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Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

nytimes.com

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Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#61

Post by MR4D »

qeternity wrote: post #24
chaboud wrote: post #20

"So-called high frequency trading firms place trades in a fraction of a second, sometimes in a bet that they can move faster than bigger competitors." First off: no. Big money plays in high frequency trading (roughly half of all trading activity), and the smaller traders without instantaneous access are the losers in this game. Secondly, NASDAQ's obsession with precise global sequencing is A) misguided and B) effecti…

Most HFT shops are relatively small. HFT is all about latency and turn over. Big quant shops might have HFT elements but lean far more towards systematic/algo strategies that can be relatively high latency (still super low latency, but not HFT) because these are the only strategies that you can deploy serious var with. The guys crushing HFT are not huge hedge funds, and they are solving more engineering problems than…

Of course the retail guy gets hurt. Who do you think buys the mutual funds that pay a higher price.

Seriously, I hear this all the time, but it’s only one step removed. Why does everybody keep repeating this lie?

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#62

Post by physguy1123 »

MR4D wrote: post #61
qeternity wrote: post #24

Earlier quoted context omitted.

Most HFT shops are relatively small. HFT is all about latency and turn over. Big quant shops might have HFT elements but lean far more towards systematic/algo strategies that can be relatively high latency (still super low latency, but not HFT) because these are the only strategies that you can deploy serious var with. The guys crushing HFT are not huge hedge funds, and they are solving more engineering problems than…

Of course the retail guy gets hurt. Who do you think buys the mutual funds that pay a higher price. Seriously, I hear this all the time, but it’s only one step removed. Why does everybody keep repeating this lie?

Vanguard states that hft activities have lowered their trading costs, so I don't think this claim is necesarily true.

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#63

Post by tptacek »

karpodiem wrote: post #59
qeternity wrote: post #24

Earlier quoted context omitted.

Most HFT shops are relatively small. HFT is all about latency and turn over. Big quant shops might have HFT elements but lean far more towards systematic/algo strategies that can be relatively high latency (still super low latency, but not HFT) because these are the only strategies that you can deploy serious var with. The guys crushing HFT are not huge hedge funds, and they are solving more engineering problems than…

"Also, no, small traders don't lose. Retail traders et al get much tighter spreads, cheaper execution by routing to internalizers, etc." There's liquidity until there isn't. It was easier to get an order filled during a run to the exit pre-HFT. When everyone runs to the exit in an HFT world, retail investors are the last to get their orders filled, if they're lucky.

I don't know if this is true, but higher liquidity and lower spreads reduces the cost of every trade, which is money in the pockets of retail and value investors. I assume this is why Vanguard says HFT has been helpful for them (despite the fact that they don't do HFT themselves).

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#64

Post by jrockway »

This technology will also be excellent for games. Right now, the server has to decide how it's going to break ties, and that results in confusing moments. For example, Overwatch favors the shooter, so you might see someone in a position to shoot you, use a defensive ability, and die even though you used it, because the server decides that if two events are close in time, the shooter wins. With a trusted time reference, you can actually order events from the perspective of the client instead of the server; so if you actually used that defensive ability before the shooter clicked the mouse, you don't die.

I actually think NTP might be good enough for this (despite what people say their reaction times are, milliseconds don't actually matter), but I guess game developers don't think of games as globally-distributed transaction processing systems (which is what they are, just a lot more write conflicts to resolve than your average database), and haven't experimented with ideas that are still only a few years old in that field. (The game industry also doesn't reward experimentation. If you're Google and you try to replace Bigtable with Spanner and it fails, it doesn't matter, you just keep using Bigtable. If you're a game company and your netcode is janky, you launch late, a competitor releases a similar game before you, and all the money you spent on development is gone.)

With games there is always the trust issue; can someone write a client that lies about the time they took an action? The answer is yes. But if we have technology that relies on similar client trust working in high-frequency trading, it should be safe enough for games. The stakes are a lot lower in a computer game than the financial markets. So I think good things are on their way.

