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How to lose $172,222 a second for 45 minutes
- jjp 11y agoSummary of Knight Frank high speed trading mishaps.
- brudgers 11y agoDate: 2013 Big discussion: https://news.ycombinator.com/item?id=6589508 https://news.ycombinator.com/item?id=6589508
- ajbonkoski 11y agoPage 4 summarizes all that really needs to be said here: http://www.sec.gov/litigation/admin/2013/34-70694.pdf http://www.sec.gov/litigation/admin/2013/34-70694.pdf Knight didn't have a proper risk system. A correct risk system is a dead-man switch. There is just no way to place this many erroneous orders and get them filled. Capital Limits Exceeded: Full Shutdown. Risk System Crashes: Full shutdown. Heartbeat fails: Full shutdown. Better to have a paranoid risk system than a rouge strategy. The real flaw wasn't legacy code, it was straight-up laziness. This really isn't rocket-science.