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Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

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Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#61

Post by donavanm »

3eb7988a1663 wrote: post #45
cycomanic wrote: post #39

Earlier quoted context omitted.

Yes, funnily enough Microsofts reason was not HFT but AI. Essentially inter-datacentre training is limited by latency between the datacentres. Generally they want to build the datacentres close to metro areas, by using hollow core fibre the radius of where to place the data centres has essentially increased by 3/2. This significantly reduces land acquisition costs, and supposedly MS has already made back the acquisit…

That feels somewhat implausible. I assume a Microsoft sized data center starts at over $100 million. Moving the footprint X miles away might be cheaper, but is probably a drop in the bucket given everything else required for a build out. I would further assume that they were already some distance away from the top tier expensive real estate to accommodate the size of the facility.

Its reality. Its generally about site and infra access, including power and fiber paths. The bigger providers (eg AWS) simply dont have more feasible sites that are within a few ms of the existing region DCs. Expect to see more infrastructure like “local zones” or AZs that are tens of ms away from the rest of the region.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#62

Post by thijson »

scrlk wrote: post #52
stephen_g wrote: post #49

Earlier quoted context omitted.

I worked for three years designing custom low-latency point-to-point microwave radios for HFT for this very reason. They didn't need very high bandwidths (their long-haul network was less than 200 Mbit, whereas in New York/New Jersey we had about 5 Gbps because the hops were much shorter and they had licenses for more RF bandwidth at a higher frequency). At those time scales, the difference is so large, it was incred…

I somewhat regret not specialising in RF/comms in my EE degree - this side of HFT sounds like a fascinating line of work ( Trading at the Speed of Light was a great read).

I doubt there's much here that's cutting edge. Any digital processing that's done in typical radio's to correct for channel impairments is avoided as it just adds latency. Meanwhile LTE is using as many digital techniques as possible to maximize bandwidth (MIMO, HARQ, OFMDA)

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#63

Post by renewiltord »

mikewarot wrote: post #13
biomcgary wrote: post #12

Other than seemingly perverse incentives, is there a good reason not to quantize trading time?

I've argued in the past that we should have batch settlements every 30 seconds, instead of in real time. We don't really need microsecond based skimming/front running.

I have made many very good arguments before that 45 seconds is ideal.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#64

Post by reisse »

tzs wrote: post #50
mhmmmmmm wrote: post #31

Earlier quoted context omitted.

Taiwan Stock Exchange used to have quantized trading times (read "frequent batch auction"), but it led to worse price discovery and a bigger bid ask spread: https://focus.world-exchanges.org/articles/citadel-trading-a... > Our analysis of the TWSE’s transition clearly demonstrates that continuous trading results in better liquidity provision, lower bid-ask spreads, more stable prices and enhanced price discovery, as…

Is that better liquidity, etc., actually needed? If we consider the function of a market to be to arrive at prices that lead to the optimal allocation of the goods sold on that market, intuitively it would seem that there should be a limit on how fast trades need to propagate to achieve that, and the limit would be tied to how fast new information relevant to the producers and consumers of those goods comes out. I do…

You're missing the point, news never affect prices directly. News generate excess (compared with current price) supply or demand, which is the primary cause for price changes. In a certain way, it's always "market reacting to itself".

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#65

Post by api »

usefulcat wrote: post #54
api wrote: post #44

Earlier quoted context omitted.

Impose a small order fee.

That will tend to discriminate against smaller traders, like 'retail' traders.

Retail usually has larger fees unless you mean Robin Hood which is monetizing you in other ways.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#66

Post by mikewarot »

infecto wrote: post #23
mikewarot wrote: post #13

Earlier quoted context omitted.

I've argued in the past that we should have batch settlements every 30 seconds, instead of in real time. We don't really need microsecond based skimming/front running.

Why not 1 minute then? You have ignored the whole issue of how are you then ordering those contracts in 30second batches?

We already have systems for that, I believe it's the highest prices get filled first, but I'm not a trader.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#67

Post by Kstarek »

toast0 wrote: post #53
usefulcat wrote: post #19

Earlier quoted context omitted.

If you're talking about something like having an auction (per security) every N seconds, I don't see how that addresses the underlying issue, which is how to determine order priority. If you have a bunch of orders at the same price on the same side, and an order comes in from the other side that crosses those orders (or there is an auction and there are orders on the other side which cross), how do you decide which o…

If you're doing batches to reduce the advantage of being fast, you'd have to treat all orders that come in during a batch tick as simultaneous. Resting orders from previous batches could have priority, if you want. You'd probably end up doing something with assignment of equal priority orders that looks like option assignment, basically random selection of shares among the pool of orders. Personally, I'd fill uncondi…

yes you are re-inventing the wheel, the CME has pro-rata markets: e.g Soybeans and Wheat where the matching engine is not FIFO

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#68

Post by infecto »

mikewarot wrote: post #66
infecto wrote: post #23

Earlier quoted context omitted.

Why not 1 minute then? You have ignored the whole issue of how are you then ordering those contracts in 30second batches?

We already have systems for that, I believe it's the highest prices get filled first, but I'm not a trader.

Certainly systems exist, it was mostly a rhetorical question though. People love to say just run batches every N without diving into the complexity that exists. All they would accomplish by creating batches is wider bid/ask spreads.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#69

Post by infecto »

tzs wrote: post #50
mhmmmmmm wrote: post #31

Earlier quoted context omitted.

Taiwan Stock Exchange used to have quantized trading times (read "frequent batch auction"), but it led to worse price discovery and a bigger bid ask spread: https://focus.world-exchanges.org/articles/citadel-trading-a... > Our analysis of the TWSE’s transition clearly demonstrates that continuous trading results in better liquidity provision, lower bid-ask spreads, more stable prices and enhanced price discovery, as…

Is that better liquidity, etc., actually needed? If we consider the function of a market to be to arrive at prices that lead to the optimal allocation of the goods sold on that market, intuitively it would seem that there should be a limit on how fast trades need to propagate to achieve that, and the limit would be tied to how fast new information relevant to the producers and consumers of those goods comes out. I do…

Is more liquidity needed? Yes, we have drastically reduced spreads these days.

Markets facilitate the buying and selling of securities, providing a regulated platform for companies to raise capital and for investors to trade assets based on supply and demand. Reducing spreads is optimal for everyone. Your making up some kind of pie in the sky idea of how markets should exist. The folks doing HFT or other type of flat at the end of day shops do not have the capital to move prices as much as you would like to think. Even if they did cause some large movement in the stock, there is a good chance there is a larger fish ready to take the other side.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#70

Post by Kstarek »

hcks wrote: post #25
usefulcat wrote: post #22

Earlier quoted context omitted.

If there are multiple orders at the same price on the same side, how should we determine which ones are filled first? Or put another way, how should we determine which orders are least likely to get filled?

Well either volume weighted or randomised then

HFT is still a massive thing in volume weighted (we call them pro-rata) markets, and it's even more toxic for retail as lots of people submit large orders that are unlikely to get filled immediately (which retail doesn't have the $ to do) to secure a bigger share of the pie
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