physguy1123

10 ms·

61.
by physguy1123 9y ago
Prices can move without filled orders no problem as orders get cancelled. If market makers start pulling out, the order book can become extremely thin. For the passive traders that stay in they'll probably react much more strongly to t
62.
by physguy1123 9y ago
This isn't done, as evidenced by the very different prices on each exchange. It's considered unwise to keep bitcoins on the exchange, and certain exchanges have a 'trustworthiness' premium that they charge. Presumably th
63.
by physguy1123 9y ago
Yesterday Nasdaq handled ~10 million trades and probably ~1 billion messages so about 30k messages per second over all equities while keeping response times below 100 microseconds for the most part. GDAX is peanuts compared to any of the e
64.
by physguy1123 9y ago
The quickest in terms of tick-to-trade (MD received to trade) are certainly all hardware, but having better connectivity changes the game by a lot. Latency arb trades generally aren't that great, the most competitive in terms of PnL do
65.
by physguy1123 9y ago
There's a huge amount of software trading in the 1-10us range, probably more than pure hardware. Fpgas often play a role in these stacks as market data parsing/disseminating and order entry however.
66.
by physguy1123 9y ago
Flash boys is mostly incorrect and at points misleading, and this is coming from somebody whose entire job is trading systems to avoid hft "picking off" my institutions orders/market activity. I can write more once off mobile
67.
by physguy1123 9y ago
Nobody knows about a large order being filled cross multiple exchanges, at most they see a price level get filled at one exchange and take from that what they want. The majority of large cross-exchange orders are done via ISO orders which b
68.
by physguy1123 9y ago
1 - being faster isn't front running. Nobody can hop in front of orders that are already visible on the lit market. 2 - The electronic market makers ARE mostly hft and generally get the best transaction costs and other privileges exclu
69.
by physguy1123 9y ago
Disclaimer - this is using equities markets as the example. Spoofing is bad for a lot of reasons. It's bad for retail investors who buy(sell) into a position when it's been spoofed high(low) believing the order book is real. It&#x
70.
by physguy1123 9y ago
I expect that you are right about a significant number of funds (I would say most long-only funds). But a decent chunk of the industry exists because investors want higher-sharpe investments than the market even if they don't beat a bu
71.
by physguy1123 9y ago
They don't. That term has basically become an advertising slogan for IEX. HFT is great for retail investors because you trade cheaper and faster. Usually retail investors get price improvement over the market since HFT brokerages compe
72.
by physguy1123 9y ago
To say it's dead is a bit extreme, but it's not like 2008 when anybody kinda fast could find success. Speed doesn't make money by itself anymore, so a lot of players whose only trick was being fast and not-so-smart are having
73.
by physguy1123 9y ago
4 is the root cause of 1-3. By itself 4 doesn't mean much for a market maker, but the collective market behavior it results in (1-3) remove a lot of risk from market making against retail exclusively.
74.
by physguy1123 9y ago
Not a game programmer, but do a lot of multithreaded work. There's about 100000 ways to pass messages in c++, for some c++ is faster (purely bounded by cache communication), some erlang is faster, and for some it's hard to compar
75.
by physguy1123 10y ago
In short, having someone do HFT with your money can be a hedge because HFT strategies often do better when markets are volatile and other funds lose money.
76.
by physguy1123 10y ago
You do realize that this is actual frontrunning, as in a broker frontrunning its clients, and not arbitrage on the market or an HFT getting a sneak peak at the order feed from say NYSE? Also, this is a dark pool literally operated by an HFT
77.
by physguy1123 10y ago
It's interesting you say that because the only group most agree is helped by HFT is retail investors, because you are getting a much better price on trades and aren't moving the market. Edit: If you want a high level overview, the
78.
by physguy1123 10y ago
Well, the thing is that other extremely good firms buy drone and satellite data, and other firms also pay the top rate to extremely good people, and etc. So either RenTech is somehow consistently wildly smarter than the rest of the industry
79.
by physguy1123 10y ago
I assume you're referring to the Virtu statement that they only lost money on one day? That's true (or nearly true) of good HFT shops in general. The type of trading that HFTs do (market making, short term predictions) is generall
80.
by physguy1123 10y ago
> > Then stuff like spinning up 1 OS-thread for every CPU core > This is not implemented in tokio yet, but in my understanding, it's coming. I just started full-time work on something like that (waiting out a noncompete) but m
81.
by physguy1123 10y ago
This isn't really meant to be a comment about Intel vs arm vendors, but features of x86 that make it harder to implement
82.
by physguy1123 10y ago
A few things: x86 is harder to decode than arm since the instructions are anywhere between 1-15 bytes while arm instructions are 4 bytes each. It has quite an effect if you want to decode more than 1 instruction per cycle. x86 has a stronge
83.
by physguy1123 10y ago
I've never seen nor heard of pointer_to ever being used to declare a pointer to something. I believe t's used inside of custom allocators for a generic type that might not use a normal pointer as the pointer type, but would never
84.
by physguy1123 10y ago
Short story: HFT is generally considered good for retail traders because spreads tend to be lower. You trade both more cheaply and more quickly. However, it's generally not good for large institutions (which are more than just 'bi
85.
by physguy1123 10y ago
> FYI the author keeps talking about high frequency trading as an example of why modern c++ is a bad choice. Well, I worked at a HFT firm for a long time until last year, the firm places millions of trades per day and is among the most s
86.
by physguy1123 10y ago
I totally agree! However, it seems like the weird political system created around this works to make negotiating a higher pay very difficult.
87.
by physguy1123 10y ago
Agreed, the line > Higher pay for those with higher influence and negotiation skills being portrayed as a negative seems like a main goal was to make it harder for people to negotiate higher salaries.
88.
by physguy1123 10y ago
There's this stackoverflow qanswer: http://stackoverflow.com/questions/11373203/accessing-inacti... where answers try to distill the standard into something legible by humans. Unsurprisingly, they come to dif
89.
by physguy1123 10y ago
There are plenty of reasons one can guess the contents of the hard drive - but it's nothing more, just a guess. Could be useful for guiding a search for actual evidence. The real issue here is that the legal system is then treating thi
90.
by physguy1123 10y ago
In C, yes, type-punning with union is valid. However, in C++, it is considered undefined behavior and may get removed by the compiler if it sees fit.

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