swiftest machine, and giving China bragging rights as a technology superpower.
The computer, known as Tianhe-1A, has 1.4 times the horsepower of the current top computer, which is at a national laboratory in Tennessee, as measured by the standard test used to gauge how well the systems handle mathematical calculations, said Jack Dongarra, a University of Tennessee computer scientist who maintains the official supercomputer rankings.
For the record, it performs [2.5 petaflops] 2.5 times 10 to the 15th power mathematical operations per second.
The race to build the fastest supercomputer has become a source of national pride as these machines are valued for their ability to solve problems critical to national interests in areas like defense, energy, finance and science. Supercomputing technology also finds its way into mainstream business; oil and gas companies use it to find reservoirs and Wall Street traders use it for superquick automated trades.
[Source: NYT]
I just read George Washington's concurrent post which addresses the question of HFT trading volume in today's markets.
But taking into consideration this somewhat disquieting news from China, I am wondering just how fast is a petaflop, exactly how fast is a high frequency trade (take automated scalping for example) and how does one visualize it in comparison to the processing speed of the average SEC porn surfer.
Let us begin, shall we?
Start by watching this video...
High-frequency trading from Marketplace on Vimeo.
Now that we have heard about the ammunition, lets think about the speed. If you review the literature available online, you will hear that HFT trading typical involves trades executed in milliseconds. How much is a millisecond?
As an amateur photographer that is easy for me to explain. It is 1/1000th of a second or this setting on your SLR camera:
What about petaflops?
Here is a concise answer that I found on the all knowing YAHOO ANSWERS:
FLOPS stands for Floating Point Operations Per Second. It is used to measure a computer’s performance, especially those that make heavy use of floating point calculations. A floating point is just a series of numbers with a decimal point somewhere in it.
If you are familiar with the nomenclature heirarchy used to measure RAM or hard drive space (e.g. 16 megabytes, 120 gigabytes), you can see the similarity below:
megaFLOPS (MFLOPS, 106 FLOPS)
gigaFLOPS (GFLOPS, 109 FLOPS)
teraFLOPS (TFLOPS, 1012 FLOPS)
petaFLOPS (PFLOPS, 1015 FLOPS)
exaFLOPS (EFLOPS, 1018 FLOPS)
Here is an idea of what kind of performance popular chips are rated:
AMD Athlon @ 600 mhz - 2.4 gigaflops (single precision), 1 gigaflop (double precision)
Pentium 4 @ 2 ghz - 8 gigaflops (single precision)
Pentium 4 @ 3 ghz - 12 gigaflops
Athlon 64 X2 4600 - 14.7 gigaflops, 17400 MIPS
G5 Dual 2.3GHz - 30 gigaflops
XBox 360 Xenon chip -115 gigaflops
XBOX 360 Xenos graphics chip - 240 gigaflops
nVIDIA 7800 GTX 512 - 200 gigaflops
ATi X1900 - 553.8 gigaflops
I further discovered that there are some estimate that suggest that the processing speed of the human brain is roughly 100 petaflops. Wow, that was as of three years ago!
Let us return to the humble millisecond.
I searched for some images to help us visualize the humble millisecond and HFT. Here is what I came up with: Bullet through lightbulb (1/1000th second) Exploding atomic bomb (1/1000s) Bullet through ace (1/1000s) Bullet through bill (1/1000s) 1,500 bills per minute Bullet through piggy bank (1/1,000s) Schwartz n Bama 
[Time for another Banzai7 visual simplification.
It is very easy for the lay person to get totally lost in the discussion when it comes to high frequency trading. If you really want to "talk the talk" and "walk the walk" you have to understand cutting edge trading technologies, cutting edge algorithmic/quantitative trading strategies, market micro structure and the nascent market regulatory landscape or lack thereof.
But to communicate the basic issue intelligently, you do not have to become a genius in all of these areas. Leave that to the experts.
Here is what you need to know:
The world of Wall Street has always operated in three dimensions, technology and innovation, regulatory comprehension and what I will call the Ponzi factor.
Technology consists of product innovation, physical trading and number crunching technology and related software. It is in a permanent state of evolution which is accelerating at roughly the same pace as computer technologies.
The Ponzi Factor is the magic sauce Wall Street uses to juice the markets. This consists of a broad range of intangibles such as client relationships and networks, market and investment analytics and sales/schtupping acumen. Wall Street is in the business of combining these intangibles with advances in technology in order to mystically convince unsuspecting investors that 2+2=10. Significant fees are always charged for these efforts.
Here is where regulatory comprehension comes in. The regulators are constantly struggling to keep up to speed with Wall Street. Regulatory comprehension is a measure of the regulator's ability to track Wall Street's "ponzi" activities, to police it by means of enacted rules and regulations and to formulate efficacious enforcement strategies. If you are a regulator and you think you understand it all, you are ready to send your resume to Wall Street. The circle of life....
