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High-Frequency Programmers Revolt Over Pay

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Re: High-Frequency Programmers Revolt Over Pay

#161

Post by matwood »

GBond wrote: post #84
tom_b wrote: post #11

Earlier quoted context omitted.

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 per…

"Sales" isn't that easy to measure. Sure, the sales person might have been the face to the other company, but were they the real reason the sale closed? I've written a bunch of small pieces of software for my current company and many new clients have said the only reason they picked my company over a competitor was my value add software. Did I see any of the sale commission? Nope.

Re: High-Frequency Programmers Revolt Over Pay

#162

Post by wglb »

noname123 wrote: post #111
wglb wrote: post #78

Earlier quoted context omitted.

But HFT dealers stopped trading that day is not entirely true. Some HFT traders (not dealers) stopped at the flash crash, but others stayed in, partly because they were obligated to due to their liquidity agreements with the exchanges, and partly in retrospect to make bags and bags of money. If the latter were not in the market, you would not have seen the flash-uncrash that was the recovery, and it would have been 1…

Yes. You are both right and wrong. Dealers are obligated by their contractual agreements to make offers to trade; but what exchanges didn't specify are what prices their dealers could offer for their trades. If the dealers don't want to trade, they just make their buy and sell limit orders to be way out of the normal price band. Hence, I want to buy Accenture at $0.01 and sell Accenture at $1000. Yea, I'm meeting my…

Exchanges like HFT because they make the markets work: http://www.reuters.com/article/idUSTRE65T5IF20100630 From that article: Shortly after the flash crash, U.S. exchange executives told the SEC these firms help keep markets functioning.

Playing games with prices is not providing liquidity.

If you look at http://batstrading.com/ and click through to the fee schedule, you see that Bats pays liquidity providers $0.0024 rebate per share traded.

Re: High-Frequency Programmers Revolt Over Pay

#163

Post by Confusion »

yummyfajitas wrote: post #93
Confusion wrote: post #60

Earlier quoted context omitted.

The only thing HFT changes is who the marketmaker that pockets the $200 is going to be [..] And the amount of times they step in and take that $200 out of the market. In earlier times, when there weren't many market makers yet, the 2 cent spread would often sort itself out, without someone stepping in and pocketing those $200. Market makers don't just pocket the 2 cents: they pocket them every single chance they got…

In earlier times, the spread was considerably higher. So instead of an HFT firm earning a $0.02 bid/ask, a human on the trading floor might be earning a $0.05 bid/ask. If you don't want to pay the spread, you can place ALO orders and you will NEVER pay the spread. Your order might never be filled, however. The $0.02 spread you pay is the cost of getting filled right now . Pay it or not, it's your choice, but remember…

  The $0.02 spread you pay is the cost of getting filled right now.
The cost of it getting filled right now against the maximum spread they can find, even if that means executing a dozen obscure orders that cancel each other out in such a way that the spread can be reaped.

If HFT's are actually creating value (or preventing value from being lost), they are immediately cashing all of it. I'm not sure that counts as something good. Inevitable perhaps.

Re: High-Frequency Programmers Revolt Over Pay

#164

Post by noname123 »

wglb wrote: post #162
noname123 wrote: post #111

Earlier quoted context omitted.

Yes. You are both right and wrong. Dealers are obligated by their contractual agreements to make offers to trade; but what exchanges didn't specify are what prices their dealers could offer for their trades. If the dealers don't want to trade, they just make their buy and sell limit orders to be way out of the normal price band. Hence, I want to buy Accenture at $0.01 and sell Accenture at $1000. Yea, I'm meeting my…

Exchanges like HFT because they make the markets work: http://www.reuters.com/article/idUSTRE65T5IF20100630 From that article: Shortly after the flash crash, U.S. exchange executives told the SEC these firms help keep markets functioning. Playing games with prices is not providing liquidity. If you look at http://batstrading.com/ and click through to the fee schedule, you see that Bats pays liquidity providers $0.002…

Yep. That's true, but not because the exchanges are altruistic - but because the exchanges are trying to compete against each other for the greatest volume.

