lrm242

10 ms·

31.
by lrm242 12y ago
I use HTCondor every day. I find it to be rock solid with top notch documentation. It is cross-platform today as well, so I'm not sure where you're coming from on this.
32.
by lrm242 12y ago
Link to previous discussion on HN, looks like they've come a long way! https://news.ycombinator.com/item?id=8324567
33.
by lrm242 12y ago
The morse is subtle but if you listen closely you can hear it. Set the Soundcloud player to 1:25 or so and you'll hear singing as they finish up the chorus. As the chorus completes at about 1:31 the singing stops and instruments play.
34.
by lrm242 12y ago
Oh I know. Cootys Rat Semen is also from Sneakers. It is the first decoding of the anagram that Bishop decoded while playing Scrabble. They quickly discarded that and found "Too Many Secrets" shortly thereafter.
35.
by lrm242 12y ago
It's also an anagram for Cootys Rat Semen!
36.
by lrm242 12y ago
Please don't use Adjusted Close for backtesting execution. Adjusted prices are not real. They never happened, and using them will add unknown error to your backtest results. Back adjusted prices are fine for building a model, but when
37.
by lrm242 12y ago
They are unable to do so. It is a queued system with a fixed transit latency through the queue of 350us. Any remaining un-executed of A is left on the IEX book. IEX has this transit latency because they have order types that offer pegged ex
38.
by lrm242 12y ago
It's 350us btw. Micros.... not millis.
39.
by lrm242 12y ago
Because they suck at technology. Its easier and more justifiable to pay someone else to take on the risk and pension fund gets less variance in their execution costs.
40.
by lrm242 12y ago
They had a big hand in wiping themselves out when they got caught colluding.
41.
by lrm242 12y ago
Since Flash Boys keeps coming up in these threads I want to provide an alternate reference for those curious. A recent rebuttal has been published called "Flash Boys Not So Fast". If you're interested in the topic, I highly s
42.
by lrm242 12y ago
Sell side traders or block crossing networks (where the other side is taken by another block trader). Sell siders are compensated because they will build into the price the expected impact. The pension fund gets a known price impact with es
43.
by lrm242 12y ago
IEX only delays the order entry side of the system. Market data (they are dark atm so no quotes/book feed of course) and trade reporting is not delayed. The magic shoe box is there to stop a very specific situation from occuring: IEX p
44.
by lrm242 12y ago
Look, all this guy is saying is that he is paying someone else to take on the risk of executing his large orders. Block crossing networks and sell-side traders have existed for a long time. Hell, that's what Brad (IEX CEO and Flash Boy
45.
by lrm242 12y ago
Wrong. Front running has a very specific definition and requires a broker to be acting on behalf of a client. 1. Broker takes client order. 2. broker trades his own account first (with knowledge of client order) 3. Broker executes client or
46.
by lrm242 12y ago
autossh + ssh -C + tail -F ? kafka sounds like an enormous overkill. If you want to store the logs locally while tailing, just add in a tee.
47.
by lrm242 12y ago
Exablaze also sells NICs with an FPGA as does SolarFlare. You can get an FPGA in an Arista switch as well. Very cool stuff indeed.
48.
by lrm242 12y ago
Those latencies aren't well defined, and likely representing input to output side processing. Also, they are in the .50ms range, which is 500us, not 50us. What isn't captured here is the significant added transit delay due to the
49.
by lrm242 12y ago
Fair points re: the SIP. However, that submission is the benchmark for fairness is unfortunate. There is no reason it needs to be that way, and fixing it and distributing the SIP (i.e., removing the centralized processor) has numerous advan
50.
by lrm242 12y ago
Clock skew in that the clocks used by the participant may or may not have been synchronized. There are, effectively, no details about how the timing is done on the news side and there is allusion to some use of EDGAR posting timestamps whic
51.
by lrm242 12y ago
Exchanges do send data to both the SIP and direct data feeds at the same time. The problem is that the SIP has an intrinsic disadvantage due to the architecture and technology used that guarantee SIP market data will always be slower than d
52.
by lrm242 12y ago
Obviously. But the Univ of Michigan data was economic data and not collected from insiders. So it isn't insider trading. It is research. Should we make ALL research available to EVERYONE at EXACTLY the same moment? You can see how ludi
53.
by lrm242 12y ago
The SEC website explicitly states: "The subscription price is set annually by Attain, LLC, using a weighted average methodology based on the number of primary feeds for subscribers at the beginning of the each year. Subscriber organiza
54.
by lrm242 12y ago
The data was also collected by a private institution who has the right to sell if it if they want. I'd love to have a Bloomberg Terminal on my desk, but they are sooooo expensive! The populist rage fermented by Scott Patterson and othe
55.
by lrm242 12y ago
Ah thanks for the link to the working paper, I had been looking for it. This jumps out from the footnote on page 7: "As far as we know, this time is not available on any publicly available database. We initially obtained these times us
56.
by lrm242 12y ago
Uhm, it's not a secret at all. It's called the SEC Edgar Public Dissemination Service. It's right there on their website with instructions on how to subscribe along with specifications and contact information. There is no con
57.
by lrm242 12y ago
Before everyone gets all hot and bothered: (a) The SEC feed can be subscribed to by anyone. (b) Whether the delay was 0 or 100 seconds, the computer consuming the feed will always be faster than a human. (c) The details of the study are mur
58.
by lrm242 12y ago
A sharpe of 4 is ok. Most "HFT" type strategies have sharpes so high they don't talk about sharpe anymore as it is meaningless. It is simply a different type of trading. See Virtu's pnl distribution in their S1. As a poi
59.
by lrm242 12y ago
People so often overlook the role that execution plays in trading. As time scales shrink the impact of execution increases, and indeed many HFT strategies are not profitable without top tier execution (both in terms of fee schedules and tec
60.
by lrm242 12y ago
First, I never claimed the markets were or were not zero-sum, only that your attempt to explain was wrong as it mixed realized and unrealized profit. Second, zero sum requires a definition of utility for each participant. If those definitio

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