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The substrate material of which the platters are made forms the base upon which the actual recording media is deposited. The media layer is a very thin coating of magnetic material which is where the actual data is stored; it is typically only a few millionths of an inch in thickness.
Older hard disks used oxide media. "Oxide" really means iron oxide--rust. Of course no high-tech company wants to say they use rust in their products, so they instead say something like "high-performance oxide media layer". :^) But in fact that's basically what oxide media is, particles of rust attached to the surface of the platter substrate using a binding agent. You can actually see this if you look at the surface of an older hard disk platter: it has the characteristic light brown color. This type of media is similar to what is used in audio cassette tape (which has a similar color.)
Oxide media is inexpensive to use, but also has several important shortcomings. The first is that it is a soft material, and easily damaged from contact by a read/write head. The second is that it is only useful for relatively low-density storage. It worked fine for older hard disks with relatively low data density, but as manufacturers sought to pack more and more data into the same space, oxide was not up to the task: the oxide particles became too large for the small magnetic fields of newer designs.
Today's hard disks use thin film media. As the name suggests, thin film media consists of a very thin layer of magnetic material applied to the surface of the platters. (While oxide media certainly isn't thick by any reasonable use of the word, it was much thicker than this new media material; hence the name "thin film".) Special manufacturing techniques are employed to deposit the media material on the platters. One method is electroplating, which deposits the material on the platters using a process similar to that used in electroplating jewelry. Another is sputtering, which uses a vapor-deposition process borrowed from the manufacture of semiconductors to deposit an extremely thin layer of magnetic material on the surface. Sputtered platters have the advantage of a more uniform and flat surface than plating. Due to the increased need for high quality on newer drives, sputtering is the primary method used on new disk drives, despite its higher cost.
Compared to oxide media, thin film media is much more uniform and smooth. It also has greatly superior magnetic properties, allowing it to hold much more data in the same amount of space. Finally, it's a much harder and more durable material than oxide, and therefore much less susceptible to damage.
After applying the magnetic media, the surface of each platter is usually covered with a thin, protective, layer made of carbon. On top of this is added a super-thin lubricating layer. These material are used to protect the disk from damage caused by accidental contact from the heads or other foreign matter that might get into the drive.
IBM's researchers are now working on a fascinating, experimental new substance that may replace thin film media in the years ahead. Rather than sputtering a metallic film onto the surface, a chemical solution containing organic molecules and particles of iron and platinum is applied to the platters. The solution is spread out and heated. When this is done, the iron and platinum particles arrange themselves naturally into a grid of crystals, with each crystal able to hold a magnetic charge. IBM is calling this structure a "nanocrystal superlattice". This technology has the potential to increase the areal density capability of the recording media of hard disks by as much as 10 or even 100 times! Of course it is years away, and will need to be matched by advances in other areas of the hard disk (particularly read/write head capabilities) but it is still pretty amazing and shows that magnetic storage still has a long way to go before it runs out of room for improvement.
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