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High-Frequency Programmers Revolt Over Pay

forbes.com

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Re: High-Frequency Programmers Revolt Over Pay

#101

Post by paulgb »

jamii wrote: post #97
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?

We are actively looking for market makers for smarkets.com . No fees and very little competition, it may be worth checking out if you want somewhere easy to get started. We just released a public API: http://apidocs.s3-external-3.amazonaws.com/index.html

Looks fun. What's the daily trading volume like?

Re: High-Frequency Programmers Revolt Over Pay

#102

Post by jmillerinc »

sfk wrote: post #69
jacquesm wrote: post #57

Earlier quoted context omitted.

> You clearly haven't worked in finance. Chase Manhattan bank, the Netherlands branch, formerly the Nederlandse Crediet bank, about 3 years from when I was 19 to when I was 21, both as a systems level programmer as well as an application programmer. > However they are conflating programmers and quants here Yes, but I didn't, I only spoke about the programmers. They do not come up with the models, they just lay the br…

Please refrain from using the bricklayer image here. It is demeaning, silly and wrong. In order to implement a mathematical model, a programmer has to: a) Understand the model. b) Come up with a fast algorithm for the specification. c) Prove the algorithm correct. d) Make no mistakes implementing the algorithm. All of this has nothing to do with bricklaying. Moreover, it's quite ironic that the geniuses who come up w…

"Prove the algorithm correct" - gosh, if only that were true.

Re: High-Frequency Programmers Revolt Over Pay

#103

Post by gsmaverick »

chopsueyar wrote: post #83
anamax wrote: post #25

Earlier quoted context omitted.

> 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?

Possibly, but the biggest difference would be the increase in the bid/ask spread.

Re: High-Frequency Programmers Revolt Over Pay

#105

Post by parallax7d »

drx wrote: post #9
_delirium wrote: post #7

Earlier quoted context omitted.

However it also adds high levels of volatility and self-organizing behavior (i.e. trends that feed on other trends, not on underlying signals). One might add another fallacy: "The market does X, therefore X is good".

I didn't say it was good, I said that discarding something merely because you see a drawback and no benefits is foolish. You are right about the feedback loops though.

I would posit that discarding something because you see drawbacks and no benefits is logical.

Prescribing what someone you've never met knows or doesn't know would be, if not foolish, presumptuous.

Re: High-Frequency Programmers Revolt Over Pay

#106

Post by Retric »

silverlake wrote: post #18
abstractbill wrote: post #6

Earlier quoted context omitted.

Is more liquidity always better? (It's an honest question - I have no idea myself).

Liquidity means you can easily find a buyer or seller. In what circumstance would this not be a good thing? You get minimal markups (bid/ask spread), you can get in and out of trades quickly, and you can easily determine the market value of your securities. Housing is totally illiquid: there's a big broker fee, it takes a while to sell your house, and you can only guess at its true value by comparing to recent sales…

Edit: The more trades made independent of stocks fundamentals the lower the signal to noise ratio.

Both negative AND positive feedback loops independent of underlying value are bad.

Re: High-Frequency Programmers Revolt Over Pay

#107

Post by sp332 »

anonymousDan wrote: post #89
Dilpil wrote: post #75

Earlier quoted context omitted.

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?

Right so far :-) But the HFTs are not in the game for the long haul; they will immediately sell the stock to another investor, at a price between what the HFT paid for it and what the stock is worth to the other investors. That's why it's high-frequency trading. The buy and sell are almost synchronous.

Re: High-Frequency Programmers Revolt Over Pay

#108

Post by [deleted] »

jacquesm wrote: post #80
sfk wrote: post #72

Earlier quoted context omitted.

You were the one who said just lay the bricks . This clearly implies that laying bricks is an inferior task compared to coming up with models. EDIT:jacquesm, do you have a voting ring or why are your posts at 2 points (and mine at 0) the instant you post?

Why should I have a voting ring? If the situation would have been reversed would it be ok with you if I accused you of having a voting ring? I don't think so. If there is anybody on HN that has an aversion against voting rings it probably is me, and I wouldn't ever stoop so low as to cheat on something as silly as a conversation on a website (or anywhere else for that matter). Whoever voted for me is free to step for…

[deleted]

Re: High-Frequency Programmers Revolt Over Pay

#109

Post by [deleted] »

jmillerinc wrote: post #102
sfk wrote: post #69

Earlier quoted context omitted.

Please refrain from using the bricklayer image here. It is demeaning, silly and wrong. In order to implement a mathematical model, a programmer has to: a) Understand the model. b) Come up with a fast algorithm for the specification. c) Prove the algorithm correct. d) Make no mistakes implementing the algorithm. All of this has nothing to do with bricklaying. Moreover, it's quite ironic that the geniuses who come up w…

"Prove the algorithm correct" - gosh, if only that were true.

[deleted]

Re: High-Frequency Programmers Revolt Over Pay

#110

Post by rchi »

davemabe wrote: post #76
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.

Here's a very good presentation that describes what HFT is and how it works (and some of the myths): http://www.tradeworx.com/TWX-SEC-2010.pdf

how does tradeworx compare to jane street capital?
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