Nanex Gets $700k Whistleblower Award from SEC • Hacker News Board

Re: Nanex Gets $700k Whistleblower Award from SEC

#131

Post by easytiger » Wed, Mar 02, 2016, 9:06 PM UTC

tptacek wrote: post #46

djsumdog wrote: post #39

Earlier quoted context omitted.

Is this the same thing that was discussed in the documentary Wall Street Code ( http://topdocumentaryfilms.com/wall-street-code/ ) where certain types of order/purchase types actually bumped your position in the queue?

No.

its pretty amazing how few people seem to have base domain knowledge of core market infrastructure considering how many people work in that area and that it isn't particularly tricky. It certainly colours the opinions of everyone here jumping to entirely silly conclusions.

Re: Nanex Gets $700k Whistleblower Award from SEC

#132

Post by CyberDildonics » Wed, Mar 02, 2016, 9:06 PM UTC

tptacek wrote: post #37

CyberDildonics wrote: post #34

Earlier quoted context omitted.

> what NYSE was doing probably didn't impact you at all. Then where does all the money HFT firms make come from?

First, HFT firms aren't especially lucrative compared to other finance specialties, so one answer to that question is "nowhere". Second, HFT firms compete with other finance firms , so what money they do make comes from bidding down the costs those firms were imposing on the rest of the market. If you're a retail trader, automated electronic traders make money off you by outbidding the markets to quote good prices to…

> First, HFT firms aren't especially lucrative compared to other finance specialties, so one answer to that question is "nowhere".

Total bullshit. If there was so little money to be made why is every exchange catering to high frequency traders? Why was the building across from the NYSE hollowed out to become a data center? Why are custom fiber optic cables being layed down specifically for it?

> If you're a retail trader, automated electronic traders make money off you by outbidding the markets to quote good prices to you for your dumb market orders, and then pocketing the spread --- in other words, they make money the same way market makers have always made money; they just make less of it at an instant, but at a far larger scale.

This seems to be typical of HFT apologists. They start to use terms that are defined in other terms that they've essentially made up, much like trying to get to the first principles of a religion. There are no 'market makers', there are people selling with a miminum price and people buying with a maximum price. They aren't outbidding the markets, they are front running by seeing an order, buying it, and then selling it to the original buyer. Everything else is there to obscure the truth. I've seen so many of these posts here and none of them has ever approached any sort of justification or validity.

Re: Nanex Gets $700k Whistleblower Award from SEC

#133

Post by CyberDildonics » Wed, Mar 02, 2016, 9:09 PM UTC

rqebmm wrote: post #108

harryh wrote: post #91

Earlier quoted context omitted.

You don't actually have 10ms to act in the scenario you describe. Because there is new information entering the world at all times, you would want to wait until the last possible microsecond before the end of the 10ms window before entering any bids. The window does nothing to remove the need for speed. The world is a continuous system. No matter how hard you try you can't force it to be discrete. (There are other pr…

Exactly. Instead of the game being "who communicates fastest" it would be "who can time the sample rate the best"

There are plenty of solutions to that but it wouldn't even be a problem if exchanges weren't -selling their order flow before the trades happen-

Re: Nanex Gets $700k Whistleblower Award from SEC

#134

Post by harryh » Wed, Mar 02, 2016, 9:10 PM UTC

CyberDildonics wrote: post #133

rqebmm wrote: post #108

Earlier quoted context omitted.

Exactly. Instead of the game being "who communicates fastest" it would be "who can time the sample rate the best"

There are plenty of solutions to that but it wouldn't even be a problem if exchanges weren't -selling their order flow before the trades happen-

By selling order flow brokers have reduced your commissions significantly (and all the way to zero in the case of robinhood.com).

This is good for you, not bad.

Re: Nanex Gets $700k Whistleblower Award from SEC

#135

Post by fatlasp » Wed, Mar 02, 2016, 9:12 PM UTC

chollida1 wrote: post #74

fatlasp wrote: post #65

Earlier quoted context omitted.

