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C++ patterns for low-latency applications including high-frequency trading

arxiv.org

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Re: C++ patterns for low-latency applications including high-frequency trading

#11

Post by idohft »

globular-toast wrote: post #5

Is there any good reason for high-frequency trading to exist? People often complain about bitcoin wasting energy, but oddly this gets a free pass despite this being a definite net negative to society as far as I can tell.

How far have you tried to tell, and do you buy/sell stocks?

There's someone on the other side of your trade when you want to trade something. You're more likely than not choosing to interact with an HFT player at your price. If you're getting a better price, that's money that you get to keep.

*I'm going to disagree on "free pass" also. HFT is pretty often criticized here.

Re: C++ patterns for low-latency applications including high-frequency trading

#12

Post by xxpor »

munificent wrote: post #9

> The noted efficiency in compile-time dispatch is due to decisions about function calls being made during the compilation phase. By bypassing the decision-making overhead present in runtime dispatch, programs can execute more swiftly, thus boosting performance. The other benefit with compile-time dispatch is that when the compiler can statically determine which function is being called, it may be able to inline the…

OTOH, it might be a net negative in latency if you're icache limited. Depends on the access pattern among other things, of course.

Re: C++ patterns for low-latency applications including high-frequency trading

#13

Post by munificent »

xxpor wrote: post #12
munificent wrote: post #9

> The noted efficiency in compile-time dispatch is due to decisions about function calls being made during the compilation phase. By bypassing the decision-making overhead present in runtime dispatch, programs can execute more swiftly, thus boosting performance. The other benefit with compile-time dispatch is that when the compiler can statically determine which function is being called, it may be able to inline the…

OTOH, it might be a net negative in latency if you're icache limited. Depends on the access pattern among other things, of course.

Yup, you always have to measure.

Though my impression is that compilers tend to be fairly conservative about inlining so that don't risk the inlining being a pessimization.

Re: C++ patterns for low-latency applications including high-frequency trading

#14

Post by astromaniak »

bravura wrote: post #10
globular-toast wrote: post #5

Is there any good reason for high-frequency trading to exist? People often complain about bitcoin wasting energy, but oddly this gets a free pass despite this being a definite net negative to society as far as I can tell.

Warren Buffett proposed that the stock market should be open less frequently, like once a quarter or similar. This would encourage long-term investing rather than reacting to speculation. Regardless, there are no natural events that necessitate high-frequency trading. The underlying value of things rarely changes very quickly, and if it does it's not volatile, rather it's a firm transiton.

> Warren Buffett proposed that the stock market should be open less frequently

This will result in another market where deals will be made and then finalized on that 'official' when it opens. It's like with employee stock. You can sell it before you can...

Re: C++ patterns for low-latency applications including high-frequency trading

#15

Post by htrp »

bravura wrote: post #10
globular-toast wrote: post #5

Is there any good reason for high-frequency trading to exist? People often complain about bitcoin wasting energy, but oddly this gets a free pass despite this being a definite net negative to society as far as I can tell.

Warren Buffett proposed that the stock market should be open less frequently, like once a quarter or similar. This would encourage long-term investing rather than reacting to speculation. Regardless, there are no natural events that necessitate high-frequency trading. The underlying value of things rarely changes very quickly, and if it does it's not volatile, rather it's a firm transiton.

most trading volume already happens at open or before close.

Re: C++ patterns for low-latency applications including high-frequency trading

#16

Post by munificent »

jeffreygoesto wrote: post #2

Reminds me of https://github.com/CppCon/CppCon2017/blob/master/Presentatio...

This is an excellent slideshow.

The slide on measuring by having a fake server replaying order data, a second server calculating runtimes, the server under test, and a hardware switch to let you measure packet times is so delightfully hardcore.

I don't have any interest in working in finance, but it must be fun working on something so performance critical that buying a rack of hardware just for benchmarking is economically feasible.

Re: C++ patterns for low-latency applications including high-frequency trading

#17

Post by jeffbee »

FredPret wrote: post #7
globular-toast wrote: post #5

Is there any good reason for high-frequency trading to exist? People often complain about bitcoin wasting energy, but oddly this gets a free pass despite this being a definite net negative to society as far as I can tell.

Non-bitcoin transactions are just a couple of entries in various databases. Mining bitcoin is intense number crunching. HFT makes the financial markets a tiny bit more accurate by resolving inconsistencies (for example three pairs of currencies can get out of whack with one another) and obvious mispricings (for various definitions of "obvious")

That's a nice fairy tale that they probably tell their kids when asked, but what the profitable firms are doing at the cutting edge is inducing responses in the other guys' robots, in a phase that the antagonist controls, then trading against what they know is about to happen. It is literally market manipulation. A way to kill off this entire field of endeavor is to charge a tax on cancelled orders.

Re: C++ patterns for low-latency applications including high-frequency trading

#18

Post by jeffreyrogers »

globular-toast wrote: post #5

Is there any good reason for high-frequency trading to exist? People often complain about bitcoin wasting energy, but oddly this gets a free pass despite this being a definite net negative to society as far as I can tell.

Bid/ask spreads are far narrower than they were previously. If you look at the profits of the HFT industry as a whole they aren't that large (low billions) and their dollar volume is in the trillions. Hard to argue that the industry is wildly prosocial but making spreads narrower does mean less money goes to middlemen.

Re: C++ patterns for low-latency applications including high-frequency trading

#19

Post by astromaniak »

torlok wrote: post #8
globular-toast wrote: post #5

Is there any good reason for high-frequency trading to exist? People often complain about bitcoin wasting energy, but oddly this gets a free pass despite this being a definite net negative to society as far as I can tell.

To go a step further, I don't think you should be required to talk to middlemen when buying stocks, yet here we are. The house wants its cut.

Under the carpet deals would make it less transparent. It would be hard to detect that top manager sold all his stock to competitors and now is making decisions in their favor.
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