3 ms·

I'm not sure how widespread it is, but Nanex have a breakdown of a single case where Citadel were using this strategy: http://www.nanex.net/aqck2/4670.html http

by smcl 10y ago

I'm not sure how widespread it is, but Nanex have a breakdown of a single case where Citadel were using this strategy: http://www.nanex.net/aqck2/4670.html http://www.nanex.net/aqck2/4670.html

evanpw 10y ago
Very bizarre reasoning: a misconfiguration can cause the strategy to do X => the strategy was designed to do X. Seems more like evidence for "quote stuffing is a bug": https://www.chrisstucchio.com/blog/2014/quote_stuffing_is_a_software_bug.html https://www.chrisstucchio.com/blog/2014/quote_stuffing_is_a_...
- smcl 10y ago
  That article is extremely bizarre. Nanex make a pretty clear argument that Citadel fired out a set of orders it didn't intend to get filled to introduce a delay between SIP and Nasdaq and intended to take advantage of the delay. The Chris Stucchio article opens with a cute take on the South Park underpants gnomes list ("2. ???") and suggests that nobody has outlined why this strategy would be profitable ... which is weird because this is exactly what Nanex did: "What is the benefit of a feed delay? For one, latency arbitrage is enhanced, especially if the delay is predictable, which it would be for someone running a Quote Stuffing trading strategy. The type of firm that would benefit the most from latency arbitrage would be an internalizer - someone that matched retail stock trades based on the slower SIP, but could buy and sell the same stocks on the faster direct feed, a strategy that became visible during the Nasdaq Blackout. By the way, Citadel's bread and butter is internalizing (matching) retail stock trades" This is extremely easy to understand. Reading on there are a number of xkcd-style graphs that basically say "testing is hard!" but still don't really provide a solid rebuttal. I stopped reading at that point, I'm afraid :( I'm far from an expert on this, and my opinion really doesn't matter - but I'm far more persuaded by the Nanex explanation.
hermitdev 10y ago
I'm sceptical of this analysis because they claim they probably meant milliseconds instead of microseconds. It is certainly quite easily possible to send trades microseconds apart, especially if you're colocated (and probably not under a vm, bit probably still possible on a vm if the physical host isnt too taxed).

by smcl 10y ago

I'm not sure how widespread it is, but Nanex have a breakdown of a single case where Citadel were using this strategy: http://www.nanex.net/aqck2/4670.html http://www.nanex.net/aqck2/4670.html

evanpw 10y ago

Very bizarre reasoning: a misconfiguration can cause the strategy to do X => the strategy was designed to do X. Seems more like evidence for "quote stuffing is a bug": https://www.chrisstucchio.com/blog/2014/quote_stuffing_is_a_software_bug.html https://www.chrisstucchio.com/blog/2014/quote_stuffing_is_a_...

smcl 10y ago
That article is extremely bizarre. Nanex make a pretty clear argument that Citadel fired out a set of orders it didn't intend to get filled to introduce a delay between SIP and Nasdaq and intended to take advantage of the delay. The Chris Stucchio article opens with a cute take on the South Park underpants gnomes list ("2. ???") and suggests that nobody has outlined why this strategy would be profitable ... which is weird because this is exactly what Nanex did: "What is the benefit of a feed delay? For one, latency arbitrage is enhanced, especially if the delay is predictable, which it would be for someone running a Quote Stuffing trading strategy. The type of firm that would benefit the most from latency arbitrage would be an internalizer - someone that matched retail stock trades based on the slower SIP, but could buy and sell the same stocks on the faster direct feed, a strategy that became visible during the Nasdaq Blackout. By the way, Citadel's bread and butter is internalizing (matching) retail stock trades" This is extremely easy to understand. Reading on there are a number of xkcd-style graphs that basically say "testing is hard!" but still don't really provide a solid rebuttal. I stopped reading at that point, I'm afraid :( I'm far from an expert on this, and my opinion really doesn't matter - but I'm far more persuaded by the Nanex explanation.

hermitdev 10y ago

I'm sceptical of this analysis because they claim they probably meant milliseconds instead of microseconds. It is certainly quite easily possible to send trades microseconds apart, especially if you're colocated (and probably not under a vm, bit probably still possible on a vm if the physical host isnt too taxed).