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Look up Jane Street Capital. They use functional programming with a very strict/smart type system (Ocaml) to help make sure that, for example, there are no logi

by javert 14y ago

Look up Jane Street Capital. They use functional programming with a very strict/smart type system (Ocaml) to help make sure that, for example, there are no logically possible situations in the code that they haven't programmed a response for. They have some pretty good eductional material online.

create_account 14y ago
"there are no logically possible situations in the code that they haven't programmed a response for" Until they blow up one day themselves... Call me cynical, but no type system, no matter how sophisticated, nor team of programmers, no matter how talented & experienced, is immune to this type of thing.
- kd0amg 14y ago
  Sure, it doesn't prevent them from doing the wrong thing in that situation, but it does require that they have given the situation enough attention to write code for it, which is a serious improvement over not handling it at all. As I understand it, they play defense in depth with regard to code quality.
- javert 14y ago
  As I said, it helps make sure that doesn't happen. Anyway, I don't think they'll blow themselves up big, like Dark Knight Capital did. First, this specific kind of thing doesn't happen often (where one firm just messed up so much that it makes world news). Second, it's clear from Jane Street's videos that they're pretty serious about quality. If I were going to bet on which market maker will screw up, it would be somebody else.
beagle3 14y ago
It's only as good as the specs (APIs, conventions, contracts) they are working against. In 2003, I was using a trade API that gave me confirmation about canceling an order at 10am. And then executed the same order at 1pm; Apparently, even though it did confirm cancellation, the order wasn't canceled. No matter how well your code is equipped against that - it's a legal problem, not a technical one. Similarly, when the exchange retroactively cancels ("busts") trades after a flash crash, with a rather arbitrary rule (e.g. all trades between 3:45pm and 3:54pm in AAPL with price < $500) - you're left holding the bag, regardless of how good your code is. The only winning moves in these cases is not to play - unfortunately, you can only tell retroactively.
- javert 14y ago
  Interesting!

by javert 14y ago

create_account 14y ago

"there are no logically possible situations in the code that they haven't programmed a response for" Until they blow up one day themselves... Call me cynical, but no type system, no matter how sophisticated, nor team of programmers, no matter how talented & experienced, is immune to this type of thing.

kd0amg 14y ago
Sure, it doesn't prevent them from doing the wrong thing in that situation, but it does require that they have given the situation enough attention to write code for it, which is a serious improvement over not handling it at all. As I understand it, they play defense in depth with regard to code quality.
javert 14y ago
As I said, it helps make sure that doesn't happen. Anyway, I don't think they'll blow themselves up big, like Dark Knight Capital did. First, this specific kind of thing doesn't happen often (where one firm just messed up so much that it makes world news). Second, it's clear from Jane Street's videos that they're pretty serious about quality. If I were going to bet on which market maker will screw up, it would be somebody else.

beagle3 14y ago

It's only as good as the specs (APIs, conventions, contracts) they are working against. In 2003, I was using a trade API that gave me confirmation about canceling an order at 10am. And then executed the same order at 1pm; Apparently, even though it did confirm cancellation, the order wasn't canceled. No matter how well your code is equipped against that - it's a legal problem, not a technical one. Similarly, when the exchange retroactively cancels ("busts") trades after a flash crash, with a rather arbitrary rule (e.g. all trades between 3:45pm and 3:54pm in AAPL with price < $500) - you're left holding the bag, regardless of how good your code is. The only winning moves in these cases is not to play - unfortunately, you can only tell retroactively.

javert 14y ago
Interesting!