consz

48 ms·

211.
by consz 12y ago
Reading this sort of stuff from manual prop traders makes me laugh. It sounds so amateur hour. How in the world can manual traders ever compete against a short-term stat arb or HFT strategy? It just sounds like pure luck that any of them wi
212.
by consz 12y ago
I remember seeing pirateat40's scam happening live. I could not believe that anyone could possibly fall for a fund offering 10%+ per week, and when I found out that he ran off with 150k bit coins, I laughed so hard. The bitcoin commu
213.
by consz 12y ago
What job is there that coding isn't a means to an end?
214.
by consz 12y ago
I'm much more quant than programmer, but even programmers at trading companies get paid at least as well as they do at Google/Facebook (and obviously much better than they'd be paid at a startup) to start with. Not to mention
215.
by consz 12y ago
Agreed, the culture is much more open in trading and people are very clear about how much money they are bringing to the table (arguably it is also easier to quantify value added, as well).
216.
by consz 12y ago
I believe this is one of the big reasons I chose to go towards trading instead of working in SV. The prop trading companies (and even big finance firms like Goldman) have far more egalitarian profit-sharing structures than places like e.g
217.
by consz 12y ago
null hypothesis.
218.
by consz 12y ago
The benefit of being able to trade as quickly as possible (as an HFT) is you are able to put more shares/contracts up at each price, ie. provide more liquidity -- this is because anytime the price is going to move against you, you get
219.
by consz 12y ago
I'm pretty sure the set of equivalence classes is uncountable, so it's not even enumerateable.
220.
by consz 12y ago
Liquidity is a measure of how much you can execute/trade immediately at any one moment in time. You can think of the fair price as the midpoint of the best bid and best offer -- but nobody can trade at this, so if you want to buy or se
221.
by consz 12y ago
With all due respect, no that's not convenient enough for me. And ideally I'd like to download your books without talking to you.
222.
by consz 12y ago
Why do you not post TPB links to your books alongside the amazon links in your profile? Do you not want your sales to go up?
223.
by consz 12y ago
Why do you assume they are movies no would ever pay for? I've downloaded hundreds/thousands of movies from pirating sites that I'd be happy to pay for if I didn't have the alternative of pirating it -- that's easily
224.
by consz 12y ago
That sentence sounds bad in any context, don't try to weasel out of it.
225.
by consz 12y ago
Would it have been better if the British treasury continued to buy pounds for months (or years) before finally realizing they couldn't prop up the sterling? You could argue that Soros making such a significant bet all at once forced th
226.
by consz 12y ago
This happened to me, too. I spent about a year replying before finally seeing someone mention I was hell banned. I also wondered why the forum was so slow, but it's not particularly well coded so I just assumed its always been like t
227.
by consz 13y ago
Another interesting anecdote -- most HFT groups shut off during the flash crash because they were running strategies that were fit on normal market conditions and really had no idea how their algorithm would perform in flash crash conditi
228.
by consz 13y ago
This is the most pathetic internet toughman-ing I've ever seen. I can't believe you thought it was a good idea to post this, unless you are trying to make yourself look stupid.
229.
by consz 13y ago
Why do you think there wouldn't still be market makers if the spread widens by 2%?
230.
by consz 13y ago
Maybe you should attack his actual argument instead of dismissing it by appealing to lack of authority.
231.
by consz 13y ago
They have slightly positive return per trade, and they make millions of trades per day. Their PnL is the sum of their trades -- the expected values grows like O(n), while the volatility grows like O(sqrt(n)), so for n = several million, the
232.
by consz 13y ago
Why do you believe only HFTs have access to hide not slide? That order type is plainly listed on DirectEdge's website, e.g. https://www.directedge.com/Portals/0/01Trading/Trading%20Pro...
233.
by consz 13y ago
Every transaction does have a small fee. In US equities, there is an SEC fee of 22.1 dollars per million dollars sold, and for most (all?) futures exchanges, where HFT is just as prevalent, there is a fee both for both sides of a trade (unl
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by consz 13y ago
When one exchange's offer or bid is taken out (fully traded), there is no guarantee that the same offer or bid will continue to trade on all remaining exchanges. If you took out the remaining shares on all remaining exchanges every t
235.
by consz 13y ago
So if the one particular strategy Lewis describes in his book -- inter-exchange arbitrage that inadvertendly beats someone's split up order -- was stopped/prevented, is that the end of it? There are many, many strategies across a
236.
by consz 13y ago
It isn't only 1000 shares, there is indeed 1000 unique shares on each of those ten exchanges. The problem is that, as soon as the first exchange that you trade on processes your trade of the 1000 shares on that exchange and publicly di
237.
by consz 13y ago
I hope he gets them off MongoDB. I still can't believe they let me double sell without even contacting me afterwards (I sold ~10 bitcoins when it was around $800 and the site was exceptionally busy -- had USD in my Coinbase account aft
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by consz 13y ago
Black Scholes doesn't assume rational market participants.
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by consz 13y ago
You should. I write code in another industry (HFT) and most people coming out of college are getting 400-500k bonuses or more after a year. We joke about how raw of a deal the average developer in SV is getting -- Google has roughly the sam
240.
by consz 13y ago
In the simplest case, an order book is generated from all outstanding buy and sell limit orders, assuming none have crossed (if they have, the matching engine will immediately transact those orders). The price is discretized, so there is a

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