8 ms·

I was working in HFT as a dev team lead around the time of this article (2105). I remember this was being seriously considered by one of our target exchanges (

I was working in HFT as a dev team lead around the time of this article (2105). I remember this was being seriously considered by one of our target exchanges (can't remember if it was Eurex or Globex). Our main HFT trader didn't seem worried - he said that the race would just change from a race to pick off an opportunity into a race to align with any auction timeframe. Back then, our strategies were implemented in FGPA so our response to events could be timed very accurately. Even randomly-timed rolling auctions wouldn't have posed any challenges. Probably explains why this idea never ended up being implemented by any of the major exchanges.

amelius 5y ago
If your strategies were implemented in FPGA, they were probably not very complicated (considering the things you can do on a regular CPU). Wouldn't markets function better if every participant had a reasonable amount of time to make decisions?
- deleted 5y ago
  [deleted]
- tedunangst 5y ago
  As a retro computing enthusiast who does algo trading from my Commodore 64, I would very much like more time to compute my trades.
  - hansor 5y ago
    This is interesting. May I ask how do you do it from software poinr of view? As for CPU and memory for sure it is possible, but I'm more interested about how do you connect into exechange/broker? Contiki, SLIP, PPP, or maybe some ethernet expansion ?
  - twic 5y ago
    I'd love to read about you trying to persuade the exchange to let you put that C64 in the colo.
- tubby12345 5y ago
  >they were probably not very complicated They use linear models and soft cores. Plenty complicated for the kind of arb you could get executing 500ns tick to trade better than the next firm.
- Traster 5y ago
  It’s not always that straight forward. In the hft space you’re essentially always responding to 1 event, a trade, an order, a cancellation etc. Events are generally spread far enough apart that you can consider them independently (obviously not always, but often) So it doesn’t matter how complicated your model is, if you can pose the question “what would you do if X happened” to your model then you can prepare your fpga with “if X happens do Y”. As long as your universe of possibilities is tractable (which it often is) then an arbitrary model can have all latency sensitive events offloaded to fpga.
- twic 5y ago
  The part of the strategy that lives on the FPGA has to be fairly simple, but that doesn't have to be the only part of the strategy. You can do all sorts of deep and meaningful computation on a real computer, then export some settings for a simple event-driven model to the FPGA, updated many times a second.
im3w1l 5y ago
The way I see it, HFT firms provide liquidity to the market, which is good. They do so in an automatic fasion which makes it cheaper than the past system of human traders. But they also do a speed competition which is mostly wasteful. There may be some benefit for the overall market of faster communications but it is pretty low. All systems have waste, some more and some less. This is unavoidable. So the discussion might be more productive if it was framed like this: Which system provides more benefits with less waste? Would frequent batch auctions lead to less resources being spent on wasteful racing, and more resources performing useful services for other market particpants? Or if we zoom out even more, the two main purposes of the market is allocating capital efficiently to businesses, and redistributing money from the working population to retired people (401k, IRA). And we can ask which market structure will make it better at these tasks? Framed like this it becomes natural to look at the other side of equation. Instead of asking which structure would screw over HFT's the most, we can ask which structure would be most convinient for say index funds or other mutural funds. And which structure would be most convinient for the individual stock picker. We could even start to ask which structure would help HFT's provide more liquidity with less risk.
- Retric 5y ago
  Swap to an auction batch model and they don’t provide liquidity, they simply don’t have significant stakes relative to the number of daily transactions. Essentially their an outgrowth of all trades needing to be instantaneous which lets them reuse the same capital thousands of times per day. Add to that the fact HFT are profitable and they must therefore provide negative economic value. Either the seller or the buyer is failing to capture value.
  - fighterpilot 5y ago
    Nonsense. Trade can be positive sum in utility to both parties. One party making profits doesn't imply anything about how utility is changing on the other side of the trade. If you buy an iPhone, Apple have gotten richer but you have also gained something (utility). Your understanding of HFT is wrong as well. It's not all low latency arbitrage. It's also execution finesse, risk management and ML-heavy. HFT firms will still be extremely active under this new market structure.
hcarlens 5y ago
Actually, it got implemented by most major exchanges in Europe in 2017/2018 and cboe seems to be bringing this to the US now: https://www.cboe.com/us/equities/trading/offerings/periodic_auctions/ https://www.cboe.com/us/equities/trading/offerings/periodic_...
- kamaitachi 5y ago
  Wow - TIL. Thanks. I've been out of the HFT business for a while, so i guess things have moved on.
  - hcarlens 5y ago
    Haha yeah! Though times for these auctions are double-digit milliseconds, a lifetime for your fpga strategies! And it's still fairly niche, these are complementing CLOBs/dark pools rather than replacing them. Where did you move to from hft?
    - kamaitachi 5y ago
      Moved into a small company that does process control (SCADA) systems development. Took a fairly large drop in salary but the work/life balance improved and job satisfaction increased. I'd previously done a lot of work in embedded SCADA systems (hence the fit for working with with FPGAs in HFT). I left mainly because I genuinely felt that there was a certain futility with ultra low latency trading...it's less about trading and more an arms race between quants and techies of different companies, all with deep pockets. I guess embedded SCADA systems are my comfort blanket :-)
      - anonymouse008 5y ago
        I'm merely an observer, but it feels, intuitively, that HFT was great when things were fairly predictable -- or more like the major indices and individual names moved a most 2% on any given day -- and now, in the post-covid era, starting with the DPZ spike, and you could argue the TSLA original call buying spree, everything is in shambles. A lot of HFTs I know of suffered serious losses... Could you explain, indirectly or without identifiers, why now is different than back then?

