Goldman Sachs is spending $100M to shave milliseconds off stock trades • Hacker News Board

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#321

Post by JDiculous » Sat, Aug 03, 2019, 11:48 AM UTC

assblaster wrote: post #175

JDiculous wrote: post #148

Earlier quoted context omitted.

Because having homeless people lining our streets on our commutes to/from our jobs is a daily reminder that if we don't work hard enough to increase corporate profits, then our bosses might lay us off and we'll end up like them. That or moral apathy. At some point in the 80s we decided that markets driven by business profits should dictate every aspect of society. I imagine 100 years from now they'll look back at tod…

100 years after Communism burst on the scene, we currently look at that development with disgust. Right now most people have access to abundant food, cellphone in every pocket, access to a wealth of information, access to transportation, incredible medical advances. I can't imagine that the progress we've made would be scorned. Like other market driven forces, bad players will not be rewarded as information about the…

Woa who said anything about communism? All I suggested is that we should take care of our citizens. We could do this for example via Universal Basic Income, which is very much capitalist (unless you abide by the common American false notion that "helping people" = communism).

> most people have access to...

Why is "most" a good enough metric? If most people have homes but my commute to work is littered with tents of homeless people, is that adequate? Should politicians just throw in the towel then and call it a day because "most" people have houses?

I think we can do better.

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#322

Post by habnds » Sat, Aug 03, 2019, 12:03 PM UTC

growse wrote: post #204

habnds wrote: post #168

Earlier quoted context omitted.

An article titled "GS spending millions to shave millisecconds off stock trades" has nothing to do with HFT? It isn't at all clear to me buying and selling at an auction even only once a day, let alone once a minute or second would make financial market end user worse off. Grocery logistics is a terrible analogy for financial markets.

The "F" in in "HFT" stands for "Frequency". This is a separate concept from latency. GS are spending money so they can execute their clients' orders on the market faster, to reduce the risk of the price shifting between order and execution. > It isn't at all clear to me buying and selling at an auction even only once a day, let alone once a minute or second would make financial market end user worse off. Go look at t…

GS is spending the money on this project to reduce high frequency traders ability to capture some of the value of their trades on behalf of clients. Why do you think the price moves away from them? It isn't random. It has everything to do with hft, which has everything to do with market structure.

I'm highly familiar with the history, no one is advocating for a return to open outcry.

Your pension is almost certainly a GS client and footing the bill for this project through execution costs. A periodic auction model would make latency much less of a problem and society's time and energy could be put into solving real problems.

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#323

Post by eecc » Sat, Aug 03, 2019, 7:26 PM UTC

H8crilA wrote: post #153

eecc wrote: post #75

Earlier quoted context omitted.

What’s the minimum lag for a packet to reach around the world? Multiply x2 and add an extra 10%. Make that the minimum order placement tick duration. There would be 1 single global price and no arbitrage between markets possible.

Orders are filled in the order that they arrive to the exchange (if there's more than one order at the same price). A global mis-pricing would still be subject to a race to exploit it - whoever submits first gets the fill, even if it happens in the future (in the next tick). What you're proposing is turning continuous trading into a fast series of auctions, like what happens for every ticker on every exchange at the…

Why? It’s just like a clocked bus; you leave enough time for the levels to propagate along the transmission line and settle before closing the register gates.

All orders are placed at the previously known tick price and later orders will occur at the price declared on the next tick.

Of course no trader should access the “ghost price” before it is announced on the tick.

Propagation delays remain limited to local data centers and in any case it’s about globally known prices.

Where’s the arbitrage here?

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#324

Post by spenczar5 » Sat, Aug 03, 2019, 7:42 PM UTC

1e-9 wrote: post #316

spenczar5 wrote: post #251

Earlier quoted context omitted.

An unbiased estimator is a technical term. It means that its errors in estimation are equally distributed above and below the true value. Edit to add: I am not sure GP was using the term accurately, either.

An unbiased estimator is one whose expected value equals the true value. Its sampling distribution can be asymmetrical with median not equal to the true value. You seem to be referring to a median-unbiased estimator.

You are correct, of course. It’s too late for me to correct my comment; I slipped up while trying to de-technicalize the definition. Thanks for the correction.

