hft_throwaway

6 ms·

1.
by hft_throwaway 12y ago
https://gigaom.com/2012/01/16/sarah-lacys-pandodaily-launche... http://techcrunch.com/2013/05/23/lyft-a16z/ http://www.cnbc.com/id/102008782
2.
by hft_throwaway 12y ago
That assumes there is no bias to their signal returns over time, which is extremely unlikely. 90% of the moves that go their way could happen in the first second, for example. Many HFTs hold positions for seconds or minutes, and predict pri
3.
by hft_throwaway 12y ago
More than when I last looked, but to put that in perspective, you could trade $40mm in a few price ticks in major currency pairs and CME avg daily turnover alone is > $100bn: http://cmegroup.mediaroom.com/2013-06-07-CME-G
4.
by hft_throwaway 12y ago
A simple signal would be more shares bid than offered at the inside market. Imagine a market with 1000000 shares bid at $4 and 100 shares offered at $4.01, it's more likely to tick up than down in the very near-term. This isn't tr
5.
by hft_throwaway 12y ago
I see no mention of the spread, costs or even ability to put on a short position, exchange lag variability (huge issue when simulating even on modern exchanges, let alone fly-by-night bitcoin markets). Additionally, it is very easy to find
6.
by hft_throwaway 12y ago
I don't believe they were trading with themselves. They were accumulating stock in the opposite direction to hedge their imbalance-only order. However, the way they accumulated that stock was done in a way that would impact the price r
7.
by hft_throwaway 12y ago
Matt Levine's Bloomberg article is a good layman's explanation of the issues: http://www.bloombergview.com/articles/2014-10-16/high-speed-... They were wrong and got punished, but the market would have p
8.
by hft_throwaway 12y ago
It is stuffy, but I wouldn't call it backward-thinking, unless mindless hedonism is what passes for forward-thinking these days. Raising children without marriage would be akin to starting a business without incorporation or contracts.
9.
by hft_throwaway 12y ago
The claim that market makers pass costs on to end users is only true if they have pricing power. In reality, on-exchange liquidity provision is basically the kind of perfect competition that only exists in economics textbooks. Market makers
10.
by hft_throwaway 12y ago
That's not what's happening here. Traders are arbitraging and reacting to public trades and orders on multiple markets. If you walk through a physical market where 8 apple carts are lined up, all selling apples for $1, buy every a
11.
by hft_throwaway 12y ago
Cool idea! Some questions/thoughts: Do you provide any access to raw tick-by-tick event data or just bars? How do you secure your users' scripts so they don't worry about you stealing their ideas or front-running them? It mig
12.
by hft_throwaway 12y ago
That should create opportunity for automated trading. Identify large orders and place small orders a de minimis amount ahead of them when the bid-offer spread is sufficiently large. If someone trades with your bid (offer), try to be the bes
13.
by hft_throwaway 12y ago
It likely was happening. If I'm a market-maker, I want to trade with retail orders or slowly sliced institutional orders that are trying to rebalance a portfolio throughout the day. When I sell stock to them, the price doesn't m
14.
by hft_throwaway 12y ago
But isn't that because C++ itself evolved from C? The original "C With Classes" wasn't much more than a convenient syntactic sugar for using structs and function pointers as a poor man's object system, something tha
15.
by hft_throwaway 12y ago
Guys who write HFT systems in Java are basically programming them like one would in C or C++. They pre-allocate byte buffers for everything and never run the GC. If you write C-style code in Java, it's going to run pretty quickly. They
16.
by hft_throwaway 12y ago
Yes. Alinea was a touch more subdued. ;)
17.
by hft_throwaway 12y ago
I think it's a bad idea for a restaurant. Auctions generally involve "winner's curse" where the top bidder almost always overpays vs. fair value. Restaurants want to give customers a good experience to keep them coming b
18.
by hft_throwaway 12y ago
Hear, hear.
19.
by hft_throwaway 12y ago
I hacked up something with Asterisk to auto-dial Schwa until I got something other than the dreaded machine. Alinea is like walking into a fantasy world on acid but eating incredible food with Aesop Rock blasting while Chef swigs Jameson 10
20.
by hft_throwaway 12y ago
How many do you have? What is "sufficient" collateral? If someone has the cash, is able to withstand volatility, and the rates are low enough this trade is a no-brainer. BTCs have no intrinsic value and are propped up by speculato
21.
by hft_throwaway 12y ago
I see a lot of people make claims like this, or even stronger ones such as claiming it has little/nothing to do with environment. Charts like this bear that out somewhat with the poorest Asian and white students scoring higher on the S
22.
by hft_throwaway 12y ago
It's a Britishism that's a more polite way of saying that: http://en.wikipedia.org/wiki/Tired_and_emotional FWIW it seems unlikely that this type of behavior would be brought about by drinking alone, especial
23.
by hft_throwaway 12y ago
That's very true in this case. The issue here was that Knight isn't just trading for its own account. They're a broker where they likely have some SLA-ish agreement with clients, or face repetitional risk at the very least. A
24.
by hft_throwaway 12y ago
The code was QAed, but they didn't test old and new versions against each other. Version A could accept a flag and run obsolete logic that would lose control of its orders but never sent it, so this problem never happened. Version B se
25.
by hft_throwaway 12y ago
You know that saying about finding yourself in a hole? A "close out my risk" button is fine for situations like losing money or whatever, but if you have no clue what your orders, trades and risk even are, the only sensible thing
26.
by hft_throwaway 12y ago
I think you are right on the money and most traders do use techniques analogous to the ones you describe when designing models: http://www.decal.org/file/2945 "Alpha is often nothing more than taking commonly avai
27.
by hft_throwaway 12y ago
Because the market has many actors. If I try to push the market down to shake out stop losses, another trader may say, "Hey, this price move doesn't make sense considering recent activity, how the broad market is moving, etc., I&#
28.
by hft_throwaway 12y ago
Misuse of language by opponents of automated trading is intentional. When presented with examples of beneficial computerized trading like automated market making, they throw their hands in the air and say, "oh no, when I say 'HFT&
29.
by hft_throwaway 12y ago
I think it is more short-term day traders taking money from naive HFTs. I'm sure some people automate this type of manipulation, but I seriously doubt that any of the "big name" market making firms do it. They are under a lot
30.
by hft_throwaway 12y ago
But even they admit that a market flashing between 100.01 offer and 100.00 offer is sometimes beneficial for them. It says their execution algo will attempt to "pick off" the 100.00 offer with IOCs if they are representing a buyer

More ›