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Lecture, Tutorial

Making Trades in Microseconds and Nanoseconds

Jane StreetDwarkesh Patel, Ron Minsky, Dan Pontecorvo
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  • The firm intends to construct an optimal trading strategy via an ensemble approach that assigns distinct decision-making processes to time horizons spanning from nanoseconds and milliseconds to daily intervals of one hour or more.
  • Strategic trade-offs exist between decision sophistication and execution speed, as high-speed regimes under 100 nanoseconds are restricted to simple logic on specialized FPGAs, whereas slower horizons encompassing microseconds to milliseconds accommodate more complex decision types.
  • Sub-100-nanosecond trading requires FPGAs directly attached to the network rather than CPUs to ensure packet processing latency is minimized such that transmission begins before packet consumption is complete.