AppliedMultiple choiceFree solution

Two systems: one has a mean of 2 μs2\,\mu s and a p99.9 of 22 ms, the other a mean of 5 μs5\,\mu s and a p99.9 of 20 μs20\,\mu s. Which do you want on a market-data path?

  1. AThe first, since it is faster on average
  2. BThe second, because its tail is far tighter
  3. CEither – the difference is only one in a thousand messages
  4. DThe first, then add a retry when it is slow
Show the answer and worked solution

Answer: B – The second, because its tail is far tighter

Take the second. A market-data path is judged on jitter rather than on the average, because slow paths are correlated with bursts and bursts are exactly when the messages matter: a two-millisecond stall lands during the news event you were positioned for. A predictable five microseconds is worth far more than an unpredictable two. "Only one message in a thousand" is precisely the wrong way to think about it, since that message is disproportionately the one that counted, and a retry does not help because by the time you know the path was slow the opportunity is gone and you have added load to a system already struggling.

Worked solution

  1. Formula
    judge a market-data path on its tail\text{judge a market-data path on its tail}
  2. Substitute
    2 μs/2 ms against 5 μs/20 μs2\,\mu s / 2\,\text{ms against } 5\,\mu s / 20\,\mu s
  3. Solve
    tail ratio=2000/20=100×\text{tail ratio} = 2000/20 = 100\times
  4. slow paths coincide with bursts\text{slow paths coincide with bursts}
    Which is when the messages matter most.
  5. Answer
    The second system\text{The second system}

Sanity check. A retry does not help, because by the time you know the path was slow the opportunity is gone.

  • A. Its tail is a hundred times worse, and the tail lands during the bursts that follow news.
  • B. Correct. Jitter is the target: a predictable 5 µs beats an unpredictable 2 µs.
  • C. That one message is disproportionately the one that mattered.
  • D. By the time you know it was slow, the opportunity has gone and the retry adds load.

Takeaway: A trading system is judged on its tail, not its mean.

Answer it in practice – your answer is marked and recorded.

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