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#325

Post by mlthoughts2018 » Sun, Aug 04, 2019, 12:10 AM UTC

vannevar wrote: post #26

mlthoughts2018 wrote: post #21

Earlier quoted context omitted.

Is the human allowed to use pencil & paper when reasoning about the stock? A graphing calculator? A spreadsheet program? A numerical SDE solver? By what rule do you propose limiting other people’s free choice to use computing resources to accelerate the time scale of reasoning about a price?

The "free choice" argument is a charade: the only people with the "freedom" (ie, wealth) to win that race are "people" like Goldman Sachs. On the whole, it's just another legal mechanism for pumping money from the poor to the wealthy. Modern markets could not exist without regulation, which by definition limits freedoms. We're just talking about a sensible regulation that eliminates a pointless misdirection of resour…

You didn’t address my comment at all. This just seems like some unfounded normative assertions about some other thing entirely.

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#326

Post by smolder » Mon, Aug 05, 2019, 8:53 PM UTC

kortilla wrote: post #293

smolder wrote: post #193

Earlier quoted context omitted.

No one's confused why it's happening. It's legal to make money through financial services, and it reliably makes money. The investments into fintech that divert more cash one way or another until others catch up also provide very little and ever diminishing value, mostly just sideways and upward redistribution of wealth. The actual value generating sectors of the economy are always getting more anemic, and they're du…

>No one's confused why it's happening. It's legal to make money through financial services, and it reliably makes money. No, you’re misunderstanding me. People are willingly using the services offered by the financial services sector. It’s the reason companies can quickly raise billions through IPOs, the reason you can get a million dollars for a mortgage and pay it back over 30 years, etc. Market participants that e…

> Sigh, that statement makes no sense already because finance generates massive value.

I think it's not clear what I meant by value generation, and that's on me as I'm sure there's an established meaning that differs from mine. In my eyes, moving money from one person to another is not value generation. Only work that improves the net quality of life is generating value.

As an example, someone who spends all day digging holes and filling them in for money has destroyed value, because their work helps no one and the money transfer is almost neutral overall. Being a facilitator of mutually beneficial trade has value, but work that only extracts wealth destroys value by using labor to no net benefit --they could have been enjoying their time instead.

It's not something you can easily measure, but through this lens you can see how much of what we allocate human effort to is a waste.

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#327

Post by winrid » Thu, Aug 08, 2019, 11:06 PM UTC

DrBazza wrote: post #209

winrid wrote: post #58

Earlier quoted context omitted.

I am curious how that will help latency here. It must be pretty bad if refactoring and adding more network connections is an improvement.

They were likely running old Tibco/RV systems (network) distributed across the network (common for 1990s to early 2000 trading systems), and replaced the system (and hardware) with multi-core boxes, and use shared memory for message passing. Reduces internal latency from milliseconds to sub-microsecond.

Makes sense in this case. I guess you can just deploy the microservices as containers on the same machine or what have you.

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#328

Post by kortilla » Fri, Aug 09, 2019, 6:59 PM UTC

smolder wrote: post #326

kortilla wrote: post #293

Earlier quoted context omitted.

>No one's confused why it's happening. It's legal to make money through financial services, and it reliably makes money. No, you’re misunderstanding me. People are willingly using the services offered by the financial services sector. It’s the reason companies can quickly raise billions through IPOs, the reason you can get a million dollars for a mortgage and pay it back over 30 years, etc. Market participants that e…

> Sigh, that statement makes no sense already because finance generates massive value. I think it's not clear what I meant by value generation, and that's on me as I'm sure there's an established meaning that differs from mine. In my eyes, moving money from one person to another is not value generation. Only work that improves the net quality of life is generating value. As an example, someone who spends all day digg…

>In my eyes, moving money from one person to another is not value generation. Only work that improves the net quality of life is generating value.

Right, and that’s naive at best. There isn’t an unlimited supply of money. Choosing where to place money can result in massive value creation or destruction.

Labor (or physical work by anything) and value have no implicit or explicit relationship. That line of thinking has been discredited so many times (even in your own ditch digging example) that it’s not really worth getting into here.