7 ms·
>And given that quote stuffing doesn't actually hurt anyone, it's not like stopping it is a high priority. It does hurt people in some way. It increases the a
by gd1 12y ago
>And given that quote stuffing doesn't actually hurt anyone, it's not like stopping it is a high priority.
It does hurt people in some way. It increases the amount of data we need to handle. More storage space and more processing required.
And you've been a bit disingenuous in your article - there is a theory behind the "2.???" part. The theory is that slower participants are overwhelmed by the quote traffic and end up lagging, and are then taken advantage of. I don't personally believe it, and I'm sure 99% of these things are just feedback loops, but it is theoretically possible. The faster exchanges are cycling in say 20-30 micros these days, so any participant who can't match that rate will easily fall behind. Who knows, weaker participants may still be taking 1-2 millis to handle an update. So just before some known vol event, say an economic figure, you flood the exchange and lag the other participants by say 50 millis, then pick them off after the new information arrives.
- yummyfajitas 12y agoThere are traders A and B in addition to yourself. A is as fast as you, B is slower. How does it help you to slow yourself and C down? That just means A will beat both of you.
- gd1 12y agoYou send your burst a few milliseconds before an event. It chokes up C (all of those depth updates sit in his queue and he's busy for the next 50 millis churning through them). Then both you and A are free to pick him off. The thing is, you know to ignore the burst on the public feed, since you know it is coming (you created it). You still have to process the order book updates, but you can skip your decision logic. So any participant who has an internal latency (packet decode + orderbook update + decision logic) greater than 1 exchange cycle, and who doesn't have an "out" clause to stop making decisions if it is falling behind, will be vulnerable. Like I said, I don't buy it, but it is possible in theory.
- yummyfajitas 12y agoWhat prevents A from "picking me off" (which I assume means "get to the top of the queue")? Also, "know to ignore the burst" doesn't mean you don't have to process it. It merely means you need to subtract the result of the burst from your signals.
- wglb 12y agoIf there are any weaker participants may still be taking 1-2 millis the technical term for this is "non-participant".