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High-Speed Trading Firm Deleted Some Code by Accident

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Re: High-Speed Trading Firm Deleted Some Code by Accident

#51

Earlier quoted context omitted.

If I ask my broker to buy some stock, I want it at the lowest price. My broker, left to his own devices, may prefer to buy at a higher price because it is more profitable for him . This rule seems designed to protect the consumer when the consumer and the stock brokers goals are not aligned.

The article says they only do proprietary trading, which I thought means they only use their own money. I guess that's rare enough that the rules apply regardless in order to simplify things?

The rules apply to the whole system -- notably exchanges, the exchange "members", and broker-dealers. Latour is a broker-dealer (BD) and thus have to play by the rules, even if they don't have customers.

If they weren't a BD, their BD (which is required to ultimately reach the markets) would be on the hook for letting this happen. ISOs are something that get a lot of compliance/regulatory scrutiny and most BDs don't let their customers use them. If they are allowed, there's a lot of reporting/transparency/surveillance to ensure they are issued properly. And as you can see from this fine, there are a lot of rules and corner cases one must cover and apparently even the best firms mess it up one way or another.

Latour's previous fine (read Matt Levine's continually excellent articles about this stuff) was for "Net Capital Requirements" which are designed to keep customer money safe, particularly in the presence of other customers who might blow up ... of course Latour has no customers, but it is still the rules. [Although IMO this one was a grey area where Latour probably had better models than what the rules required, but since they didn't match the rules properly they got fined.]

Re: High-Speed Trading Firm Deleted Some Code by Accident

#52
post #17

Every time I read stories about high speed trading, I have to wonder what is actually the point of high speed trading to the society. The point of a free and fast stock market is to provide monetary liquidity and stabilize the economy by shortening the feedback loop. But something tells me that our society and economy derives zero benefit from nanosecond resolution trading vs. trading with say 1 minute resolution. Me…

> But something tells me that our society and economy derives zero benefit from nanosecond resolution trading vs. trading with say 1 minute resolution. Not only does nanosecond resolution provide zero benefit, models indicate that it actually harms liquidity. To be specific, serial order processing in continuous-time is more efficient in "time-space", but less efficient in "volume-space". The better mechanism is batc…

What about derived liquidity? A lot of liquidity in ETFs, futures, foreign exchange, dual-listed stocks and interest rate products works this way. Traders will do things like buy futures and sell correlated ETFs to hedge, buy ETFs and sell the basket of stocks it holds, and so on, as a way of making markets.

Because the markets are fast, there is less risk that their hedging product will "run away" from them before they can execute. Since the risk is low, they can make a very competitive and tight market. If they had a 100ms delay to hedge, they would need to make a bigger spread to compensate for the risk.

Re: High-Speed Trading Firm Deleted Some Code by Accident

#53
post #17

Every time I read stories about high speed trading, I have to wonder what is actually the point of high speed trading to the society. The point of a free and fast stock market is to provide monetary liquidity and stabilize the economy by shortening the feedback loop. But something tells me that our society and economy derives zero benefit from nanosecond resolution trading vs. trading with say 1 minute resolution. Me…

I think wild market swings have been happening as long as markets have been around. I don't necessarily see the connection between HFT and those swings. Here's a thought: If you assume that swings are going to happen regardless of HFT, then is it possible that HFT actually helps find the real "fair value" level in the market faster than if those player's did not exist?

Another thought on HFT's value to society: I generally agree that HFT does not provide "direct" value. There are clearly "arbitrage" opportunities that HFT firms consistently profit from. However, by definition, those arb opportunities will either be taken by someone else, or enough people will run into grab them such that the arb goes to zero. If there are consistent arb opportunities then something needs to change - namely the regulation which structures the market and allows people to take consistent advantage of it. Thus new regulation is issued and the market, inherently a complex and intricate system, becomes stronger as a result. This is maybe where the value to society lies. and maybe this is an idealistic view of how regulation, society and HFT interact in this case.... ?

Re: High-Speed Trading Firm Deleted Some Code by Accident

#54
post #17

Every time I read stories about high speed trading, I have to wonder what is actually the point of high speed trading to the society. The point of a free and fast stock market is to provide monetary liquidity and stabilize the economy by shortening the feedback loop. But something tells me that our society and economy derives zero benefit from nanosecond resolution trading vs. trading with say 1 minute resolution. Me…

Faster trading allows market makers to operate with smaller capital investments. This lowers the barrier to entry in the market making business, creating more competition. More competition reduces the costs of trading. (And not just in theory. Market making used to be exclusively the domain of a few big players. It's not anymore.) Reduced cost of trading matters to almost everyone who's involved in the markets. Passi…

How does HFT help market making? Would a market that operates with a 1 second resolution be inherently unable to provide the same levels of liquidity that we enjoy today?

You argument is that Vanguard is a market maker, Vanguard likes HFT, thus HFT must be good. That doesn't really follow at all. Vanguard could be arguing in favor of HFT for all kinds of reasons, one of them could be that they have the money to rent server space right next to the main exchanges, and pay for the ludicrously low latency connections to the exchanges, so they benefit from HFT by being able to be quicker than others, and they don't want to loose there edge.

