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High-Frequency Programmers Revolt Over Pay

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Re: High-Frequency Programmers Revolt Over Pay

#81

Post by ovi256 »

cturner wrote: post #55
noname123 wrote: post #23

Earlier quoted context omitted.

Nah. Not going to happen. They introduced a bunch of legislation already in congress trying to tax per per share per transaction, all got killed very quickly; offends the All-American capitalism sensibilities too much. While I agree with you that HFT is a scam, I disagree with you that it's a ponzi scheme. It's more like ticket-scalping, so the scheme is going to go on forever, as long as SEC allows it (which they wi…

What's wrong with ticket scalping? Anti-scalping laws are a good example of the government intervening in a market to prevent natural price discovery, and to hand advantage to the sell-side.

What's right with ticket scalping ? What value does it provide ? None.

Re: High-Frequency Programmers Revolt Over Pay

#82

Post by megafotze »

ssp wrote: post #42

Can someone explain in simple terms why high-frequency trading actually works? I can't understand how trading at a high frequency provides any advantage at all, except in a Martingale-fallacy way.

10 buy N shares @ $0.011 20 sell 500 milliseconds later at $0.014 30 goto 10

well that's pretty much simplified. but the idea is to make profits from really small price differences very frequently. the hard part is to chose the right stock and do the trade fast enough.

the first part is solved by supposedly smart algorithms (the guys who invent those algorithm are called quants because ... well ... the first guys who started HFT were ex quantum physicists. nowadays the term got coined to quantitative analyst)

the 2nd part of the problem is the execution of a trade in the lowest possible time span. that's where our coder guys come in - they implement the algorithms and trade stuff and make their software as fast as possible.

if you ask me this is all big bull shit. it's like a high speed rand() - one time you get lucky one time you don't. and the $100k day/profit is an average. you don't know how large their trade volume is (I guess it's way more than $100k - way way more). so on one day in a year they might hit the jackpot and their rand() chose the right stock at the right time and make like $50 mio and then the rest of the year they only hit shit losing $20 mio. at the end they made $100k/day ...

Re: High-Frequency Programmers Revolt Over Pay

#83

Post by chopsueyar »

anamax wrote: post #25
jbooth wrote: post #14

Earlier quoted context omitted.

So? Let's say all subsecond trading is abolished tomorrow, and rather than a smooth curve, all asset prices step at 1-second intervals. What value was destroyed there? If none, what value are these guys creating? None?

> Let's say all subsecond trading is abolished tomorrow, and rather than a smooth curve, all asset prices step at 1-second intervals. That will tend to expand the bid-ask spread. That hurts both buyer and seller.

So a decrease in liquidity will cause an increase in volatility?

Re: High-Frequency Programmers Revolt Over Pay

#84

Post by GBond »

tom_b wrote: post #11
patio11 wrote: post #2

I think financial industry programmers are at the leading edge of this phenomenon (much like quants were the leading edge of programmers being paid for value rather than for hours), because they're the programmers who can most easily demonstrate that their code directly made a company millions. They're not the end of it by a long shot. Take A/B testing, analytics, conversion optimization, etc. If you are good at thes…

I'd actually love to see more jobs that offered the opportunity to work with a small base salary but increased compensation levels based on measurable results. I'm really curious about non-startup work models that would encourage this. So far, the easiest path would seem to be via consulting, where you sold your services as business services that happened to be software-based rather than as a "warm body" to staff som…

>I'd actually love to see more jobs that offered the opportunity to work with a small base salary but increased compensation levels based on measurable results.

Many sales positions are like this (eg. Enterprise Software).

The key of such pay model is being easily measured down to the individual (which sales is). It doesn't apply to most cases because it is hard to accurately measure contributions of individual's performance of a product/result that is comprise of a team of peers.

The "body shop" biz model is also easily measured (sit on seat 1 hr = pay for 1 hr).

