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

Post by justicezyx » Sun, Jul 01, 2018, 8:41 PM UTC

geofft wrote: post #53

mlichvar wrote: post #36

Earlier quoted context omitted.

I maintain an NTP implementation. That comparison doesn't seem fair to me. It looks like they are comparing the old reference NTP implementation and not really the protocol itself. An NTP implementation can certainly synchronize clocks with better accuracy than 1 millisecond, or even 1 microsecond with hardware timestamping and good network switches. There are some interesting ideas in the Huygens paper, but I don't…

The other thing I don't understand is that this paper argues against hardware timestamping on the grounds that users won't want to buy expensive hardware, and that Huygens is for "standard hardware ... in current data centers". Expensive, niche hardware is normal for the HFT folks that care about nanosecond precision.

Post by tonysdg » Sun, Jul 01, 2018, 8:49 PM UTC

danbruc wrote: post #13

fjsolwmv wrote: post #10

Earlier quoted context omitted.

Why would you use floating point math for finance?

A floating point representation is not really the issue, the issue is not using base 10, and IEEE 754 specifies base 2 and base 10 floating point formats and operations. But I am of course not sure whether the original comment referred to base 2 or base 10 and given how common the mistake of using base 2 floating point numbers for financial calculations is, you may be correct with the intention of your comment.

Post by qeternity » Sun, Jul 01, 2018, 9:01 PM UTC

physguy1123 wrote: post #65

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.

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.

Post by qeternity » Sun, Jul 01, 2018, 9:06 PM UTC

physguy1123 wrote: post #62

MR4D wrote: post #61

Earlier quoted context omitted.

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.

Post by qeternity » Sun, Jul 01, 2018, 9:10 PM UTC

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.