HolyLampshade

7 ms·

61.
by HolyLampshade 2y ago
I am actually on the direct consumer side, but I feel for you. Occasionally we'll take intermediate data though from third parties, and good god the quality is atrocious. This is especially true for datasets that don't have a sing
62.
by HolyLampshade 2y ago
It is, sadly. Through the entire chain of custody. Of the many things I despise in the industry, market data and connectivity costs are near the top. It’s a fully captured market, and customers don’t have a choice when the producer decides
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by HolyLampshade 2y ago
Bingo. The transactions business has largely been commoditized (esp because of the vast array of ATSes that are available to be traded on), so the only way to force business and guarantee month-over-month revenue is in market data and conne
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by HolyLampshade 2y ago
Not in any way to diminish the Swedish markets, but that's partially because Nasdaq and NYSE know they can sell 'status' in listing on their US markets.
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by HolyLampshade 2y ago
> So, are the exchanges connected? Yes, and no. Not in the sense that it's one uniform trading system, but there are various interlinkages (market data via the SIP for example; mostly dictated by RegNMS) and most of the exchanges op
66.
by HolyLampshade 2y ago
It's really damn amusing and confusing when Toronto mostly refers to themselves as TSX, and the Tokyo Stock Exchange goes by TSE or TKS...
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by HolyLampshade 2y ago
At least with AMEX you have the historical case for Tape B listings, and with ARCA the strong local ETF business. LTSE is trying to be principled, but I see this similarly to the TXSE/NYSE TX thing where they're trying to capita
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by HolyLampshade 2y ago
My understanding is they were shooting for ETF listings, which are arguably the easiest listings business to establish in if you have the right sales team (due to the lighter regulatory regime compared to listing common stock). They were al
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by HolyLampshade 2y ago
Various financial products have value impact on other products around the world. In order to price orders appropriately in a given region you need the most up-to-date price information available, especially if you are looking to avoid being
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by HolyLampshade 2y ago
TXSE is a listings play more than anything. This means NYSE is going to beat them to the punch, at least in concept. Means TXSE is going to have to work much harder for listings business. From a functional standpoint, absolutely no differen
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by HolyLampshade 2y ago
At least in my experience in a somewhat bespoke industry on the non-cloud side, things have been moving in that direction due to most of the reasons they identify (it also ties nicely into the global "Datacenter as a Computer" con
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by HolyLampshade 2y ago
> The amount of logging that is required to debug and find bugs is extreme. Ten or so years ago I remember going to a larger technical recruiting pitch at Facebook where they discussed their logging complex (I have only a vague recollect
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by HolyLampshade 2y ago
As often as these things are wildly incorrect or out of date, I need to applaud this effort. Seems pretty damn spot on as a description of US Equities. My compliments to the team that put this together.
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by HolyLampshade 2y ago
I'd add to the Money Stuff newsletter the Money Stuff podcast, with Matt and Katie Greifeld (BBG reporter). The two have great chemistry, and slightly different interests in finance, so it covers topics beyond the single thread he typi
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by HolyLampshade 2y ago
Which is great for the companies that have made the switch because those corvils were truly terrible.
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by HolyLampshade 2y ago
Yeah, FIX or whatever proprietary binary fixed-length protocols (OUCH or BOE for example) the venue uses for order instructions. Some firms will also capture market data (ITCH, PITCH, Pillar Integrated) at the edge of the network at a few d
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by HolyLampshade 2y ago
Looks like tnlnbn already answered, but the other benefit to having a raw network capture is often this is performed on devices (pico and exablaze just to name two) that provide very precise timestamping on a packet by packet basis, typical
78.
by HolyLampshade 2y ago
It’s the closest to truth you can find (the network capture, not the drop copy). If it wasn’t on the network outbound, you didn’t send it, and it’s pretty damn close to an immutable record.
79.
by HolyLampshade 2y ago
At all of the exchanges and trading firms I’ve worked with (granted none in crypto) one of the “must haves” has been a reconciliation system out of band of the trading platforms. In practice one of these almost always belongs to the risk gr
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by HolyLampshade 2y ago
Speaking of the exchanges (at least the sanely operated ones), there’s a reason the stack is simplified compared to most of what is being described here. When some component fails you absolutely do not want to spend time trying to figure ou
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by HolyLampshade 2y ago
Absolutely to both questions, with different answers depending on what style of strategy you’re running. The market mechanics trades tend to have no recoverability if you miss the opportunity, so you’re often trading out in error and it’s a
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by HolyLampshade 2y ago
There are really two schools of approach to this. On one hand you have quantitatively driven strategies that try to predict either a price or direction based on various inputs. Here you’re mostly focused on predictive accuracy, and the chal
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by HolyLampshade 2y ago
You can limp into a fair bit of the corpact data via open source/free channels, but reliable sources are definitely expensive. Not to mention the real-time data which is, quite simply, catastrophically expensive. And that’s assuming th
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by HolyLampshade 3y ago
Depends on the jurisdiction and sentencing guidelines, but my layman’s understanding is so that both parties have time to construct and file arguments over the severity of the sentence.
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by HolyLampshade 3y ago
I noticed this issue a few years ago looking for COTS or OS distributed schedule/process managers to replace a home grown solution to reduce some support risk. Turns out in the two decades I’ve been in my industry everyone else has gon
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by HolyLampshade 3y ago
It’s a little dry, but that’s by design. It is far and away the best book on the subject.
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by HolyLampshade 3y ago
Fully is a hard threshold to meet, but most of the US Equity markets have determinism windows in the ballpark of 1-3us. Some Futures markets have got under the 1us window, though I don’t recall exactly what the threshold minimum is there.
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by HolyLampshade 4y ago
> Even then I don’t know if it’s allowed by regulation It isn’t, precisely for this reason. The US Equity and Equity Derivative markets have tried a few times to get approval for initiatives using their already existing BDs (to facilitat
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by HolyLampshade 5y ago
That’s correct. The wheel is still moving, and you are required to minimally tension it. Stronger tension will disengage the AP.
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by HolyLampshade 7y ago
I’ve worked in the industry for about 15 years now and Trading and Exchanges is the first book I recommend to anyone who isn’t looking for a flashy “Invest this way and make millions” book. Excluding some of the technical details, specifica

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