The high-frequency trading arms race: frequent batch auctions (2015)

Post by Retric » Sun, Oct 17, 2021, 6:43 PM UTC

im3w1l wrote: post #5

kamaitachi wrote: post #3

I was working in HFT as a dev team lead around the time of this article (2105). I remember this was being seriously considered by one of our target exchanges (can't remember if it was Eurex or Globex). Our main HFT trader didn't seem worried - he said that the race would just change from a race to pick off an opportunity into a race to align with any auction timeframe. Back then, our strategies were implemented in FG…

The way I see it, HFT firms provide liquidity to the market, which is good. They do so in an automatic fasion which makes it cheaper than the past system of human traders. But they also do a speed competition which is mostly wasteful. There may be some benefit for the overall market of faster communications but it is pretty low. All systems have waste, some more and some less. This is unavoidable. So the discussion m…

Post by tedunangst » Sun, Oct 17, 2021, 6:45 PM UTC

amelius wrote: post #4

kamaitachi wrote: post #3

I was working in HFT as a dev team lead around the time of this article (2105). I remember this was being seriously considered by one of our target exchanges (can't remember if it was Eurex or Globex). Our main HFT trader didn't seem worried - he said that the race would just change from a race to pick off an opportunity into a race to align with any auction timeframe. Back then, our strategies were implemented in FG…

If your strategies were implemented in FPGA, they were probably not very complicated (considering the things you can do on a regular CPU). Wouldn't markets function better if every participant had a reasonable amount of time to make decisions?

Post by fighterpilot » Sun, Oct 17, 2021, 6:52 PM UTC

Retric wrote: post #12

im3w1l wrote: post #5

Earlier quoted context omitted.

The way I see it, HFT firms provide liquidity to the market, which is good. They do so in an automatic fasion which makes it cheaper than the past system of human traders. But they also do a speed competition which is mostly wasteful. There may be some benefit for the overall market of faster communications but it is pretty low. All systems have waste, some more and some less. This is unavoidable. So the discussion m…

Swap to an auction batch model and they don’t provide liquidity, they simply don’t have significant stakes relative to the number of daily transactions. Essentially their an outgrowth of all trades needing to be instantaneous which lets them reuse the same capital thousands of times per day. Add to that the fact HFT are profitable and they must therefore provide negative economic value. Either the seller or the buyer…

Post by Retric » Sun, Oct 17, 2021, 6:55 PM UTC

fighterpilot wrote: post #16

Retric wrote: post #12

Earlier quoted context omitted.

Swap to an auction batch model and they don’t provide liquidity, they simply don’t have significant stakes relative to the number of daily transactions. Essentially their an outgrowth of all trades needing to be instantaneous which lets them reuse the same capital thousands of times per day. Add to that the fact HFT are profitable and they must therefore provide negative economic value. Either the seller or the buyer…

Nonsense. Trade can be positive sum in utility to both parties. One party making profits doesn't imply anything about how utility is changing on the other side of the trade. If you buy an iPhone, Apple have gotten richer but you have also gained something (utility). Your understanding of HFT is wrong as well. It's not all low latency arbitrage. It's also execution finesse, risk management and ML-heavy. HFT firms will…

Post by fighterpilot » Sun, Oct 17, 2021, 6:58 PM UTC

Retric wrote: post #18

fighterpilot wrote: post #16

Earlier quoted context omitted.

Nonsense. Trade can be positive sum in utility to both parties. One party making profits doesn't imply anything about how utility is changing on the other side of the trade. If you buy an iPhone, Apple have gotten richer but you have also gained something (utility). Your understanding of HFT is wrong as well. It's not all low latency arbitrage. It's also execution finesse, risk management and ML-heavy. HFT firms will…

High turnover rates are part of the definition of high frequency trading. If your holding positions for 30 minutes your not doing HFT. Ultimate buyers and sellers aren’t gaining anything on the timescales we are talking about.