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Companies Pitch Shortwave Radio to Shave Milliseconds Off Trades

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Re: Companies Pitch Shortwave Radio to Shave Milliseconds Off Trades

#51

Post by zodiac »

gspr wrote: post #31
VMG wrote: post #30

Earlier quoted context omitted.

The company who has the best latency would still beat the competitors.

Are you sure about that? They would on average perhaps be a slight bit faster, but if the randomized delays are an order of magnitude larger than the latency, they may not be able to do anything useful with that advantage.

Well, think through some toy examples. Suppose there is a market without order matching (again, toy example) and one market participant enters an extremely mispriced order, so the first person to fill that order wins. Even in the presence of random delays, the participant with the lowest-latency connection has a higher chance of filling the order than anyone else. (There are other anomalies, e.g. participants are now incentivized to have as large a number of distinct connections and hence "chances to roll low" on the randomized delay as possible).

Re: Companies Pitch Shortwave Radio to Shave Milliseconds Off Trades

#52

Post by icelancer »

arnoooooo wrote: post #43
missedthecue wrote: post #10

Earlier quoted context omitted.

The machines help humans. The bid/ask spread on a $100 share in 1970 as $5. Now it's $0.003 cents and it will continue to narrow, saving you and I money.

This sounds like circular logic to me. It really saves money to people who want to buy and sell often, which has no social value. I think having a penalty for buying and selling too often is a feature, not a bug : we want investors that think long term.

>> I think having a penalty for buying and selling too often is a feature, not a bug : we want investors that think long term.

This already exists. It's the long-term capital gains tax reduction compared to short-term cap gains tax, and very high corporate taxes (relative to the rest of the world).

Re: Companies Pitch Shortwave Radio to Shave Milliseconds Off Trades

#53

Post by magicalhippo »

zodiac wrote: post #38
ginko wrote: post #32

Earlier quoted context omitted.

They could collect all issued transactions in a ~100ms time window, process them in a randomized order, and publish new prices after that.

This mechanism ("batch auctions") are not immune to rewarding low-latency connections. The details depend on the exact auction mechanism but the general idea is that you want to join the batch as late as possible (at any moment in time when you make a decision to join the batch, you are never worse off if you wait a while before joining) and low-latency connections can afford to join later. In fact with your exact pr…

So randomize the batch window length as well then, say 10-100ms.

Re: Companies Pitch Shortwave Radio to Shave Milliseconds Off Trades

#54

Post by logicchains »

rightbyte wrote: post #49
rvense wrote: post #22

Earlier quoted context omitted.

This all sounds so perverse to me. There are so many obviously brilliant people working on these things. Why aren't they doing something productive with their time? Fighting climate change, educating uneducated, feeding the unfed. All the energy and rare and bloody minerals that are being put into these radios, all the drinking water that will be forever tainted after having been used to produce the semiconductors ne…

Yes it is perverse indeed. Imagine all the engineering being put into ads, tracking and hft instead of, I dont know, engine emission control or educational programs for kids. The incentives are all messed up. Hft could probably be "fixed" by some game rules. Like delaying any request by 10s+-some random delay. Then having an edge of some ms would just be noise.

>Imagine all the engineering being put into ads, tracking and hft instead of, I dont know, engine emission control or educational programs for kids.

Not everybody cares about those things, in fact I'd wager the majority of people I know in HFT would be bored to tears at the thought of working on emission control or children's education programs. What gives you the right to decide how other people should spend their time?

Re: Companies Pitch Shortwave Radio to Shave Milliseconds Off Trades

#55

Post by rvense »

logicchains wrote: post #39
rvense wrote: post #22

Earlier quoted context omitted.

This all sounds so perverse to me. There are so many obviously brilliant people working on these things. Why aren't they doing something productive with their time? Fighting climate change, educating uneducated, feeding the unfed. All the energy and rare and bloody minerals that are being put into these radios, all the drinking water that will be forever tainted after having been used to produce the semiconductors ne…

> Why aren't they doing something productive with their time? Why is it any of your business how other people spend their time? There's no objective standard for morality. >To make the roulette wheel run a little faster? I don't understand it. Maybe try learning a bit about how markets work and the service they provide. Your criticism makes as much sense as somebody with no familiarity with the software industry comp…

That's an interesting analogy, because I often find that the counterarguments sound a lot like techies arguing that encryption cannot have negative consequences.

