About HFT Tracker
My goal with this project is to explore the real-world considerations that are made in the pursuit of high frequency trading (HFT) strategies. Because of these strategies, and the importance of the futures market, the CME Group data center located outside of Chicago plays an essential role in the world economy. Traders use the state of the futures market at this data center to determine what prices ought to be at the stock exchanges in New York. Having this prior knowledge of prices can be valuable, hence the competition in getting this information as quickly as possible.
In my opinon, there is a pretty cool physical connection to be made using this map that can serve to bring home some of this seemingly nonsensical financial magic. Each path shown on the map corresponds to real antennas at the termination/origin. I happen to pass one of these largely non-descript antennas on my commute to Chicago, and its pretty crazy to think about the immense volume of financial activity passing through the air in front of you.
The data presented on this map comes from two sources. The FCC data provides license information on microwave commucations available to the public. In addition, micronet provides millimeter wave data.
The microwave data from the FCC is filtered using known entities registered with the FCC that are involved in trading communications. This list was first compiled by Professor Lariviere at UIUC. The same filtering is not necessary for the millimeter wave data, given that it is used more exclusively by traders in short-distance scenarios. I simply plotted all millimeter wave data for the states of Illinois, New York, and New Jersey.
A more sophicticated interpretation of the FCC data depicted on the map could lead to interesting discoveries on latency reduction techniques.
In addition, evaluating the delays in certain orders (order intent to execution on exchange) could result in some interesting analysis. For example, if latency for these paths can be estimated (including equipment delay) it may be possible able to figure out exactly how quickly a specific firm is able to react to the market.
Of course, this would first require associating a specific trading firm with a communications path. That most likely isnt a solvable problem using only the available communications data. High frequency trading firms go to substantial lengths to obfuscate their existing capabilites, and this includes registering their communications using a non descriptive company name where one would struggle to find some connection to a trading firm.
There are some exceptions to this. McKay brothers is a well-known third party provider of high speed communications, and their registered paths can be easily found in the FCC data. Trading firms with the massive capital to build exclusive networks have incentives to hide their capabilites, while these third-party firms openly advertise their capabilites to court potential clients.