Time out of joint
Fincial trading venues and trading systems operate so quickly and rely on clocks so deeply that events like the one noted in this FINRA report are more common than many understand
The findings stated that the firm transmitted to OATS New Order Reports and related subsequent reports where the timestamp for the related subsequent report occurred prior to the receipt of the order,
In electronic trading such errors are easy to make. Two computer servers split the work in some data center and the clock on one is 10 milliseconds faster than the clock on the second. The faster device sends an order to a market and stamps it with the time. The slower device gets the response from the market and stamps it with the time.
- Time is 12noon.
- Clock on first server is 12:00.10
- Clock on second server is 12:00.00
- first server sends order marked 12:00.10
- confirmation comes at 12:00.05
- second server gets confirmation and marks it 12:00.05
- record shows order was sent after confirmation arrived
In fact, for many trading organizations this is scenario does not even require two servers because their clocks can jump backward.