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Special Forums News, Links, Events and Announcements Complex Event Processing RSS News Beware the weight-challenged digits Post 302439476 by Linux Bot on Thursday 22nd of July 2010 04:15:02 PM

07-22-2010

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Beware the weight-challenged digits

John Bates
07-22-2010 01:33 PM
Fat fingers (or weight-challenged digits to my politically correct friends) have had a good run lately. First we heard that Deutsche Bank had to close its quantitative trading desk in Japan after an automated trading system misread equities market data. The system generated a massive sell order that caused the Nikkei 225 Stock Average to dive (full story here: http://tinyurl.com/23rnn5v). Then an unknown trader spiked the Swedish krona and a computer glitch at Rabobank smacked sterling by about 1%, according to the Wall Street Journal (http://tinyurl.com/2el9kgw).

Although the press was surprised that the efficient foreign exchange market was susceptible to trading errors, it is just as vulnerable as equities or futures. In FX, trades are often made directly to an FX trading destination such as EBS, Reuters or Currenex. In many institutions, trades are often made without adequate pre-trade checking or risk management applied.

As my colleague, Deputy CTO - Dr. Giles Nelson, told the Wall Street Journal: �The consensus in the market is that this was a computer-based trading error, but ultimately there would have been a human involved somewhere.�

Human error is part of being human. The reality of highly automated trading is that the programs are built by humans and run by super-fast machines. And unless there are robust computerized checking mechanisms that vet trades before they hit the markets, errors can wreak havoc in the blink of an eye.

Deutsche Bank's algorithms generated around 180 automated sell orders worth up to 16 trillion yen ($183 billion) and about 50 billion yen's worth were executed before the problem was addressed. The Rabobank mistake could have dumped �3 billion worth of sterling into the market in one lump, rather than splitting it up to lower market impact - but luckily the bank spotted the error and stopped the trade before it was fully completed. The Swedish krona mistake sank the krona against the euro by 14% before it was spotted.

Pre-trade risk checks would help to prevent errors, trade limit breaches, or even fraudulent trading from occurring. And pre-trade risk controls need not be disruptive. Ultra-low latency pre-trade risk management can be achieved by trading institutions without compromising speed of access. An option is a low latency "risk firewall" utilizing complex event processing as its core, which can be benchmarked in the microseconds.

With a real-time risk solution in place, a message can enter through an order management system, be run through the risk hurdles and checks, and leave for the destination a few microseconds later. The benefits of being able to pro-actively monitor trades before they hit an exchange or ECN or FX platform far outweigh any microscopic latency hops. They include catching fat fingered errors, preventing trading limits from being breached, and even warning brokers and regulators of potential fraud - all of which cost brokers, traders and regulators money.

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faq

FAQ(1)								       mrtg								    FAQ(1)

NAME

       help - How to get help if you have problems with MRTG

SYNOPSIS

       MRTG seems to raise a lot of questions. There are a number of resources apart from the documentation where you can find help for mrtg.

FAQ

       Alex van den Bogaerdt <alex@ergens.op.Het.Net> maintains the MRTG FAQ website on

	http://faq.mrtg.org

       In the following sections you find some additonal Frequently Asked Questions, with Answers.

       Why is there no "@#$%" (my native language) version of MRTG

       Nobody has contributed a @#$%.pmd file yet. Go into the mrtg-2.9.17/translate directory and create your own translation file.  When you are
       happy with it send it to me for inclusion with the next mrtg release.

       I need a script to make mrtg work with my xyz device.

       Probably this has already been done. Check the stuff in the mrtg-2.9.17/contrib directory. There is a file called 00INDEX in that directory
       which tells what you can find in there.

       How does this SNMP thing work

       There are many resources on the net, explaining about SNMP.  Take a look at this article from the Linux Journal by David Guerrero:

	http://www.develnet.es/~david/papers/snmp/

       And at this rather long document from CISCO

	http://www.cisco.com/univercd/cc/td/doc/cisintwk/ito_doc/snmp.htm

       The Images created by MRTG look very strange.

       Remove the *-{week,day,month,year}.png files and start MRTG again.  Using MRTG for the first time, you might have to do this twice. This
       will also help, when you introduce new routers into the cfg file.

       What is my Community Name?

       Ask the person in charge of your Router or try 'public', as this is the default Community Name.

       My graphs show a flat line during an outage. Why ?

       Well, the short answer is that when an SNMP query goes out and a response doesn't come back, MRTG has to assume something to put in the
       graph, and by default it assumes that the last answer we got back is probably closer to the truth than zero.  This assumption is not per-
       fect (as you have noticed), it's a trade-off that happens to fail during a total outage.

       If this is an unacceptable trade-off,use the unknaszero option.

       You may want to know what you're trading off, so in the spirit of trade-offs, here's the long answer:

       The problem is that MRTG doesn't know *why* the data didn't come back, all it knows is that it didn't come back.  It has to do something,
       and it assumes it's a stray lost packet rather than an outage.

       Why don't we always assume the circuit is down, and use zero, which will (we think) be more nearly right?  Well, it turns out that you may
       be taking advantage of MRTG's "assume last" behaviour without being aware of it.

       MRTG uses SNMP (Simple Network Management Protocol) to collect data, and SNMP uses UDP (User Datagram Protocol) to ship packets around.
       UDP is connectionless (not guaranteed) - unlike TCP where packets are tracked and acknowledged and, if needed, re-transmitted, UDP just
       throws packets at the network and hopes they arrive. Sometimes they don't.

       One likely cause of lost SNMP data is congestion, another is busy routers.  Other possibilities include transient telecommunications prob-
       lems, router buffer overflows (which may or may not be congestion-related), "dirty lines" (links with high error rates), and acts of God.
       These things happen all the time, we just don't notice because many interactive services are TCP-based and the lost packets get retransmit-
       ted automatically.

       In the above cases where some SNMP packets are lost but traffic is flowing, assuming zero is the wrong thing to do - you end up with a
       graph that looks like it's missing teeth whenever the link fills up.  MRTG interpolates the lost data to produce a smoother graph which is
       more accurate in cases of intermittent packet loss.  But with V2.8.4 and above, you can use the "unknaszero" option to produce whichever
       graph is best under the conditions typical of your network.

AUTHOR

       Tobias Oetiker <oetiker@ee.ethz.ch>

3rd Berkeley Distribution					      2.9.17								    FAQ(1)