Re: Companies Pitch Shortwave Radio to Shave Milliseconds Off Trades

#56

Post by zodiac »

magicalhippo wrote: post #53
zodiac wrote: post #38

Earlier quoted context omitted.

This mechanism ("batch auctions") are not immune to rewarding low-latency connections. The details depend on the exact auction mechanism but the general idea is that you want to join the batch as late as possible (at any moment in time when you make a decision to join the batch, you are never worse off if you wait a while before joining) and low-latency connections can afford to join later. In fact with your exact pr…

So randomize the batch window length as well then, say 10-100ms.

If you make a decision to join in the (say) the 5th ms of the batch auction and you have a latency of 1ms, you are still no worse off if you decide to wait 4ms before joining the batch.

Re: Companies Pitch Shortwave Radio to Shave Milliseconds Off Trades

#57

Post by rvense »

saagarjha wrote: post #45
rvense wrote: post #22

Earlier quoted context omitted.

This all sounds so perverse to me. There are so many obviously brilliant people working on these things. Why aren't they doing something productive with their time? Fighting climate change, educating uneducated, feeding the unfed. All the energy and rare and bloody minerals that are being put into these radios, all the drinking water that will be forever tainted after having been used to produce the semiconductors ne…

> There are so many obviously brilliant people working on these things. Why aren't they doing something productive with their time? You could say the same thing about pushing ads. The fact is that if there’s something that generates money, smart people will gravitate towards it if they can increase margins in a competitive field no matter how useless it might seem.

This is a sort of determinism built in to capitalist morality: If money can be extracted from something, then it is always good and just to do so. Natural, in fact.

(And to be extremely clear, I would say the same thing about pushing ads: just stop doing it. Walk away.)

Re: Companies Pitch Shortwave Radio to Shave Milliseconds Off Trades

#58

Post by rvense »

logicchains wrote: post #54
rightbyte wrote: post #49

Earlier quoted context omitted.

Yes it is perverse indeed. Imagine all the engineering being put into ads, tracking and hft instead of, I dont know, engine emission control or educational programs for kids. The incentives are all messed up. Hft could probably be "fixed" by some game rules. Like delaying any request by 10s+-some random delay. Then having an edge of some ms would just be noise.

>Imagine all the engineering being put into ads, tracking and hft instead of, I dont know, engine emission control or educational programs for kids. Not everybody cares about those things, in fact I'd wager the majority of people I know in HFT would be bored to tears at the thought of working on emission control or children's education programs. What gives you the right to decide how other people should spend their t…

This is a strange argument. You are arguing that HFT has a big effect on society (ie. the rest of us), but at the same time you are saying that society should not have a say in how or indeed if HFT is conducted?

Re: Companies Pitch Shortwave Radio to Shave Milliseconds Off Trades

#59

Post by logicchains »

rvense wrote: post #58
logicchains wrote: post #54

Earlier quoted context omitted.

>Imagine all the engineering being put into ads, tracking and hft instead of, I dont know, engine emission control or educational programs for kids. Not everybody cares about those things, in fact I'd wager the majority of people I know in HFT would be bored to tears at the thought of working on emission control or children's education programs. What gives you the right to decide how other people should spend their t…

This is a strange argument. You are arguing that HFT has a big effect on society (ie. the rest of us), but at the same time you are saying that society should not have a say in how or indeed if HFT is conducted?

>You are arguing that HFT has a big effect on society (ie. the rest of us)

Where am I arguing this?

Re: Companies Pitch Shortwave Radio to Shave Milliseconds Off Trades

#60

Post by rightbyte »

logicchains wrote: post #54
rightbyte wrote: post #49

Earlier quoted context omitted.

Yes it is perverse indeed. Imagine all the engineering being put into ads, tracking and hft instead of, I dont know, engine emission control or educational programs for kids. The incentives are all messed up. Hft could probably be "fixed" by some game rules. Like delaying any request by 10s+-some random delay. Then having an edge of some ms would just be noise.

>Imagine all the engineering being put into ads, tracking and hft instead of, I dont know, engine emission control or educational programs for kids. Not everybody cares about those things, in fact I'd wager the majority of people I know in HFT would be bored to tears at the thought of working on emission control or children's education programs. What gives you the right to decide how other people should spend their t…

I am not saying I would want to draft Goldman Sachs programmers into digging ditches.

I have worked with ECU development and there are low hanging fruit to optimize for there if the effort, brainpower and money was put into it.

I just wish that more effort was put into "low margin" classical industrial design than artificial top of the pyramids' algorithms, like banks and ads.

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