Look at area X in the chart. This is the sphere of Wall Street activity that falls clearly within the boundaries of existing regulatory comprehension. This is also a very low risk playground because the regulatory envelope is not being pushed here. It is plan vanilla, black and white, commoditized activity and pays a meager return. Boring!
Now look at area Y, that opaque area is what is known as the Wild West. It is the new new new thing. It is not fully understood by anyone. Not the bankstas, least of all the SEC et al. It is obviously under regulated and it offers a very attractive return on investment to Wall Street.
Does this sound familiar? It should. Area Y is where the derivative and securitization fiasco took place. Obama thinks the Frank 'n Dodd law pushes it all back up into area X. Al leat that is what Timmy told him. Well informed observers know better.
Now for HFT. HFT is also operating in Area Y. The SEC has been studying HFT up the wazoo. But they are on Flintstone time and the HFT industrial complex is operating on petaflops. All they can guesstimate is that there was a Waddell event that somehow started an unfathomable market chain reaction. No new regulations are being passed because no one seems to comprehend the warning signals. Yet, there have been many clear warning signals, even starting well before the May 6 flash crash. Now they want to spend loads of money to set up a monitoring apparatus in the vague hope that some regulatory epiphany will follow. Good luck!
So here is the bottom line as I see it.
We are getting set up for a another mega disaster. Last time we had clear warning signals like this was Long Term Capital Management. LTCM blew up, Greenspan dodged a bullet, Brooksley Born was run out of town and everyone saw a green light to go full tilt spider monkey with derivatives and structured finance. All the regulators, excepting Brooksley Born, were clueless. This time they are ignoring the the daily string of "Waddell Events" and they are fecklessly watching the market dry up as equity investors run for cover.
I hope this is helpful to some of you. My apologies to those of you who know much more about this than I do.
Have a nice trading day...
WB7]
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What's so scary about China making a fast computer?
For China it is not scary...for the ponzi paper manufacturing empire of the world (previously the high speed computer title holder) it is a sign of the ponzi times
Its not like its in New Jersey attached to the backbone, right?
Just kidding you dumbass... if you can not understand what 2nd place means... there is not alot HARP / HAMP or I will be able to do for you... Sorry!?
** sob!**
I wish I could vote for you!
I am imagining a new-and-improved, powerpoint-driven State of the Union Address.
Careful what you wish for ;-)
fine job!
what can you do with this?
http://www.bradblog.com/?p=8118
This looks very interesting! tnx for the link!
willB7 i simply can't keep up with you. how does your own mind?
maybe another analogy to speed how quickly a fire can start? milli seconds, i suppose with 30 mph winds. gosh damn another fire right up the canyon from me. WTF are people thinking burning leaves in the back yard. or how much water pressure through a hose? the speed of smoke in the air? it is scary now in this town with fires, winds and organic dried up matter. i got a foot of fallen leaves the other day on my deck. had to shovel a foot of leaves, not mine mind you but all of boulder's leaves.
serious funny satire you got. i need to turn this current situation into something funny but can't seem to dream it up.
All the leaves are brown... Be careful with those fires KC
"I further discovered that there are some estimate that suggest that the processing speed of the human brain is roughly 100 petaflops."
I hadn't heard that one Infinity, but let's review some old and new concepts in neurology, shall we to see how this might be.
Okay, class...Bueller? Banzai? BAN-zai? Ban-ZAI? Bitchez?!?!? Alright, that's better!
Neuron speed has been measured as slow as 0.5-2.0 meters/second (i.e., pain pathways - that's how you can touch something hot and before the pain makes you pull your hand away - you just burned yourself sufficiently to produce a blister); and up to 120 meters/second (i.e., the sensory pathways - towards the brain, and the motor pathways - from the brain/spinal cord.
Visualizing: Kung Fu fighting(everybody was Kung Fu...) and barroom fighting... You can duck a punch that you see coming, but to cold-cock someone (please, no cadaver sex jokes) means lights out before the pain of that punch registers. Coming to, "What happened?"
Now there is another concept where the nervous system has holographic communication: Every part of the body has instant and constant communication with every other part of the body – at all times. (Optimumly speaking, without any significant communication problems). The 'speed' here then would not be limited to electro/chemical mechanisms but may be attributable to biophotons between cells...
Sorry WBInfinity for the seriousness of my post, it happens sometimes.
I read that book the Holographic Brain, very interesting stuff indeed.
What do you think about this?
The 'Institute' seems to have hired former 7-11 employees again... Banker Head X-Ray.
Lt. Col. Frank Slade: You sharpshootin' me, punk? Is that what you're doin'? Don't you sharpshoot me! You'll give me forty. Then you're gonna give me forty more. Then you're gonna pull K.P., the grease pit! I'll rub your NOSE in enlisted men's CRUD till you don't know WHICH END IS UP! YOU UNDERSTAND?
It take it you mean something along the lines of 'screw loose'?
....just did 1000 push-ups...
