Someone got the natural gas report 400 ms early • Hacker News Board

Re: Someone got the natural gas report 400 ms early

#101

Post by pbhjpbhj » Thu, Jan 31, 2013, 8:38 PM UTC

jrockway wrote: post #38

homosaur wrote: post #3

If we can't solve this problem, with the rise of machine driven microtrading, is there really any reason to place any faith in the stock market as a private investor?

This was futures, not stocks, but I see where you're going. Market makers aren't competing with buy-and-hold investors. Price fluctuations like this don't affect people that are investing in the fundamental performance of the underlying company. The price may swing by a few percent randomly in either direction, but in the long run, a growing company will have a growing stock price. Equities make up much of my portfol…

>As cynical as everyone is about how "big companies suck", they have historically done a pretty good job creating value. And I think that will continue for some time. //

It's not like resources can run out or anything. You just dig up more.

Re: Someone got the natural gas report 400 ms early

#102

Post by gamegoblin » Thu, Jan 31, 2013, 8:38 PM UTC

svachalek wrote: post #83

gamegoblin wrote: post #46

Earlier quoted context omitted.

This sounds like the type of regulation that people outside of an industry put on the industry with good intentions but really no idea what the consequences would be. Consider a company who holds a press conference announcing something huge (either positive or negative). Anyone wanting to buy or sell in this tiny window pretty much gets shafted by such a system.

I think that's exactly the point. So the whole world gets to trade after they've digested the news, not the guy with the fastest computer or the shortest wire to the exchange.

My comment was predominately directed to the bit about adding a random number of seconds.

Re: Someone got the natural gas report 400 ms early

#103

Post by varelse » Thu, Jan 31, 2013, 8:38 PM UTC

swalsh wrote: post #36

niggler wrote: post #2

After seeing some of their posts earlier and comparing it to live data I record at the colocations, I've concluded that they have clock issues which makes these types of anomalies appear frequently. Or they have a bad data vendor. Interestingly enough, even the regulators don't have good (only millisecond-resolution) trade data.

400 ms is an eternity of time. I can't imagine they'd be off by that much.

Could be completely explained by someone having the right relay for this data in the right place at the right time (which would have been the result of a considerable outlay of resources and compensation to establish, thus boosting economic output long ahead of any potential killing(tm) made here).

And I can't see any particularly efficient way to level the playing field with a government that barely understands facebook and fair use. Just try to explain microsecond latency to them, go ahead, really, should be even more fun than a series of tubes(tm).

Re: Someone got the natural gas report 400 ms early

#104

Post by apaprocki » Thu, Jan 31, 2013, 8:39 PM UTC

http://invezz.com/news/alternative-investments/625-uk-report...

"Veteran traders would usually wait in anticipation for the weekly report of gas-inventory figures by the U.S. Energy Information Administration released on Thursday at 10.30 AM and then dive into the busiest trading window of the week. This is no longer true as most traders are now staying out of the market due to the HFTs new strategy - sending floods of orders in an effort to trigger huge price swings just before the data gets released, also known as “banging the beehive”."

edit: Fast algo puts orders out on multiple equity exchanges and then hedges itself with a slow algo in the futures market.

Re: Someone got the natural gas report 400 ms early

#105

Post by gamegoblin » Thu, Jan 31, 2013, 8:39 PM UTC

gradys wrote: post #70

gamegoblin wrote: post #46

Earlier quoted context omitted.

This sounds like the type of regulation that people outside of an industry put on the industry with good intentions but really no idea what the consequences would be. Consider a company who holds a press conference announcing something huge (either positive or negative). Anyone wanting to buy or sell in this tiny window pretty much gets shafted by such a system.

I know very little about finance, so treat this as a genuine question: what would be wrong with preventing people from buying or selling in such a tiny window? What would be the downside?

My comment was predominately directed to the bit about adding a random number of seconds.

Re: Someone got the natural gas report 400 ms early

#106

Post by jrockway » Thu, Jan 31, 2013, 8:40 PM UTC

madaxe wrote: post #69

niggler wrote: post #56

Earlier quoted context omitted.

Another HN user described this a long time ago: http://news.ycombinator.com/item?id=2828804

Yup. It's all about parsing FIX faster than the next dude.

Parsing FIX correctly faster than the next dude.

I've seen some fast FIX parsers. I've seen few that actually produce correct results :)

Re: Someone got the natural gas report 400 ms early

#107

Post by gamegoblin » Thu, Jan 31, 2013, 8:40 PM UTC

mildavw wrote: post #60

gamegoblin wrote: post #46

Earlier quoted context omitted.

This sounds like the type of regulation that people outside of an industry put on the industry with good intentions but really no idea what the consequences would be. Consider a company who holds a press conference announcing something huge (either positive or negative). Anyone wanting to buy or sell in this tiny window pretty much gets shafted by such a system.

Yes, I am admittedly absolutely naive to the inner workings of the market. So what would happen in the press conference case? You would make your move based on the news knowing that sometime in the next 10 minutes it would be executed. No one else has any advantage so they can't necessarily get it done quicker. The value of short term moves is reduced, so everyone plays with a longer view.

My comment was predominately directed to the bit about adding a random number of seconds.

As for the 10 minute idea, I'm not entirely sure. I'll ask some friends who are in the industry and see what they think.

I am just generally wary of people in one industry proposing regulations for those in another industry.

Re: Someone got the natural gas report 400 ms early

#108

Post by varelse » Thu, Jan 31, 2013, 8:41 PM UTC

svachalek wrote: post #83

gamegoblin wrote: post #46

Earlier quoted context omitted.

This sounds like the type of regulation that people outside of an industry put on the industry with good intentions but really no idea what the consequences would be. Consider a company who holds a press conference announcing something huge (either positive or negative). Anyone wanting to buy or sell in this tiny window pretty much gets shafted by such a system.

I think that's exactly the point. So the whole world gets to trade after they've digested the news, not the guy with the fastest computer or the shortest wire to the exchange.

And why exactly shouldn't the guy who's invested in the best hardware have an edge? Should perhaps we also mandate that all software engineers use exactly the same 2004-era Acer Pentium 4 laptop so that any difference in productivity is strictly due to programming skills?

Re: Someone got the natural gas report 400 ms early

#109

Post by pbhjpbhj » Thu, Jan 31, 2013, 8:43 PM UTC

What is the benefit of trading over ms resolutions. What problem is it solving?

Wouldn't trade be more efficient if it were lock stepped - say one trade per hour (per day?): you agree your trade and the exchange processes it on the hour.

What would be lost that benefits the pseudo-capitalism of these systems by having such a regime. How would this negatively impact production.

Re: Someone got the natural gas report 400 ms early

#110

Post by fennecfoxen » Thu, Jan 31, 2013, 8:45 PM UTC

svachalek wrote: post #77

homosaur wrote: post #3

If we can't solve this problem, with the rise of machine driven microtrading, is there really any reason to place any faith in the stock market as a private investor?

You have to realize the distinction between trading and investing. Investing is putting money into something in the belief that over the long term, it will likely return enough money to be worth the opportunity cost and the risks involved. Trading is seeing a price difference between here and there (in 4 dimensional coordinates) and making money by moving the goods. The stock market was created for investors, who by…

This.

I mean, consider: a report got released 400ms early. So the price of the futures fell 400ms early, and some trading firm made money off of that fall (instead of some other trading firm making said money.)

What's the impact on you of the price changing 400ms early? Even if you held that asset, were you really planning your trades to the second, let alone the millisecond, to begin with? No? Then it doesn't matter.

Buy-and-hold broad index funds for decades on end, then you need only fear macroeconomics and political risk.