3 ms·
> A heuristic like "only make 1000 trades a minute" could have saved Knight $400 million! A heuristic like that would not allow Knight to function. Knight is a
by fr0sty 14y ago
> A heuristic like "only make 1000 trades a minute" could have saved Knight $400 million!
A heuristic like that would not allow Knight to function. Knight is an electronic market-maker (one of the biggest) and is probably making markets in thousands of symbols and likely updates those quotes several times a second. Their normal quoting rate is on the order of millions of messages/minute and in volatile times may spike 10x or more and still be within 'normal' limits.
- justincormack 14y agoA heuristic like "do not lose more than $100m a day" would have saved the company.
- veyron 14y agoPNL limits are required risk checks. Clearly Knight didn't implement them ...
- harryh 14y agoMore likely they thought they had implemented them but they were implemented incorrectly.
- beagle3 14y agoStop-losses are not guarantees of execution. If you're in an illiquid market, or one that moves faster than you're prepared for, then your PNL check may alert you, but it won't save you from the loss.
- NelsonMinar 14y agoUse your imagination to come up with a more appropriate heuristic.