Re: High-Speed Trading Firm Deleted Some Code by Accident

#55

In finance you'll find low accountability for developers. Basically finance is where great developers go to get paid a lot to become horrible developers. Very few companies in finance are pushing the bar on quality code since they culturally cannot accept the cost of that. It doesn't make sense until it is too late and by then their code base is too entrenched. I've seen this at countless finance companies, and from…

At the proprietary trading group where I work, the three core developers own the company. And we care greatly about the code quality, as it is our money on the line.

Re: High-Speed Trading Firm Deleted Some Code by Accident

#56
post #18

The best part of this article is the feature graphic, that of a castle with the caption: THIS IS A TOWER. PHOTOGRAPHER: DAMIEN MEYER/AFP/GETTY IMAGES The article mentions "Tower Research". Is the image/caption a joke, auto-generated by content, or just plain laziness?

Also, 'La Tour' means 'The Tower'.

Re: High-Speed Trading Firm Deleted Some Code by Accident

#57
post #27
post #19

Earlier quoted context omitted.

Why does the SEC care that you bought shares at a price higher than the cheapest? How does that hurt anyone other than yourself?

The person offering the cheaper price is hurt, because someone offering a worse price is getting filled before him. Essentially, the moral argument of Reg NMS is to enforce price-time priority in a distributed system. Whether it actually accomplishes that is...well, I'll leave that up to you to decide.

It enforces price priority, not price-time priority. Exchanges can use pro-rata, etc. at the same price level; and if multiple exchanges offer the same price level, a BD is free to choose any of those to route to.

Re: High-Speed Trading Firm Deleted Some Code by Accident

#58
post #54

Earlier quoted context omitted.

Faster trading allows market makers to operate with smaller capital investments. This lowers the barrier to entry in the market making business, creating more competition. More competition reduces the costs of trading. (And not just in theory. Market making used to be exclusively the domain of a few big players. It's not anymore.) Reduced cost of trading matters to almost everyone who's involved in the markets. Passi…

How does HFT help market making? Would a market that operates with a 1 second resolution be inherently unable to provide the same levels of liquidity that we enjoy today? You argument is that Vanguard is a market maker, Vanguard likes HFT, thus HFT must be good. That doesn't really follow at all. Vanguard could be arguing in favor of HFT for all kinds of reasons, one of them could be that they have the money to rent…

Ummm... No. That's not remotely what I said. Vanguard is not a market maker, and definitely not a HFT shop. Vanguard is the world's largest mutual fund company. If you're not clear on who the major market players are, you should probably stop worrying about the arcane details of which middlemen these players use to interact.

Re: High-Speed Trading Firm Deleted Some Code by Accident

#59
post #54

Earlier quoted context omitted.

Faster trading allows market makers to operate with smaller capital investments. This lowers the barrier to entry in the market making business, creating more competition. More competition reduces the costs of trading. (And not just in theory. Market making used to be exclusively the domain of a few big players. It's not anymore.) Reduced cost of trading matters to almost everyone who's involved in the markets. Passi…

How does HFT help market making? Would a market that operates with a 1 second resolution be inherently unable to provide the same levels of liquidity that we enjoy today? You argument is that Vanguard is a market maker, Vanguard likes HFT, thus HFT must be good. That doesn't really follow at all. Vanguard could be arguing in favor of HFT for all kinds of reasons, one of them could be that they have the money to rent…

No. Vanguard is a large participant in the markets because it manages funds for long-term investors. Markets have bid and offer prices where you can instantaneously sell or buy shares, and these bids and offers are often provided by professional market-makers. Before automation, these were humans on an exchange floor. They could only trade a single stock at a time, hence the name "specialist", since they specialized in that issue. Volumes were also lower. To make enough to earn a living, that human on the exchange floor had to charge a big spread between buy and sell prices. For a long-term investor, this spread is an additional friction cost that drags on their returns when rebalancing portfolios.

Now a small team of researchers can make markets on many securities at once. They don't have to make as much money on each, so the spreads get smaller. Additionally, instead of a monopolistic specialist, these professional traders compete to win transactions by making better prices (higher bids and lower offers) than others. Many market makers try to keep a neutral "book" of positions, so if they sell some GS they may bid higher in other bank stocks to reduce their exposure to market risk. The faster a market maker can update his quotes or hedge when conditions change, the less spread he needs to charge.

http://meanderful.blogspot.com.au/2013/01/hfts-dirty-little-...

Re: High-Speed Trading Firm Deleted Some Code by Accident

#60
post #53
post #17

Every time I read stories about high speed trading, I have to wonder what is actually the point of high speed trading to the society. The point of a free and fast stock market is to provide monetary liquidity and stabilize the economy by shortening the feedback loop. But something tells me that our society and economy derives zero benefit from nanosecond resolution trading vs. trading with say 1 minute resolution. Me…

I think wild market swings have been happening as long as markets have been around. I don't necessarily see the connection between HFT and those swings. Here's a thought: If you assume that swings are going to happen regardless of HFT, then is it possible that HFT actually helps find the real "fair value" level in the market faster than if those player's did not exist? Another thought on HFT's value to society: I gen…

You can only eliminate cross-market arbitrage by forcing everyone to trade in one place. Exchange competition lowers costs for everyone so it's not clear that this would improve things. Even on a centralized exchange, near-arbitrage would still exist between very correlated products within it or between similar but not identical products in other places (index futures vs. ETFs, different grades of oil, US treasuries vs. European bomds).

Like you said, if enough people do the arbitrage, it converges to zero very quickly. There's little profit in it and everyone reaps the benefits of near-instantaneous accurate pricing.

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