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Algo trading digital assets

johnmathews.eu

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Re: Algo trading digital assets

#51

Post by askmike »

blunte wrote: post #45

Since the history of markets there have been people who believed they could define a set of rules that would allow them to win more than they lose (reliably enough to make it worth the gamble). There are many reasons why this is a fool's belief, at least with one strategy over a long term. As many people pointed out already, properly calculating risk is the usual failure. But even if you properly calculate risk, ther…

You mean how companies like Renaissance Technologies are obviously flawed since they only rely on mathematical models and are thus doomed to fail?

Re: Algo trading digital assets

#52

Post by dajohnson89 »

askmike wrote: post #51
blunte wrote: post #45

Since the history of markets there have been people who believed they could define a set of rules that would allow them to win more than they lose (reliably enough to make it worth the gamble). There are many reasons why this is a fool's belief, at least with one strategy over a long term. As many people pointed out already, properly calculating risk is the usual failure. But even if you properly calculate risk, ther…

You mean how companies like Renaissance Technologies are obviously flawed since they only rely on mathematical models and are thus doomed to fail?

it's ok, it was amusing to see the Nassim taleb meme still going strong.

Re: Algo trading digital assets

#53

Post by KMag »

kayhi wrote: post #49
physguy1123 wrote: post #46

Earlier quoted context omitted.

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 excluding taker-maker exchanges. Take NYSE parity or CME mass quotes for example 3 - Somewhat true but not in general. Becomes a murkier quality when hft is combined with longer term signals…

1) yes, if a large order has to be fulfilled across multiple exchanges then there’s a race which HF can win

But front-running has a very narrow regulatory / legal definition, which isn't met by latency arbitrage. Maybe you don't like what's going on, but to use the name of a crime to describe perfectly legal latency arbitrage is hyperbolic and/or ignorant.

Re: Algo trading digital assets

#54

Post by mosselman »

"Hello Hacker News! Thanks for all the views. Due to increased traffic, Plot.ly won’t serve any more plots until tomorrow. Come back then?"

A bit off-topic, but it teaches us a lesson about avoiding getting locked-in by too many services. If I'd use a plot in my blog post I'd like it to keep working even when I get more traffic than usual. Especially if my whole blog post is useless without it.

Re: Algo trading digital assets

#55

Post by physguy1123 »

kayhi wrote: post #49
physguy1123 wrote: post #46

Earlier quoted context omitted.

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 excluding taker-maker exchanges. Take NYSE parity or CME mass quotes for example 3 - Somewhat true but not in general. Becomes a murkier quality when hft is combined with longer term signals…

1) yes, if a large order has to be fulfilled across multiple exchanges then there’s a race which HF can win

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 bypass routing mechanisms and exist for the sole purpose of executing large cross-exchange orders. Even if one doesn't want to lift the price, people trying to fill a large order generally route multiple orders to different exchanges.

An HFT might see one price level go away before another even with the ISO mechanism, but it's far too late to act on that information by the time it's visible on the lit markets.

Re: Algo trading digital assets

#56

Post by blunte »

askmike wrote: post #51
blunte wrote: post #45

Since the history of markets there have been people who believed they could define a set of rules that would allow them to win more than they lose (reliably enough to make it worth the gamble). There are many reasons why this is a fool's belief, at least with one strategy over a long term. As many people pointed out already, properly calculating risk is the usual failure. But even if you properly calculate risk, ther…

You mean how companies like Renaissance Technologies are obviously flawed since they only rely on mathematical models and are thus doomed to fail?

I have a strong suspicion that Renaissance has some (illegal) advantage that almost nobody else is aware of. They are notorious for isolating information within their own organization, and that could help them keep secrets regarding their edge.

Nobody produces results like they do over such a long period, and it's exceedingly unlikely that they are so much smarter than everyone else. Whether from insider information or market manipulation, their success smells too strongly.

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