Re: High-Frequency Programmers Revolt Over Pay

#85

Post by cturner »

ovi256 wrote: post #81
cturner wrote: post #55

Earlier quoted context omitted.

What's wrong with ticket scalping? Anti-scalping laws are a good example of the government intervening in a market to prevent natural price discovery, and to hand advantage to the sell-side.

What's right with ticket scalping ? What value does it provide ? None.

Scalping provides value on a few levels:

- honest price discovery. consumers don't have to submit to price segmentation.

- the venue are more likely to get rid of risk on the sale of tickets quicker (a bit like forward)

Re: High-Frequency Programmers Revolt Over Pay

#86

Post by Sukotto »

I'm interested in playing with algorithmic (maybe even HF) trading to see if it's fun.

Can anyone recommend a source of data on the cheap so I can papertrade? Clearly realtime data feeds are going to cost... but isn't there some public repository of historical data someplace?

Re: High-Frequency Programmers Revolt Over Pay

#87

Post by anonymousDan »

yummyfajitas wrote: post #34
neilk wrote: post #26

Earlier quoted context omitted.

I'm not an expert, but how does HFT increase liquidity? One definition of liquidity is when you can sell something without affecting the price much. Most people on Wall Street will tell you their job somehow increases liquidity -- connecting buyers and sellers in more and more efficient ways. HFT seems different. It is comparable to front-running other people's orders. Someone tries to buy an item for $1.00, and the…

Someone tries to buy an item for $1.00, and the HFT algorithm tries to grab the item first and resell it to our original buyer (and other people in the market) for just a tiny bit more. No. The matching engine will match first the highest priced order, and in the case of orders at the same price, whichever order was placed first. You can't jump ahead in the queue, no matter how fast your algorithm is [1]. [1] This st…

Can I ask you how this is physically laid out? Is there just a big centralized computer at the exchange with two input queues, one for buys and one for sells? What if I want to place an order at the best price across multiple different exchanges?

Re: High-Frequency Programmers Revolt Over Pay

#88

Post by yummyfajitas »

jteo wrote: post #73
SwellJoe wrote: post #46

Earlier quoted context omitted.

Exactly! My immediate thought was, "You smug bastard." This is why I would never take a job as a programmer in the trading industry working for the big firms. I have dignity, and it would never cross my mind to put up with smug bastards taking this attitude with me all day, no matter how high the salary. It's not that the software is making people tons of money, it's that nobody respects that the software is making p…

If you want to work as a programmer in the finance industry, work for a finance software firm, as opposed to a bank. At least you'll be a first class citizen.

Or work on a trading desk as a quant developer, at a big bank, hedge fund or wherever. Only a foolish trader will fail to understand the value of the quants working for him.

Re: High-Frequency Programmers Revolt Over Pay

#89

Post by anonymousDan »

Dilpil wrote: post #75
ssp wrote: post #42

Can someone explain in simple terms why high-frequency trading actually works? I can't understand how trading at a high frequency provides any advantage at all, except in a Martingale-fallacy way.

Certain trades are obvious winners- index funds available for less than the sum of their component parts for example. Everyone on the street knows they are obvious winners, so usually the trade isn't available for long. Firms have computers set up to constantly scan the markets for these opportunities. Whoever sees the trade first and gets to the exchange first ends up making all the money.

But that sounds to me like it should be called low-latency trading, not high frequency?

Re: High-Frequency Programmers Revolt Over Pay

#90

Post by nzmsv »

Sukotto wrote: post #86

I'm interested in playing with algorithmic (maybe even HF) trading to see if it's fun. Can anyone recommend a source of data on the cheap so I can papertrade? Clearly realtime data feeds are going to cost... but isn't there some public repository of historical data someplace?

NASDAQ has some sample data here: ftp://emi.nasdaq.com/ITCH/

Their website also has a description of the format: http://www.nasdaqtrader.com/content/technicalSupport/specifi...

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