BATS is the latest new-comer to the game and it attracts volume to its exchange by attracting HFT firms who have the highest trade volume with rebates. In fact a lot of these firms don't even try to make money anymore, as long as you have a strategy that breaks even and you collect rebates and trade enough volume. You make a profit.

The definition of liquidity becomes pretty fuzzy here when you have HFT take away liquidity from one market center to offer it to the next depending on how various rebate structure will make them the most money; and exchanges themselves in collusion to pump up their trade volume.

Re: High-Frequency Programmers Revolt Over Pay

#165

Post by adn37 »

kingcub wrote: post #143
starkfist wrote: post #135

Earlier quoted context omitted.

Thanks for the insight. I have an interview at one of the NYC prop shops, but it's for something more back office-y. Would it be a mistake to take this job, thinking I could move into something closer to the trading later? I've got mixed advice. Some people say it isn't too hard to shift, others say it's impossible.

It's really hard to say without knowing the position. I've seen it go both ways. Some places it's the entry level get in the door while we evaluate you position and if you're good we'll move you over to trading. Some places it's all they ever want you to do with no opportunity to move to the trading side.

Interesting thread, thanks.

As a Direct Market Access developer myself, I wonder what is your environment (target exchange(s), api/transport/codec stack, market data provider) and how time-costly it is for you to 'just connect' to the market (aka, having a platform ready to trade, without the algo stuff).

Could you elaborate a little please?

Re: High-Frequency Programmers Revolt Over Pay

#166

Post by adn37 »

gary201147 wrote: post #33

Today's financial mathematicians are equally adept at programming and computational science. It seems unlikely that these guys are your run of the mill programmers.

Sure they are smart. Question is: do they want to invest time to master the internals, needed to achieve high performance? Takes years to get there.

Re: High-Frequency Programmers Revolt Over Pay

#167

Post by artsrc »

anamax wrote: post #24
mailanay wrote: post #10

Earlier quoted context omitted.

Imagine liquidity as tank full of fuel in your car. The possibilities of going with a full tank are endless. More fuel than tank's holding capacity is pretty much useless.

> More fuel than tank's holding capacity is pretty much useless. And what, exactly, is the "tank's holding capacity" for liquidity?

The volume real market participants want to buy or sell.

Re: High-Frequency Programmers Revolt Over Pay

#169

Post by barrkel »

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.

It reduces the size of the market for related goods, such as record sales, clothing, TV subscriptions, etc. by alienating poorer consumers. It hurts the brand, basically.

Re: High-Frequency Programmers Revolt Over Pay

#170

Post by cturner »

barrkel wrote: post #169
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.

It reduces the size of the market for related goods, such as record sales, clothing, TV subscriptions, etc. by alienating poorer consumers. It hurts the brand, basically.

As I see it, I disagree that it alienates poorer consumers.

Perhaps you were thinking along this line: that it discourages venues from offering coupon clipping discounts. It won't though: a venue has a fixed number of seats available, and will attempt to maximise its profit for this available volume of seats. If they're going to have leftovers, they'll find ways to discount out what's left.

Scalping works against a venue practice where they charge higher prices for last-minute tickets with an intent of selling less-than-all the available tickets but netting more profit due to the high charges. With scalping, they compete with the guys out the front gates and last-minute sites on the internet. It now becomes more attractive for them to try and sell all the seats, rather than charging a lot for just a few. Hence, scalping is helping reduce prices, and creates more places at the venue.

Separately, if you got into a situation where you had to choose between seeing Madonna on stage and eating you can sell your ticket and buy food with what you get.

Interesting: scalping becomes less lucrative when it's legal because venues know they are unlike to get away with things that they will do well on when it's banned. As a result, the market won't exist.

Perhaps you have other scenarios I haven't thought of though, if so I'm interested to hear.

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