Viewing profile — hft_throwaway

https://gigaom.com/2012/01/16/sarah-lacys-pandodaily-launche... http://techcrunch.com/2013/05/23/lyft-a16z/ http://www.cnbc.com/id/102008782

That assumes there is no bias to their signal returns over time, which is extremely unlikely. 90% of the moves that go their way could happen in the first second, for example. Many…

More than when I last looked, but to put that in perspective, you could trade $40mm in a few price ticks in major currency pairs and CME avg daily turnover alone is > $100bn: http:…

A simple signal would be more shares bid than offered at the inside market. Imagine a market with 1000000 shares bid at $4 and 100 shares offered at $4.01, it's more likely to tick…

I see no mention of the spread, costs or even ability to put on a short position, exchange lag variability (huge issue when simulating even on modern exchanges, let alone fly-by-ni…

I don't believe they were trading with themselves. They were accumulating stock in the opposite direction to hedge their imbalance-only order. However, the way they accumulated tha…

Matt Levine's Bloomberg article is a good layman's explanation of the issues: http://www.bloombergview.com/articles/2014-10-16/high-speed-... They were wrong and got punished, but …

It is stuffy, but I wouldn't call it backward-thinking, unless mindless hedonism is what passes for forward-thinking these days. Raising children without marriage would be akin to …

The claim that market makers pass costs on to end users is only true if they have pricing power. In reality, on-exchange liquidity provision is basically the kind of perfect compet…

That's not what's happening here. Traders are arbitraging and reacting to public trades and orders on multiple markets. If you walk through a physical market where 8 apple carts ar…

Cool idea! Some questions/thoughts: Do you provide any access to raw tick-by-tick event data or just bars? How do you secure your users' scripts so they don't worry about you steal…

That should create opportunity for automated trading. Identify large orders and place small orders a de minimis amount ahead of them when the bid-offer spread is sufficiently large…

It likely was happening. If I'm a market-maker, I want to trade with retail orders or slowly sliced institutional orders that are trying to rebalance a portfolio throughout the day…

But isn't that because C++ itself evolved from C? The original "C With Classes" wasn't much more than a convenient syntactic sugar for using structs and function pointers as a poor…

Guys who write HFT systems in Java are basically programming them like one would in C or C++. They pre-allocate byte buffers for everything and never run the GC. If you write C-sty…

Yes. Alinea was a touch more subdued. ;)

I think it's a bad idea for a restaurant. Auctions generally involve "winner's curse" where the top bidder almost always overpays vs. fair value. Restaurants want to give customers…

Hear, hear.

I hacked up something with Asterisk to auto-dial Schwa until I got something other than the dreaded machine. Alinea is like walking into a fantasy world on acid but eating incredib…

How many do you have? What is "sufficient" collateral? If someone has the cash, is able to withstand volatility, and the rates are low enough this trade is a no-brainer. BTCs have …

I see a lot of people make claims like this, or even stronger ones such as claiming it has little/nothing to do with environment. Charts like this bear that out somewhat with the p…

It's a Britishism that's a more polite way of saying that: http://en.wikipedia.org/wiki/Tired_and_emotional FWIW it seems unlikely that this type of behavior would be brought about…

That's very true in this case. The issue here was that Knight isn't just trading for its own account. They're a broker where they likely have some SLA-ish agreement with clients, o…

The code was QAed, but they didn't test old and new versions against each other. Version A could accept a flag and run obsolete logic that would lose control of its orders but neve…

You know that saying about finding yourself in a hole? A "close out my risk" button is fine for situations like losing money or whatever, but if you have no clue what your orders, …