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#65

Post by physguy1123 »

karpodiem wrote: post #59
qeternity wrote: post #24

Earlier quoted context omitted.

Most HFT shops are relatively small. HFT is all about latency and turn over. Big quant shops might have HFT elements but lean far more towards systematic/algo strategies that can be relatively high latency (still super low latency, but not HFT) because these are the only strategies that you can deploy serious var with. The guys crushing HFT are not huge hedge funds, and they are solving more engineering problems than…

"Also, no, small traders don't lose. Retail traders et al get much tighter spreads, cheaper execution by routing to internalizers, etc." There's liquidity until there isn't. It was easier to get an order filled during a run to the exit pre-HFT. When everyone runs to the exit in an HFT world, retail investors are the last to get their orders filled, if they're lucky.

Manning rule dictates that retail orders held by a market maker must be filled before any other orders (or equally that fills must be given to the retail order), brokers don't look kindly on firms that reject customer orders with any regularity, and anyways retail flow on a volatile+wide spread symbol are loved by market makers.

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#66

Post by physguy1123 »

myself248 wrote: post #26
chaboud wrote: post #20

"So-called high frequency trading firms place trades in a fraction of a second, sometimes in a bet that they can move faster than bigger competitors." First off: no. Big money plays in high frequency trading (roughly half of all trading activity), and the smaller traders without instantaneous access are the losers in this game. Secondly, NASDAQ's obsession with precise global sequencing is A) misguided and B) effecti…

What would be the negative effect if the time quantum was much larger, say, an hour, a day, a week?

Market makers have absolutely no incentive to quote tight spreads up until the last minute where they might have some idea about the price, or maybe not so they don't quote at all.

A lot of 'alternative solutions' to the continuous limit book assume that there's some other mechanism for price discovery so people make informed decisions, but really it is the book itself which provides that information.

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#67

Post by 18pfsmt »

chaboud wrote: post #35
myself248 wrote: post #26

Earlier quoted context omitted.

What would be the negative effect if the time quantum was much larger, say, an hour, a day, a week?

I'd like to see qeternity chime in on this, since it's their space, but as market that is too rigid can't actually provide sufficient liquidity to users to function as an effective market. Let's say you're comparing a savings account (1% interest, a day to withdraw), six month certificates of deposit (3% interest, six months out), and cash in your pocket (%0 interest, instant), and the goal is to account for market f…

Capital gains taxes are the same if you hold for a minute vs a month, but that doesn’t have to be true. I wonder if addressing the issue raised by the OP might be approached from that angle?

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#68

Post by unclebucknasty »

tptacek wrote: post #63
karpodiem wrote: post #59

Earlier quoted context omitted.

"Also, no, small traders don't lose. Retail traders et al get much tighter spreads, cheaper execution by routing to internalizers, etc." There's liquidity until there isn't. It was easier to get an order filled during a run to the exit pre-HFT. When everyone runs to the exit in an HFT world, retail investors are the last to get their orders filled, if they're lucky.

I don't know if this is true, but higher liquidity and lower spreads reduces the cost of every trade, which is money in the pockets of retail and value investors. I assume this is why Vanguard says HFT has been helpful for them (despite the fact that they don't do HFT themselves).

Aren't the cost of the trade and price of the trade two different things? Tighter spreads can only do so much to offset disadvantageous pricing, right?

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#69

Post by cma »

acover wrote: post #57
chaboud wrote: post #20

"So-called high frequency trading firms place trades in a fraction of a second, sometimes in a bet that they can move faster than bigger competitors." First off: no. Big money plays in high frequency trading (roughly half of all trading activity), and the smaller traders without instantaneous access are the losers in this game. Secondly, NASDAQ's obsession with precise global sequencing is A) misguided and B) effecti…

This doesn't solve the problem. There are multiple exchanges. If a real time exchange experiences a price drop then you could quickly sell stock on the quantized exchange with the hope of being randomly chosen.

You would quantize the whole NMS, though that would still leave open tracking stocks and composites overseas and stuff.
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