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Loving this series of articles! Does any of this low-latency work make it back upstream into Linux or other parts of the software stack? As a latency-obsessed

Loving this series of articles! Does any of this low-latency work make it back upstream into Linux or other parts of the software stack? As a latency-obsessed person I would love to know that the fruits of all this labor were available to me for my own low-latency systems. To me, that alone would be enough to feel that the latency-race is providing value to the world. Also, one thing that was not clear to me is how electronic market makers make decisions. The article clearly states that they "have no opinion or information on whether Apple is a valuable company." So what do they have information about? The price history of the stock? The current contents of the book? And on what basis do they make decisions? I guess answering that question in too much detail would be giving up the "secret sauce," but I'd love to know even in broad strokes how an agent that knows so little can so consistently make money.

anonDataUser 15y ago
Here's the secret sauce: http://appli8.hec.fr/rosu/research/news.pdf http://appli8.hec.fr/rosu/research/news.pdf
- haberman 15y ago
  Awesome, thanks for the reference!
deleted 15y ago
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yummyfajitas 15y ago
Usually the low latency stuff is kept pretty secret. However, I got good at writing performing code, and as a result styloot.com is pretty fast. The article clearly states that they "have no opinion or information on whether Apple is a valuable company." This is an exaggeration. Some HFT's incorporate speculative mechanisms into their strategy, supposedly a few people buy the twitter firehose and market news and feed that into their strategy. But in general, HFT's run purely technical strategies. So what do they have information about? The price history of the stock? The current contents of the book? And on what basis do they make decisions? All this sort of stuff. For example, if the book has 20 buy orders at $10.00, and only one sell order at $10.03, that's an indication the price might be going up shortly. But really, it's not all that vital to predict things. The HFT is passively waiting with orders at $10.00 and $10.03 for someone else to fill them - they make money when they sell to someone at $10.03, then close their position by buying at $10.00. The trick is to avoid adverse selection - if the market is likely to move up, don't get caught with a sell order.
- deleted 15y ago
  [deleted]
ig1 15y ago
Some of it does make it back upstream, I know of at least one occasion where RedHat added a low-latency kernel improvement on behalf of a bank. It was a switched option that's off by default, so probably most people don't have it on. It was something that needed to be deployed across a large number of machines and the bank in question didn't want to take all of the machines out of the support contract (by using custom built kernels) so they decided an upstream fix was the best solution. The fact it was switched probably means most of the bank's competing firms don't even realize it's there.

anonDataUser 15y ago

Here's the secret sauce: http://appli8.hec.fr/rosu/research/news.pdf http://appli8.hec.fr/rosu/research/news.pdf

haberman 15y ago
Awesome, thanks for the reference!

deleted 15y ago

[deleted]

yummyfajitas 15y ago

Usually the low latency stuff is kept pretty secret. However, I got good at writing performing code, and as a result styloot.com is pretty fast. The article clearly states that they "have no opinion or information on whether Apple is a valuable company." This is an exaggeration. Some HFT's incorporate speculative mechanisms into their strategy, supposedly a few people buy the twitter firehose and market news and feed that into their strategy. But in general, HFT's run purely technical strategies. So what do they have information about? The price history of the stock? The current contents of the book? And on what basis do they make decisions? All this sort of stuff. For example, if the book has 20 buy orders at $10.00, and only one sell order at $10.03, that's an indication the price might be going up shortly. But really, it's not all that vital to predict things. The HFT is passively waiting with orders at $10.00 and $10.03 for someone else to fill them - they make money when they sell to someone at $10.03, then close their position by buying at $10.00. The trick is to avoid adverse selection - if the market is likely to move up, don't get caught with a sell order.

deleted 15y ago
[deleted]

ig1 15y ago

Some of it does make it back upstream, I know of at least one occasion where RedHat added a low-latency kernel improvement on behalf of a bank. It was a switched option that's off by default, so probably most people don't have it on. It was something that needed to be deployed across a large number of machines and the bank in question didn't want to take all of the machines out of the support contract (by using custom built kernels) so they decided an upstream fix was the best solution. The fact it was switched probably means most of the bank's competing firms don't even realize it's there.