4 ms·

No, I'm already in the finance industry. There are two main reasons I'm doing this: - I think the finance industry is very closed when it comes to intellectual

No, I'm already in the finance industry. There are two main reasons I'm doing this: - I think the finance industry is very closed when it comes to intellectual property development, and an open source approach can be seriously competitive. An open approach may well be the future when it comes to being 'connected' - HFT is an interesting multi-disciplinary problem and the shear breadth of expertise required - modern chip design, low-latency software/hardware interaction, lock-free concurrency, fault-tolerant system design, adaptive learning algorithms, k-means clustering - means I'm learning heaps every day. I just don't agree that HFT is a scourge. It's an ecological shift (neither good or evil) and longer-horizon investors need to evolve.

nezza-_- 14y ago
No, long-horizon investors are normally overall not interested in HFT because they won't 'suffer' from it.
zamalek 14y ago
"HFT is an interesting multi-disciplinary problem" This makes this a very worthwhile project: whether or not anything comes of it (I considered writing technical analysis trading software for the exact same reason). Some documentation about the patterns and techniques you used would likely benefit the community a tiny bit more. Not everyone understands Haskell (or, forbid, has the time to peruse large codebases). Best of luck to you!
- xradionut 14y ago
  There are many other interesting multi-disciplinary problems that are not as contentious as HFT and probably more publically acceptable and worthwhile. But if HFT is the domain you care about, go for it.
white_devil 14y ago
> an open source approach can be seriously competitive Do you really think any Joe Schmoe off the street could just grab your open source HFT and start making money with it? If not, how does your project benefit anyone? Are you working in the industry, but not in HFT? Maybe this is project is just practise for getting a job in HFT? I imagine that's where programmers get the fattest paychecks in the world. Only a fraction of what the sociopaths running the show get, of course, but good money nevertheless. > I just don't agree that HFT is a scourge. Good thing you're not at all biased.
- zygomega 14y ago
  Good points. To be more precise, I think that an open source approach to system research and design can be hyper-competitive versus closed-door secret-squirrel development run by a committee looking for short-term wins. This project benefits me firstly because I get feedback on my initial scratchings and maybe even collaboration on areas outside my comfort zone. And it could well enable me and others to avoid having to work for the sociopaths. I am biased in thinking that monitoring the market and trading at low latency isn't fundamentally a bad thing, and shouldn't be taxed because others are too lazy to do the same thing. I certainly think that hft has been used by evil people to front-run unknowing third-parties, often in collaboration with middle men and women who turn a blind eye to the morality of their business models.
  - jahewson 14y ago
    Sorry, you're criticising the mindset of "short-term wins" and you're in HFT? What do you think HFT is? Wake up and smell the coffee.
  - acjohnson55 14y ago
    Others are two lazy? It's my understanding that the average Joe has no access to the hardware and low latency network connections to be able to do this on his own.
    - zygomega 14y ago
      There is a rather large economic rent attached to HFT at the moment. If my project or others like it can eat into that rent a touch, it might not stay that way.
      - fnordfnordfnord 14y ago
        Exactly, if you take the position that gains from HFT are basically "stolen" profits from otherwise more productive market participants, then any that can be "stolen back" is a win.
jwilliams 14y ago
Trading (as in HFT) isn't the same as investing. While the mechanics can sometimes be similar, a trader is different from an investor. What HFT does is segment the market. It's probably best described as a form of arbitrage. Arbitrage is necessary, but in a good market hopefully it is pushed to some form of equilibrium. HFT has an impact on the trading market. However, that doesn't automatically extend to investment.
- astrodust 14y ago
  HFT is like a million tiny trolls underneath the bridge trying to extract their tax.
  - jarek 14y ago
    ... replacing one big troll on the bridge that used to extract more than the million tiny ones' total...
    - astrodust 14y ago
      The reason spreads have come down is mostly due to better information on the part of the traders. Electronic markets made this possible.
dyno12345 14y ago
If you're already in the finance industry, how do you have enough free time to work on this?

nezza-_- 14y ago

No, long-horizon investors are normally overall not interested in HFT because they won't 'suffer' from it.

zamalek 14y ago

"HFT is an interesting multi-disciplinary problem" This makes this a very worthwhile project: whether or not anything comes of it (I considered writing technical analysis trading software for the exact same reason). Some documentation about the patterns and techniques you used would likely benefit the community a tiny bit more. Not everyone understands Haskell (or, forbid, has the time to peruse large codebases). Best of luck to you!

xradionut 14y ago
There are many other interesting multi-disciplinary problems that are not as contentious as HFT and probably more publically acceptable and worthwhile. But if HFT is the domain you care about, go for it.

white_devil 14y ago

> an open source approach can be seriously competitive Do you really think any Joe Schmoe off the street could just grab your open source HFT and start making money with it? If not, how does your project benefit anyone? Are you working in the industry, but not in HFT? Maybe this is project is just practise for getting a job in HFT? I imagine that's where programmers get the fattest paychecks in the world. Only a fraction of what the sociopaths running the show get, of course, but good money nevertheless. > I just don't agree that HFT is a scourge. Good thing you're not at all biased.

zygomega 14y ago
Good points. To be more precise, I think that an open source approach to system research and design can be hyper-competitive versus closed-door secret-squirrel development run by a committee looking for short-term wins. This project benefits me firstly because I get feedback on my initial scratchings and maybe even collaboration on areas outside my comfort zone. And it could well enable me and others to avoid having to work for the sociopaths. I am biased in thinking that monitoring the market and trading at low latency isn't fundamentally a bad thing, and shouldn't be taxed because others are too lazy to do the same thing. I certainly think that hft has been used by evil people to front-run unknowing third-parties, often in collaboration with middle men and women who turn a blind eye to the morality of their business models.
- jahewson 14y ago
  Sorry, you're criticising the mindset of "short-term wins" and you're in HFT? What do you think HFT is? Wake up and smell the coffee.
- acjohnson55 14y ago
  Others are two lazy? It's my understanding that the average Joe has no access to the hardware and low latency network connections to be able to do this on his own.
  - zygomega 14y ago
    There is a rather large economic rent attached to HFT at the moment. If my project or others like it can eat into that rent a touch, it might not stay that way.
    - fnordfnordfnord 14y ago
      Exactly, if you take the position that gains from HFT are basically "stolen" profits from otherwise more productive market participants, then any that can be "stolen back" is a win.

jwilliams 14y ago

Trading (as in HFT) isn't the same as investing. While the mechanics can sometimes be similar, a trader is different from an investor. What HFT does is segment the market. It's probably best described as a form of arbitrage. Arbitrage is necessary, but in a good market hopefully it is pushed to some form of equilibrium. HFT has an impact on the trading market. However, that doesn't automatically extend to investment.

astrodust 14y ago
HFT is like a million tiny trolls underneath the bridge trying to extract their tax.
- jarek 14y ago
  ... replacing one big troll on the bridge that used to extract more than the million tiny ones' total...
  - astrodust 14y ago
    The reason spreads have come down is mostly due to better information on the part of the traders. Electronic markets made this possible.

dyno12345 14y ago

If you're already in the finance industry, how do you have enough free time to work on this?