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

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

#131

Post by rmc »

malbs wrote: post #32
fiatmoney wrote: post #17

Earlier quoted context omitted.

You should read the linked PDF - they had systems that were 100% dependent on human monitoring, that no one was checking, or where no one recognized anything unusual. If anything, their failures were due to massive lack of automation in deployment, testing, and monitoring.

Oh the other amazing thing we used to have - a system that generated so many alerts that everyone just created outlook rules to automatically delete all the alerts. I mean really? I wondered if we should modify the system to only generate messages when there are actual exceptional cases? People looked at me like I was an idiot

Totally agree. You should not have too much noise.

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

#132

Post by confluence »

nandemo wrote: post #123
confluence wrote: post #105

Earlier quoted context omitted.

HFT does not add liquidity, but they do squeeze spreads in liquid contracts. It's some what good for retail, but terrible for institutional investors, which hurt retail on the backend. HFT is just a front running operation in those cases.

What is that definition of adding liquidity that doesn't include "tightening the spread"?

Just because you lowered my home loan fees while the sun shone, doesn't mean that you'll be there when winter comes and the shit hits the fan.

Liquidity is always there. Until it ain't.

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

#133

Post by Sanddancer »

mischanix wrote: post #49

Well, this makes me 1000x more scared of working in a DevOps role.

Look at this as a handy guide to how not to deploy in one single page. Pretty much any of the things in bold, had they not been done, would have avoided this from happening. Reused flags, letting dead code sit around in production for years, lack of change management, etc, all are signs of something gone horribly wrong.

Also, regardless of if the deploy went good or bad, discuss the aftermath with co-workers. I'd almost guarantee that some of these problems had crept up before, and being able to ask the question of "how can this never happen again" is important, because otherwise, those problems will be forgotten and stumbled over again, in a future, perhaps more critical incident.

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

#134

Post by sfbsfbsfb »

lmm wrote: post #115
mcphilip wrote: post #47

Earlier quoted context omitted.

They also amassed over $3 billion net short positions spread across 75 stocks during those 45 minutes causing significant losses to investors with stop loss positions triggered that would not have happened without Knight's erroneous trades. They didn't just harm themselves...

Stop loss orders amplify market instability. People with them deserved what they got.

You obviously have never traded stocks and I would strongly advise against it.

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

#135

Post by D-Coder »

fhars wrote: post #129
marijn wrote: post #91

Earlier quoted context omitted.

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 beca…

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 A perfect description of many forms of organized crime.

Also a perfect description of life forms.

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

#136

Post by levosmetalo »

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 would support idea to just price every transaction with a 0.0001% transaction fee. It should be enough to bring the whole HFT industry out of business while not having any impact on markets themselves.

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

#137

Post by marijn »

Peaker wrote: post #116
marijn wrote: post #91

Earlier quoted context omitted.

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 beca…

I disagree completely. You seem to be confusing money/worth with value. If someone manages to redirect money towards themselves without creating a new economic resource, then no new value is made. Avoiding systems that don't create value would help us live in a world with more value in it. That's why considering this is very productive, and helps moral people avoid wasting precious resources on zero sum games.

What I'm trying to say is that systems don't exist because they are 'good', they exist because they survive. When trying to interpret the world, 'value' is a much less powerful explainer than survival.

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

#138

Post by yardie »

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.

I hear this argument made all the time and maybe it is true at the microlevel. On a macrolevel it appears price discovery is one algorithm's "opinion" is matched against hundreds of other algorithms' opinions and they all tend to go in the same direction.

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

#140

Post by Peaker »

marijn wrote: post #137
Peaker wrote: post #116

Earlier quoted context omitted.

I disagree completely. You seem to be confusing money/worth with value. If someone manages to redirect money towards themselves without creating a new economic resource, then no new value is made. Avoiding systems that don't create value would help us live in a world with more value in it. That's why considering this is very productive, and helps moral people avoid wasting precious resources on zero sum games.

What I'm trying to say is that systems don't exist because they are 'good', they exist because they survive. When trying to interpret the world, 'value' is a much less powerful explainer than survival.

Who says he tried to interpret the world?

He was giving his own value judgement about it.

Also, I do think that knowing whether something actually creates value or not (is a positive-sum, negative-sum or zero-sum game) is definitely helpful in understanding large systems. i.e: It helps predicting whether a society will succeed or fail, by seeing how much of it is wasted on negative/zero sum games.

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