How to lose $172,222 a second for 45 minutes • Hacker News Board

Re: How to lose $172,222 a second for 45 minutes

#91

Post by marijn » Tue, Oct 22, 2013, 8:51 AM UTC

scrrr wrote: post #87

High Frequency Trading seems so abstract. There's no value created, it seems. It's like something in between imperfect systems, scraping off the margin created by that imperfection. It's fascinating, and interesting from an algorithmic point of view (like a computer game), but at the same time I don't feel sympathy for this company going out of business.

Looking at systems by considering whether they 'create value' in some generalized utilitarian sense is unproductive. Such systems survive by being able to extract energy somehow, in this case by exploiting properties of the stock trading system. I guess you could say that they create a lot of value—for the people doing it. Very few modern economic activities make sense in a broader perspective, they exist purely because they allow some energy to flow towards the people perpetuating them, on a more local level.

Re: How to lose $172,222 a second for 45 minutes

#92

Post by vecter » Tue, Oct 22, 2013, 8:51 AM UTC

scrrr wrote: post #87

High Frequency Trading seems so abstract. There's no value created, it seems. It's like something in between imperfect systems, scraping off the margin created by that imperfection. It's fascinating, and interesting from an algorithmic point of view (like a computer game), but at the same time I don't feel sympathy for this company going out of business.

I really hate to go down this road because it's been rehashed thousands of times on Hacker News, but high frequency traders add value to the market by adding liquidity (and therefore reducing spreads --> cost to you for executing) and price discovery.

Re: How to lose $172,222 a second for 45 minutes

#93

Post by shin_lao » Tue, Oct 22, 2013, 8:54 AM UTC

drill_sarge wrote: post #30

I still find just the fact scary that at this moment automated systems are shoving billions of fake money back and forth around the world.

Unless you barter your groceries you are using "fake money" every day.

http://en.wikipedia.org/wiki/Fiat_money

Re: How to lose $172,222 a second for 45 minutes

#94

Post by babuskov » Tue, Oct 22, 2013, 8:54 AM UTC

scrrr wrote: post #87

High Frequency Trading seems so abstract. There's no value created, it seems. It's like something in between imperfect systems, scraping off the margin created by that imperfection. It's fascinating, and interesting from an algorithmic point of view (like a computer game), but at the same time I don't feel sympathy for this company going out of business.

In theory, HFT should make markets more optimal.

But, you know what they say: In theory there's no difference between theory and practice. In practice, there is. ;)

Re: How to lose $172,222 a second for 45 minutes

#95

Post by babuskov » Tue, Oct 22, 2013, 8:56 AM UTC

paganel wrote: post #86

MBCook wrote: post #7

Earlier quoted context omitted.

How many millions in orders do they normally process per minute? Since there were no procedures in place, would you like to be the guy who pulled the plug on the (let's guess) $100 million/minute processing system? Do you think you could get another job after that? What would the costs be for violating contracts? You could single handedly sink the company (which, in the end, this issue basically did). I don't blame t…

> running a shadow copy Honest question, it's that really doable at this scale?

It's doable. The real question is how much it would cost and does it make sense then.

Re: How to lose $172,222 a second for 45 minutes

#96

Post by marincounty » Tue, Oct 22, 2013, 8:57 AM UTC

scrrr wrote: post #87

High Frequency Trading seems so abstract. There's no value created, it seems. It's like something in between imperfect systems, scraping off the margin created by that imperfection. It's fascinating, and interesting from an algorithmic point of view (like a computer game), but at the same time I don't feel sympathy for this company going out of business.

I think HIgh Frequency Trading will eventually be neutralized through competition. I noticed the their profits aren't as staggering as they were a few years ago. I would like to see a law that limits how close an company(individual) can set up shop next to an exchange though.

I think Insider Trading is more of a problem than the public knows?

Re: How to lose $172,222 a second for 45 minutes

#97

Post by clearly » Tue, Oct 22, 2013, 9:06 AM UTC

telephonetemp wrote: post #84

clearly wrote: post #82

Earlier quoted context omitted.

Yes- latency is a big issue for this type of trading system.

Perhaps you could do consensus checking retrospectively? I.e., out of N supposedly identical servers a random one gets to make any given decision in real time but then a separate system goes back and compares all servers' results and stops their operation if there's divergence?

I guess, but it's more typical to do something like cap the total trading volume, position, risk limits etc. It's a more fundamental check on what you are doing.

Re: How to lose $172,222 a second for 45 minutes

#98

Post by mprovost » Tue, Oct 22, 2013, 9:13 AM UTC

jrochkind1 wrote: post #34

malbs wrote: post #28

Earlier quoted context omitted.

Yeah ours was monitoring just rubber stamped it. Afterwards everyone remarked, everyone could tell they were bad just looking at what was in front of them, our theory was she was too busy watching the breaking bad final episode or something.

You know how if the first 100 times a dialog box comes up, the correct response is to click 'ok', then people start just clicking 'ok' on every dialog box, and then the 201st one comes up "Destroy everything? [cancel] [ok], and they click 'ok' too, and don't think anything of it?

It's like how they keep the TSA x-ray readers at the airport from becoming too complacent, every once in a while you have to slip a gun through the scanner and see if they catch it. Otherwise you're just looking for (presumably) rare events and you become numb to the never-ending stream.

Re: How to lose $172,222 a second for 45 minutes

#99

Post by mistercow » Tue, Oct 22, 2013, 9:14 AM UTC

vecter wrote: post #92

scrrr wrote: post #87

High Frequency Trading seems so abstract. There's no value created, it seems. It's like something in between imperfect systems, scraping off the margin created by that imperfection. It's fascinating, and interesting from an algorithmic point of view (like a computer game), but at the same time I don't feel sympathy for this company going out of business.

I really hate to go down this road because it's been rehashed thousands of times on Hacker News, but high frequency traders add value to the market by adding liquidity (and therefore reducing spreads --> cost to you for executing) and price discovery.

In theory. The debate is about whether that extra liquidity is actually of any practical use.

Re: How to lose $172,222 a second for 45 minutes

#100

Post by cstross » Tue, Oct 22, 2013, 9:15 AM UTC

lhaussknecht wrote: post #73

jpatokal wrote: post #46

Just another reminder of how systems that you'd think are rock solid often aren't. In my previous life working with telcos, I once tried to teach a particularly huge customer how to use CVS how to manage configurations across a 10+ machine cluster of machines. They didn't see any value in it, so they stuck to their good old process of SSHing into each machine individually, "cp config.xml config.xml.20131022", and the…

Reminds me of a colleague who RDPed into each of our 140 subsidiaries to change a config file. He had a list of servers on his desk and ticked off every server. Took him the whole day to apply the changes.

Two words: job security.

(Also: lots of folks really don't enjoy learning new stuff. Or new ways of working. No, they really don't. Even if the new techniques are vastly better and more efficient. Put this down to a human cognitive bias favouring the tried-and-trusted over new-and-untested. There's a lot to be said for that when you're a neolithic hunter-gatherer or an iron-age peasant -- if you try something new and it fails, you maybe get to watch your family starve next spring -- but it's a bit less useful as a rule of thumb in the data centre.)