amelius 5y ago

If your strategies were implemented in FPGA, they were probably not very complicated (considering the things you can do on a regular CPU). Wouldn't markets function better if every participant had a reasonable amount of time to make decisions?

deleted 5y ago
[deleted]
tedunangst 5y ago
As a retro computing enthusiast who does algo trading from my Commodore 64, I would very much like more time to compute my trades.
- hansor 5y ago
  This is interesting. May I ask how do you do it from software poinr of view? As for CPU and memory for sure it is possible, but I'm more interested about how do you connect into exechange/broker? Contiki, SLIP, PPP, or maybe some ethernet expansion ?
- twic 5y ago
  I'd love to read about you trying to persuade the exchange to let you put that C64 in the colo.
tubby12345 5y ago
>they were probably not very complicated They use linear models and soft cores. Plenty complicated for the kind of arb you could get executing 500ns tick to trade better than the next firm.
Traster 5y ago
It’s not always that straight forward. In the hft space you’re essentially always responding to 1 event, a trade, an order, a cancellation etc. Events are generally spread far enough apart that you can consider them independently (obviously not always, but often) So it doesn’t matter how complicated your model is, if you can pose the question “what would you do if X happened” to your model then you can prepare your fpga with “if X happens do Y”. As long as your universe of possibilities is tractable (which it often is) then an arbitrary model can have all latency sensitive events offloaded to fpga.
twic 5y ago
The part of the strategy that lives on the FPGA has to be fairly simple, but that doesn't have to be the only part of the strategy. You can do all sorts of deep and meaningful computation on a real computer, then export some settings for a simple event-driven model to the FPGA, updated many times a second.

im3w1l 5y ago

The way I see it, HFT firms provide liquidity to the market, which is good. They do so in an automatic fasion which makes it cheaper than the past system of human traders. But they also do a speed competition which is mostly wasteful. There may be some benefit for the overall market of faster communications but it is pretty low. All systems have waste, some more and some less. This is unavoidable. So the discussion might be more productive if it was framed like this: Which system provides more benefits with less waste? Would frequent batch auctions lead to less resources being spent on wasteful racing, and more resources performing useful services for other market particpants? Or if we zoom out even more, the two main purposes of the market is allocating capital efficiently to businesses, and redistributing money from the working population to retired people (401k, IRA). And we can ask which market structure will make it better at these tasks? Framed like this it becomes natural to look at the other side of equation. Instead of asking which structure would screw over HFT's the most, we can ask which structure would be most convinient for say index funds or other mutural funds. And which structure would be most convinient for the individual stock picker. We could even start to ask which structure would help HFT's provide more liquidity with less risk.

Retric 5y ago
Swap to an auction batch model and they don’t provide liquidity, they simply don’t have significant stakes relative to the number of daily transactions. Essentially their an outgrowth of all trades needing to be instantaneous which lets them reuse the same capital thousands of times per day. Add to that the fact HFT are profitable and they must therefore provide negative economic value. Either the seller or the buyer is failing to capture value.
- fighterpilot 5y ago
  Nonsense. Trade can be positive sum in utility to both parties. One party making profits doesn't imply anything about how utility is changing on the other side of the trade. If you buy an iPhone, Apple have gotten richer but you have also gained something (utility). Your understanding of HFT is wrong as well. It's not all low latency arbitrage. It's also execution finesse, risk management and ML-heavy. HFT firms will still be extremely active under this new market structure.

hcarlens 5y ago

Actually, it got implemented by most major exchanges in Europe in 2017/2018 and cboe seems to be bringing this to the US now: https://www.cboe.com/us/equities/trading/offerings/periodic_auctions/ https://www.cboe.com/us/equities/trading/offerings/periodic_...

kamaitachi 5y ago
Wow - TIL. Thanks. I've been out of the HFT business for a while, so i guess things have moved on.
- hcarlens 5y ago
  Haha yeah! Though times for these auctions are double-digit milliseconds, a lifetime for your fpga strategies! And it's still fairly niche, these are complementing CLOBs/dark pools rather than replacing them. Where did you move to from hft?
  - kamaitachi 5y ago
    Moved into a small company that does process control (SCADA) systems development. Took a fairly large drop in salary but the work/life balance improved and job satisfaction increased. I'd previously done a lot of work in embedded SCADA systems (hence the fit for working with with FPGAs in HFT). I left mainly because I genuinely felt that there was a certain futility with ultra low latency trading...it's less about trading and more an arms race between quants and techies of different companies, all with deep pockets. I guess embedded SCADA systems are my comfort blanket :-)
    - anonymouse008 5y ago
      I'm merely an observer, but it feels, intuitively, that HFT was great when things were fairly predictable -- or more like the major indices and individual names moved a most 2% on any given day -- and now, in the post-covid era, starting with the DPZ spike, and you could argue the TSLA original call buying spree, everything is in shambles. A lot of HFTs I know of suffered serious losses... Could you explain, indirectly or without identifiers, why now is different than back then?