High Frequency Trading Development Kit • Hacker News Board

Re: High Frequency Trading Development Kit

#41

Post by eftpotrm » Wed, Mar 30, 2011, 4:29 PM UTC

In all seriousness, I would rather see a market designed explicitly around the barring of high frequency trades. All trades taking a fixed and relatively long period (say, 30 minutes) to complete.

This sort of investment strategy doesn't seem to be creating long-term market value, it's exploiting short-term edge effects in a zero-sum strategy. The arms race to pursue ever more inhumanly fast automatic trades seems to have no net value at all yet is consuming resources to impoverish the algorithmically and connectively poorer at the expense of the richer.

Markets seem to be favoured because they allow prices to find their natural level from supply and demand. How is this facility helped by permitting trades to be completed and then reversed faster than any human can ever perceive? This is algorithmic gambling on edge effects far more than a true market.

Re: High Frequency Trading Development Kit

#42

Post by dlauer » Wed, Mar 30, 2011, 4:33 PM UTC

Actually this is a far better explanation of High Frequency Trading:

http://www.thedailyshow.com/watch/wed-september-30-2009/cash...

Re: High Frequency Trading Development Kit

#43

Post by MichaelGG » Wed, Mar 30, 2011, 4:47 PM UTC

bnoordhuis wrote: post #27

cdavid wrote: post #13

Earlier quoted context omitted.

So it is more an architecture issue with conventional hardware ? It makes much more sense to me with this explanation - the issue is the same as in most real-time systems then (like in embedded hardware for audio gears, which is more familiar to me than HFT). Don't things like real time linux or soft real time patches for linux help, though ?

> Don't things like real time linux or soft real time patches for linux help, though ? I don't see how it could. The CPU essentially drops everything it's doing when a packet comes in. Have that happen often enough and there won't be time left to do anything else, unless you start dropping packets.

Doesn't interrupt moderation and receive-side scaling (new Intel NICs can even do rule-based queue distribution) sort this out?

Re: High Frequency Trading Development Kit

#44

Post by secretasiandan » Wed, Mar 30, 2011, 4:50 PM UTC

eftpotrm wrote: post #41

In all seriousness, I would rather see a market designed explicitly around the barring of high frequency trades. All trades taking a fixed and relatively long period (say, 30 minutes) to complete. This sort of investment strategy doesn't seem to be creating long-term market value, it's exploiting short-term edge effects in a zero-sum strategy. The arms race to pursue ever more inhumanly fast automatic trades seems to…

What information/experience informs your critique of markets/HFT?

Re: High Frequency Trading Development Kit

#45

Post by dnsworks » Wed, Mar 30, 2011, 5:05 PM UTC

Am I the only one who read the URL as Stoner I'd Getechnology.com?

Re: High Frequency Trading Development Kit

#46

Post by mneedham » Wed, Mar 30, 2011, 5:11 PM UTC

charlief wrote: post #15

Even if this product allowed you to have picosecond processing of market data and generation of trading signals, if you don't have exchange co-location, inherent network latency in your market data from providers and order routing to exchanges will make this thing pretty useless. For a hobbyist, throw leased lines out the door, now a Linode box, even a desktop running Windows XP with full-blown Nagle's algorithm, wou…

Despite all of this, I find the most worrying thing about the recent HFT developments is the simple fact that hobbyists want to get involved. Surely turning amateurs loose in such a necessarily complex world will result in large sums of money being lost.

Oh wait... I get it.

Re: High Frequency Trading Development Kit

#47

Post by uwsnyc » Wed, Mar 30, 2011, 5:14 PM UTC

mneedham wrote: post #46

charlief wrote: post #15

Even if this product allowed you to have picosecond processing of market data and generation of trading signals, if you don't have exchange co-location, inherent network latency in your market data from providers and order routing to exchanges will make this thing pretty useless. For a hobbyist, throw leased lines out the door, now a Linode box, even a desktop running Windows XP with full-blown Nagle's algorithm, wou…

Despite all of this, I find the most worrying thing about the recent HFT developments is the simple fact that hobbyists want to get involved. Surely turning amateurs loose in such a necessarily complex world will result in large sums of money being lost. Oh wait... I get it.

It's not lost. It goes somewhere.

Re: High Frequency Trading Development Kit

#48

Post by vecter » Wed, Mar 30, 2011, 5:36 PM UTC

eftpotrm wrote: post #41

In all seriousness, I would rather see a market designed explicitly around the barring of high frequency trades. All trades taking a fixed and relatively long period (say, 30 minutes) to complete. This sort of investment strategy doesn't seem to be creating long-term market value, it's exploiting short-term edge effects in a zero-sum strategy. The arms race to pursue ever more inhumanly fast automatic trades seems to…

I can see from your post that you're very misinformed about how markets operate and the role of high frequency traders (a.k.a. liquidity providers). Read my response to a previous comment: http://news.ycombinator.com/item?id=2164458

Re: High Frequency Trading Development Kit

#49

Post by spitfire » Wed, Mar 30, 2011, 6:12 PM UTC

rauljara wrote: post #26

Virtually no hobbyist would be able to compete against big financial firms' hardware and algorithms. It might be a smart move for a large high frequency trading firm to put out these sorts of tools for free. An incredibly easy to use free api with good (though not superior) speed would be pretty popular. More subpar competition == more money for them. Though, admittedly, probably nowhere near what they are making now…

Already exists, It's called ETrade.

Re: High Frequency Trading Development Kit

#50

Post by ldng » Wed, Mar 30, 2011, 6:12 PM UTC

vecter wrote: post #48

eftpotrm wrote: post #41

In all seriousness, I would rather see a market designed explicitly around the barring of high frequency trades. All trades taking a fixed and relatively long period (say, 30 minutes) to complete. This sort of investment strategy doesn't seem to be creating long-term market value, it's exploiting short-term edge effects in a zero-sum strategy. The arms race to pursue ever more inhumanly fast automatic trades seems to…

I can see from your post that you're very misinformed about how markets operate and the role of high frequency traders (a.k.a. liquidity providers). Read my response to a previous comment: http://news.ycombinator.com/item?id=2164458

They're just piggybacking trend and making profit of it, that how there used. Maybe not why and how they were designed. Still, IMHO, it is not fair and goes against the very definition of stock exchange.