4 ms·

> Markets should be tailored to the needs of its users. Well, they are. HFTs do 70% of the volume, so the markets are tailored to their needs.

by 21 9y ago

d--b 9y ago
Right, exchanges benefit from HFT in transaction fees. Which is why they have little incentive to change anything.
- dsacco 9y ago
  What about when exchanges pay out rebates to HFT firms for enhancing liquidity?
  - d--b 9y ago
    There is value in having subsecond liquidity, not submillisecond.
    - dsacco 9y ago
      Why is there value in sub-second, but not sub-millisecond? What makes that distinction not just an arbitrary assessment?
    - d--b 9y ago
      Replying here since I cant comment further: 1. Of course it's arbitrary. And the current time resolution (a computer tick = one ten-millionth?) is just as arbitrary. 2. The market is a man-made system, it's made by and for humans. It would make sense that the time resolution of events is mapped to human perception: You need subsecond liquidity because traders want to perceive their orders as being immediate. But as soon as the order looks immediate, you don't need further precision. The additional resolution is useless to anyone making decisions and only encourages a stupid race that requires immense investments. 3. Can you explain what you think is the value in submillisecond trading?
      - dsacco 9y ago
        > Of course it's arbitrary. And the current time resolution (a computer tick = one ten-millionth?) is just as arbitrary. So why should we change it? > The market is a man-made system, it's made by and for humans. It would make sense that the time resolution of events is mapped to human perception: You need subsecond liquidity because traders want to perceive their orders as being immediate. But as soon as the order looks immediate, you don't need further precision. The additional resolution is useless to anyone making decisions and only encourages a stupid race that requires immense investments. I don't follow - by that logic, everything created by humans shouldn't have resolution greater than what we can perceive. Does this hold for, say, HTTP requests, or pings? > Can you explain what you think is the value in submillisecond trading? It allows me to complete trades before the market turns against me. In the absence of any particular harm, faster execution is better.
      - consz 9y ago
        Why do you think the direct participants in the market are primarily humans? There are many automated, non-HFT strategies participating in the market which want, and benefit, from having a time resolution much smaller than what humans can perceive. Also, to your third point -- as a market maker, more information is strictly better than less information (as a corollary, shorter time resolution is better than longer time resolution). Any time I have less information, my predictions are worse, my risk goes up, and I have to either quote less or wider, making liquidity worse and hurting other (non-HFT) participants.

> Markets should be tailored to the needs of its users. Well, they are. HFTs do 70% of the volume, so the markets are tailored to their needs.

by 21 9y ago

> Markets should be tailored to the needs of its users. Well, they are. HFTs do 70% of the volume, so the markets are tailored to their needs.

d--b 9y ago

Right, exchanges benefit from HFT in transaction fees. Which is why they have little incentive to change anything.

dsacco 9y ago
What about when exchanges pay out rebates to HFT firms for enhancing liquidity?
- d--b 9y ago
  There is value in having subsecond liquidity, not submillisecond.
  - dsacco 9y ago
    Why is there value in sub-second, but not sub-millisecond? What makes that distinction not just an arbitrary assessment?
  - d--b 9y ago
    Replying here since I cant comment further: 1. Of course it's arbitrary. And the current time resolution (a computer tick = one ten-millionth?) is just as arbitrary. 2. The market is a man-made system, it's made by and for humans. It would make sense that the time resolution of events is mapped to human perception: You need subsecond liquidity because traders want to perceive their orders as being immediate. But as soon as the order looks immediate, you don't need further precision. The additional resolution is useless to anyone making decisions and only encourages a stupid race that requires immense investments. 3. Can you explain what you think is the value in submillisecond trading?
    - dsacco 9y ago
      > Of course it's arbitrary. And the current time resolution (a computer tick = one ten-millionth?) is just as arbitrary. So why should we change it? > The market is a man-made system, it's made by and for humans. It would make sense that the time resolution of events is mapped to human perception: You need subsecond liquidity because traders want to perceive their orders as being immediate. But as soon as the order looks immediate, you don't need further precision. The additional resolution is useless to anyone making decisions and only encourages a stupid race that requires immense investments. I don't follow - by that logic, everything created by humans shouldn't have resolution greater than what we can perceive. Does this hold for, say, HTTP requests, or pings? > Can you explain what you think is the value in submillisecond trading? It allows me to complete trades before the market turns against me. In the absence of any particular harm, faster execution is better.
    - consz 9y ago
      Why do you think the direct participants in the market are primarily humans? There are many automated, non-HFT strategies participating in the market which want, and benefit, from having a time resolution much smaller than what humans can perceive. Also, to your third point -- as a market maker, more information is strictly better than less information (as a corollary, shorter time resolution is better than longer time resolution). Any time I have less information, my predictions are worse, my risk goes up, and I have to either quote less or wider, making liquidity worse and hurting other (non-HFT) participants.