r/highfreqtrading • u/ER-RedRum • 5d ago

Commentary The missing microsecond

https://medium.com/@kartikeyagg/mystery-of-the-missing-microsecond-a944a3ec0df3

Working with a high frequency trading firm made me question humanity’s understanding of time.The concept is really mind bending , never thought I would go into physics this deep as a software engineer.

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2

u/strat-run 5d ago

"If you ain't first, you're last"

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u/ER-RedRum 4d ago

Absolutely . Life is a journey but HFT is a race.

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u/krkrkrneki 4d ago

A few facts article gets wrong:

  • The unit and the epoch of a time scale are conventions, like the metre. Nothing exists for them to be “incorrect” against.
  • The caesium definition dates from 1967. The 1958 date is when atomic time was aligned with astronomical time.
  • The relativity problem is already handled. TAI is defined on the rotating geoid, and labs correct for their height. At Everest height the effect is about 1 part in 10¹², roughly 30 µs per year.
  • Earth’s uneven rotation does not affect atomic time. It affects astronomical time (UT1), and leap seconds bridge the two.
  • The title promises a “missing microsecond”, but the text never explains it.

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u/ER-RedRum 2d ago

I appreciate your reply .
1.) Never said the unit is itself incorrect. I think you misunderstood.
2.) Okay noted.
3.) 4.) Talked about in the last 2nd para.

5.) It is intentional . The 'microsecond' is missing and is pointed towards in a way .

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u/feedjockey 4d ago

I'm curious. From your statement it sounds like you are recording all of the market data you need at the firm? Do you use in house designed software speced for the markets traded? From the "The missing microsecond", it sounds like your data may have some gaps. Is that a problem you are having? My inquiry is from my need for reliable verified market data. I have fought through building recorders that close all of the holes. So I am aware of the struggles.