3 ms·

"These sorts of problems will occur in any distributed system which runs at a high rate without humans in the loop" You write a risk check gateway once. It ra

by veyron 14y ago

"These sorts of problems will occur in any distributed system which runs at a high rate without humans in the loop" You write a risk check gateway once. It rarely if ever needs to be touched. If you do this right, you roll out changes on one machine with strict risk controls (1000 share position, for example) to prevent such a blowout. Then you transition everything else. Ironically, this should be exactly what other tech firms should do: roll out changes to a small area, check basic problems, and then move on to a larger rollout.

fr0sty 14y ago
> You write a risk check gateway once. It rarely if ever needs to be touched. Such checks are only as good as the imagination of the author. > Then you transition everything else. Which is all well and good until you have an issue where two independent systems creat a feedback loop. Such problems are only evident 'at scale'. I'm not blaming or trying to exonerate anyone. I love armchair quarterbacking as much as the next guy but a small trading shop runs a little differently than america's largest electronic market maker.
- veyron 14y ago
  I went through this process myself in setting up a self-clearing BD, so I am fully aware of all of the relevant rules and regulations. >Such checks are only as good as the imagination of the author. SEC and FINRA regulations require very specific risk checks. One of those involves looking at potential positions if all of your (buy or sell) orders get filled. You have to sum your max potential gross position across all symbols and decide if you will trip a limit. If so you have to halt. This is not imagination; this is codified. If you send an order for 100 shares, you HAVE TO ASSUME they were filled when you send the next order. That's the rule. This was not left to imagination. "Which is all well and good until you have an issue where two independent systems creat a feedback loop. Such problems are only evident 'at scale'." There should be no feedback where the trading engine affects risk check. In fact, the new rules require separate code bases and separate legal entities.
  - dodgecaravan 14y ago
    You created a self-clearing broker/dealer? Thats incredible. I would hope that the benefits of that paperwork outweighs the incredible costs of setting that up.

by veyron 14y ago

fr0sty 14y ago

> You write a risk check gateway once. It rarely if ever needs to be touched. Such checks are only as good as the imagination of the author. > Then you transition everything else. Which is all well and good until you have an issue where two independent systems creat a feedback loop. Such problems are only evident 'at scale'. I'm not blaming or trying to exonerate anyone. I love armchair quarterbacking as much as the next guy but a small trading shop runs a little differently than america's largest electronic market maker.

veyron 14y ago
I went through this process myself in setting up a self-clearing BD, so I am fully aware of all of the relevant rules and regulations. >Such checks are only as good as the imagination of the author. SEC and FINRA regulations require very specific risk checks. One of those involves looking at potential positions if all of your (buy or sell) orders get filled. You have to sum your max potential gross position across all symbols and decide if you will trip a limit. If so you have to halt. This is not imagination; this is codified. If you send an order for 100 shares, you HAVE TO ASSUME they were filled when you send the next order. That's the rule. This was not left to imagination. "Which is all well and good until you have an issue where two independent systems creat a feedback loop. Such problems are only evident 'at scale'." There should be no feedback where the trading engine affects risk check. In fact, the new rules require separate code bases and separate legal entities.
- dodgecaravan 14y ago
  You created a self-clearing broker/dealer? Thats incredible. I would hope that the benefits of that paperwork outweighs the incredible costs of setting that up.