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Shortwave Trading: The West Chicago Tower Mystery

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Re: Shortwave Trading: The West Chicago Tower Mystery

#11

Post by tomalpha »

dmeeker wrote: post #10
coob wrote: post #7

Earlier quoted context omitted.

Wouldn't you just send whatever is needed to place the order? Do all of the processing at the source and just send the final instruction? (honest question I have no idea how this works)

Generally speaking, folks use the CME futures as a leading indicator, so you may have several different trading strategies that trade against the European markets and just use the CME pricing as one of their inputs. In that case, the most bandwidth-efficient play is to send your market data over once from Chicago, replicate it / make it available to all your trading strategies, and let them do their work locally.

That might well be true, but if you've only got a few kbits/second of bandwidth even that might be too much.

Re: Shortwave Trading: The West Chicago Tower Mystery

#12

Post by madengr »

They are probably also monitoring HF propagation paths, as there can be ground wave and sky wave, with varying dispersion.

The X300 has some latency too. I’ll be they are doing the majority of processing directly on the FPGA to avoid SDR latency. The X310 has a larger FPGA, and would be tell-tale.

Bring on the comms with neutrinos or entangled particles.

Re: Shortwave Trading: The West Chicago Tower Mystery

#13

Post by tomfanning »

Would love to know what licensing regime / category they are using for this. It definitely isn't ham, because that's non-commercial only. The fact that log period antennas are in use is interesting too - low gain but directional and useful across a broad frequency range - maybe some spread spectrum technology?

Re: Shortwave Trading: The West Chicago Tower Mystery

#15

Post by sailfast »

This is a wonderful article for so many reasons. Outlines resources for doing this yourself, uses industry knowledge to outline hypotheses and then tests them with data, and reveals a really interesting possibility for market communication. Also, a bit of local Chicago geography :) An enjoyable read!

Edit: the “is this a troll” comment makes this even more enjoyable for some reason. Now it’s an even bigger treasure hunt.

Re: Shortwave Trading: The West Chicago Tower Mystery

#16

Post by dmeeker »

tomalpha wrote: post #11
dmeeker wrote: post #10

Earlier quoted context omitted.

Generally speaking, folks use the CME futures as a leading indicator, so you may have several different trading strategies that trade against the European markets and just use the CME pricing as one of their inputs. In that case, the most bandwidth-efficient play is to send your market data over once from Chicago, replicate it / make it available to all your trading strategies, and let them do their work locally.

That might well be true, but if you've only got a few kbits/second of bandwidth even that might be too much.

Sure, you're certainly not sending a full feed -- presumably you've got some algo sitting in Chicago that's looking for interesting / potentially profitable price / vol changes and sending them via the fast path, while the remainder of the feed is going via higher-bandwidth but slower paths.

Re: Shortwave Trading: The West Chicago Tower Mystery

#18

Post by 21 »

coob wrote: post #7
dx034 wrote: post #2

I guess low bandwidth is no problem. You only need to send a stream of price changes of the most common instruments (currencies, stocks). And only if there are meaningful movements. I guess a few kbit/s can already provide a lot of value. How fast would such a connection be? Is there an easy way to calculate the distance the signal takes compared to great circle line?

Wouldn't you just send whatever is needed to place the order? Do all of the processing at the source and just send the final instruction? (honest question I have no idea how this works)

The price on the other side also moves, so it's more complicated.

Re: Shortwave Trading: The West Chicago Tower Mystery

#19

Post by Jommi »

Weirdest thing I've read in a long while.

The Author's comments refer to an internet forum thread[0] in German which discusses a German news article from this April.[1]However, it turns out this article is an April Fools text.

Just digging deeper into the whole blog you can find something that can only be described as a fanfiction representation of "Flashboys", but in the context of this "Shortwave trading".[2]

Is this whole thing a troll? Is this real? What on earth is this?

[0]http://funkbasis.de/viewtopic.php?f=39&t=45900

[1]https://www.heise.de/newsticker/meldung/Boersenhandel-besche...

[2]https://sniperinmahwah.wordpress.com/2017/06/26/network-effe...

Re: Shortwave Trading: The West Chicago Tower Mystery

#20

Post by 21 »

badosu wrote: post #6

Given the limitations of such a medium I wonder if the TCP/IP stack is still viable or another transport protocol is used.

You probably want to combine in a single raw packet the data, compressed with a prediction codec with the error detection code. Since you also have a lower-latency high-speed link (the transatlantic cable), you can continuously update the probabilistic model used by the compression to squeeze the last bit.
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