Independent agency broker with over 10 years of experience providing high-throughput, low latency technologies to the pr

2. About Lime Brokerage • Independent agency broker with over 10 years of experience providing high-throughput, low latency technologies to the professional trading community. • Facilitates trading for high-frequency clientele as well as more traditional buy-side and other proprietary trading operations. • Close to issues affecting high frequency trading, with no proprietary interest of our own • Lime does not engage in proprietary trading, internalization or dark pool operation. • Products and services include: co-location (hub & spoke and LimeInside), algo trading, options trading, virtual brokerage and ultra-low latency data.

3. A Comment on Last Thursday • Hundreds of millions of shares traded by our HFT clients last Thursday with no issue. • Comprehensive pre-order controls before every single order/trade. • Clients were providing liquidity throughout the day, especially during the most volatile periods. • A prime example to us of HFT continuing to bring efficiency to the markets. • Insertion of pre-order controls is consistent with ultra-low latency.

4. Where Latency Exists • Client Software • BD validation • TCP/IP Stack Software Network Equipment Most to Least Inherent Latency • Network hops • Switching latency • Server nic cards Physical Distance • How far from the matching engine Some are optimized, but still room to reduce further on others

5. What can we do to reduce latency? • Latency game is nearly over for data delivery, order management and matching logic. • Anyone willing to make the appropriate investments can quickly reach minimum latency using conventional technology: software architectural efficiency is reaching canonical perfection. • Industry’s top performers have used every trick available with standard technology and have squeezed latency as far as it will go. • Need further enhancements from the computer science sector. • Best Bet: Should be working in partnership with your provider to help restructure code. Huge gains can still be made in computational algo restructuring. • FPGA work ensuing. True exploration of ASICs and fabrication technology is yet to occur.

6. Monitoring Latency • Evidence of poor quality latency monitoring and reporting by firms. • Apples and Oranges – little standard exists, mostly marketing buzz. • Industry needs to be intellectually honest, customers already know but are being confused with disinformation. • Within design tolerances, look at what comparative technology can do to aggregate risk, interact with the markets and provide configuration flexibility. • Co-location is but one piece to consider, in many cases the benefit of colo is negated by sub-optimal internal latency and applications. • Need to segregate: co-location, intra-process, through box, network, match interaction and message acknowledgement latencies.

7. Latency Monitoring Matrix

8. We are at a Critical Juncture for HFT • Need to agree on what is high frequency trading. • Need to agree on what is fair access. • We must avoid a regulatory environment which becomes a “race to the bottom”. • Stop procrastinating, rules banning naked access are inevitable. • Any structures providing unfair advantage to certain participants should be disclosed – preferential order types, IOIs/Broker ‘flash orders’, dark pools, prop trading etc. • There is nothing wrong with regulators keeping track of who’s trading provided that steps are taken to protect the intellectual property of the inventor.