191–200 of 223 posts
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I havent read the patent but I can say this is an exceedingly common (I'd probably say standard) strategy. I can only assume the atomic clock bit is what's novel.
The atomic clock bit isn't novel at all. I've worked for HFT firms the past 9ish years and using hardware timesources is 101 level intro to electronic trading.
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Why? He can argue that insider trading is good. Which is actually a pretty easy argument to make. (And places like Germany only recently tightened laws against it.)
What is your argument that insider trading is good?
1) speeds up price discovery 2) makes complying with regulation cheaper 3) it is nearly impossible to enforce currently
Some op-ed pieces arguing for it.
http://www.marketwatch.com/story/why-insider-trading-should-...
http://www.forbes.com/sites/jeffreydorfman/2015/03/22/a-mode...
https://www.washingtonpost.com/news/wonk/wp/2013/07/26/insid...
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It's technically reacting but it's also interrupting. People dislike the interrupting. (And it's not might when there are rules about doing things on multiple exchanges. But I'm not an expert on that part.)
> also interrupting. People dislike the interrupting. So your argument is...what? Hypothetically: Let's say I have an inventory of stock A, which I think is worth X, and which try and sell whenever the market price climbs above X. Now there's some new public knowledge that materially impacts my estimation of the value of that stock (eg, a large hedge fund has started buying large blocks of this stock): I no longer th…
Can you not see how it's bad in the specific case where they already issued the order to all exchanges but your order gets processed first because you used a different cable? Ignore the more ambiguous cases for the moment.
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That 100% depends on the exchange actually. Not all exchanges have priority rules like that. It certainly is the case for a lot of futures markets, but definitely not for many places for Equities, Options, or even FX.
Which major equities exchanges don't do price/time priority?
I used to work with Peter Kovac, that book's author, at Madison Tyler Technology / EWT LLC (which is now Virtu Financial). He's one of the smartest guys I've ever met and that was a pretty decent book.
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The atomic clock bit isn't novel at all. I've worked for HFT firms the past 9ish years and using hardware timesources is 101 level intro to electronic trading.
But atomic ones? We used ptp or gps for this sort of work but I don't know that I've seen an atomic clock.
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Which major equities exchanges don't do price/time priority?
Can't really say sadly, but it is true. But it is normally the case for Limits, except not all orders are limit orders. You're right mostly, for a certain type of strategy, but not all of them. Ironically I just looked up your profile and on the link you mention Flash Boys: Not So Fast. I used to work with Peter Kovac, that book's author, at Madison Tyler Technology / EWT LLC (which is now Virtu Financial). He's one…
I have seen odd priority rules around how orders get around sweep or self match protections and the like, but not jumping a resting, visible order.
Given the order type doco is public for SEC regulated exchanges I doubt your IP agreement restricts you from slipping me a link right? ;)
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What you are describing is an acausal (i.e. physically impossible, since cause effect happens before cause) version of demand anticipation - changing prices in response to market demand. It's impossible because the HFT will only know your order has reached exchange A after exchange A has told him about it. Obviously A can't tell him about it until after your order has arrived. Front running is a strategy where your b…
Perhaps the parent comment was edited after you posted, but while what is described is not "front running", it's not acausal. The observation is happening at Exchange A, the reaction at Exchange B .
"Buying ahead of you" requires some kind of advance knowledge, and in the scenario described you simply don't have it.
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What you are describing is an acausal (i.e. physically impossible, since cause effect happens before cause) version of demand anticipation - changing prices in response to market demand. It's impossible because the HFT will only know your order has reached exchange A after exchange A has told him about it. Obviously A can't tell him about it until after your order has arrived. Front running is a strategy where your b…
Did you not read my example? We are talking here about multiple, physically separated exchanges. Example: Vanguard sends a buy order of 1000 shares of AAPL to exchange A. Some HFT firm sees that order on exchange A and knows that it will also be placed on exchange B, and was surely broadcast from Vanguard's trading floor at the exact same moment as the order to exchange A. However, the HFT firm also knows that Vangua…
TRADE AAPL 1000@$96.98.
He does not see "Vanguard" - the trade confirmation is anonymous. It could even be him! (Yes, you are subscribed to a multicast trade confirmation feed and even your own trade confirmations are anonymized.) He does not see Vanguard's physical location - for all he knows Vanguard is closer than he is.
So actually, all the HFT knows is that someone bought some AAPL.
Now what? Whenever someone buys AAPL he goes out and buys a bunch more? That doesn't sound like a moneymaking strategy to me.
What evidence do you have that people are making millions of dollars from this as you write this? Michael Lewis?
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Perhaps the parent comment was edited after you posted, but while what is described is not "front running", it's not acausal. The observation is happening at Exchange A, the reaction at Exchange B .
If he sees an order on exchange A (which is completely anonymized and disconnected from anything on exchange B), he cannot know if you are making an order on exchange B. "Buying ahead of you" requires some kind of advance knowledge, and in the scenario described you simply don't have it.
I don't really know if that is the case (or ever was).
In any event, it's not acausal.