....just did 1000 sit-ups...
....just did ...
Shartflop... the ludicrous speed of all ludicrous speeds!!!!
http://www.youtube.com/watch?v=wI4tevra8Lg
That is hysterical!!!
A WB extraordinarily entertaining "tour de force".
No comment I can make is good enough.
Tnx HBJ
In the last ranking, China made it to number two, so many will view the moment as symbolic. For a number of reasons I’d argue that the symbolism is misleading.
It is worth pointing out that the US will still hugely dominate the top 500 supercomputer list, having accounted for 282 in the last one in June. That’s unlikely to have shifted downwards by much.
http://blogs.techworld.com/war-on-error/2010/10/chinas-tianhe-1a-supercomputer-still-has-a-lot-to-prove/
I think the real message at this moment is the Chinese determination to become a dominant player in so many key areas.
Meanwhile we are busy trying to figure out who owns our houses and how much bull shit Wall Street is hiding from us.
The Chinese are watching you Wall Street.
The Bulls and Bears are both dead... speeding kills anything that it standing in the way...
Oh great, now the Chinese can frick things up faster than we can!
I visited NCAR this past summer and saw their new super computer, called Lynx, capable of 1.4 quadrillion computations per second. Yet, they still say that weather forecasting beyond 5 days is a toss up...you can only get so far with chaos. I guess in the markets with super computers the trader with the most bitchin' algo and highest speed "owns" the chaos factor and controls the game.
LOL. Squashes 'em flat.
Imagine what a bear would do to that car;-)
your help wanted ad might get more responses if you mention illegal drugs and hookers in there someplace.
Free Porn!
Kick Backs!
Good Drugs! Not Columbian, Good Pharma!
Pro Girls! not like your all thumbs wife!
Free Vacations!
Free Jewelry!
http://www.youtube.com/watch?v=OoXIjYJqQug
folding gpus? as part of thier (China's) program? or straight chip on chip hardcore porn?
http://www.youtube.com/watch?v=UWfWlTeoIgA
That is very interesting, tnx for posting
"Speeding Kills Bears".
William, that is a classic! My teen son loves your photoshopping too. Thanks for all the sanity checks!
Tnx SLS, tell your son this is what happens when one of your primary extra curricular activities in high school is laying waste to the art room. ;-)
HFT - Hat Foil Tin?
When this era of mutually assured financial destruction ends will there be a peace dividend and another ten fold increase in asset valuations?
Reading your posts is like going to a Cirque du Soleil show. Simply amazing.
Tnx Profit, hat foil tin indeed! (pun intended)
danger bill banzai...
http://dprogram.net/2010/10/28/any-president-that-would-dare-oppose-the-federal-reserve-gets-assassinated/?utm_source=feedburner&utm_medium=email&utm_campaign=Feed:+wordpress/Bcwy+(Deprogram)
Having trouble opening that, maybe the robots are following you
you are a national pleasure bill. very funny.
ROFL, At first I thought "who is this guy" WTF ... but now I find myself checking your posts. You are kind of like coffee - an acquired taste. Anyways .... keep up the good work.
Have you ever thought about what great User IDs WTF and ROFL would be. The only one that would be better is "Flag as Junk (0)" On the other hand there is some poor German guy named Rolf who can't understand why everyone online calls him ROFL ;-)
Glad you are entertained TB
Hilarious, your are a truly unique and talented individual. I laughed for ten minutes on the Getco Interface - Thanks!!
Tnx for laughing SS!
William ---
You have a pretty good grasp on all this, I think you should take a job at the SEC. I can just imagine the the morning meetings where you give daily Powerpoint presentations to enlighten Mary Schapiro.
Of course --- you probably wouldn't last the week ....... but the expression on her face would be priceless.
OK --- on to other stuff, my final draft has been posted --- I provided Charlton with companionship --- I'm calling it a day. Take a gander when you get a chance:
http://www.youtube.com/watch?v=HlVhx7LHF98
I would hire you as video coordinator but you've never worked at Goldman Sachs. Wait a minute, neither have I!
We're both fired!
I think Lloyd would hire me ...... after all, I provided him with excellent lodgings and impeccable office furniture.
I am sure Luca Van Praag is watching it on his stairmaster this very moment.
Ya think so .... geesh - I hope not
http://dealbreaker.com/2010/02/lucas-van-praags-secret-weapon/
I have a very funny thing I did on him. Twisted Tweeter on my blog.
What's your blog address?
williambanzai7.blogspot.com
Haha, the graph jam comic. Nice one - love that site.
You are right, it is very funny that site!
"speeding kills bears" - hilarious ! I propose we take it into financial slang.
It is funny ;-)
The path of the righteous man is beset on all sides by the inequities of the selfish and the tyranny of evil men. Blessed is he who, in the name of charity and goodwill, shepherds the weak through the valley of the darkness.
That's you, William. Helping to lay some vengeance in a hilarious way.