I've seen a number of comments here suggesting that the data feeds are exhorbanently expensive. FWIW I'm getting the 'real-time NYSE data' (not the level two data but real time level one) for $2 / month on my tradingview membership. Not exactly breaking the bank

while that might be true, the data is only part of what you pay for. The speed and format of the data is the other, and major component of what you pay for. You are paying for what we'd call display only quotes, meaning you get these quotes so a human can visualize where the market is. If your strategies are based on trading once a day then this is fine for you. The other way in which you will be throttled is how man…

Ya. I don't have any exposure to options currently. Really I'm barely even a swing trader more of an investor. I did notice that the price could go up substantially if you were looking for data on futures / e minis etc.

Re: Nanex Gets $700k Whistleblower Award from SEC

#136

Post by easytiger » Wed, Mar 02, 2016, 9:12 PM UTC

chollida1 wrote: post #6

So essentially the exchanges offer multiple data feeds. These feeds are differentiated by a couple of points. 1) How much market data they give out. Typically this is broken into 3 levels: - Level 1, Just the top of book quote, this is the best bid and offer and their corresponding number of shares at this price level. - Level 2 Depth of market at each price level, same as above but you can see all liquidity offered.…

> As you can imagine the difference is speed. The slower methods will use the text based FIX protocol and the fastest methods give you a feed and an FPGA to parse the feed with.

Err, No. You can parse FIX with an FPGA if you feel like it. It is up to you how you consume the data. The differential will be CoLocation vs dedicated line vs internet delivery on a base level and then differing subsets of feeds to varying liquidity pools.

So really you are paying whomever owns the DC for the privilege of a seat in the same DC as the exchange and for the cross connect right into their cage.

Re: Nanex Gets $700k Whistleblower Award from SEC

#137

Post by easytiger » Wed, Mar 02, 2016, 9:15 PM UTC

kbenson wrote: post #12

chollida1 wrote: post #6

So essentially the exchanges offer multiple data feeds. These feeds are differentiated by a couple of points. 1) How much market data they give out. Typically this is broken into 3 levels: - Level 1, Just the top of book quote, this is the best bid and offer and their corresponding number of shares at this price level. - Level 2 Depth of market at each price level, same as above but you can see all liquidity offered.…

> It's this later feed that is getting the exchanges into trouble as these feeds notify the user of trades before the SIP can be updated which lets firms have a 300-700 nano second peek at the market before everyone else does. From the article: Specifically, we found that stock quotes from the NYSE were delayed by more than 30 seconds to the public quotation feed (chart 1), relative to Open Book, which is NYSE's expe…

It is technology, and it broke, badly. You cant blame them for doing that on purpose if it was a side effect of a black swan event

Re: Nanex Gets $700k Whistleblower Award from SEC

#138

Post by CyberDildonics » Wed, Mar 02, 2016, 9:20 PM UTC

tptacek wrote: post #41

CyberDildonics wrote: post #30

Earlier quoted context omitted.

People who stand to benefit directly from High Frequency Trading will tell you it has benefits. Everyone else will tell you it doesn't. Given the choice, someone buying stocks directly would not choose to buy them from an exchange that allows high frequency trading. People will also dispute that, but you have to ask yourself, if HFT is so good for everyone, who is all their money coming from?

Accusations of shillage aren't allowed on HN; in fact, they're one of the very few examples of pathological message board behaviors that HN actually explicitly bans. You can't dodge that ban by saying "everyone who believes this is a shill" without naming people; I believe HFT has benefits, and I am not a shill. If your comment invites people to litigate whether I'm a shill, you're doing the one of the few things HN…

First of all, I didn't say shill, you did. I also didn't say anything about you in particular yet you seem to take it personally. Saying that people with different incentives will have different biases is observable in virtually every system that involves people.

Second, I'll write whatever I want. You'll have to use your words here instead of playing the victim card.

Re: Nanex Gets $700k Whistleblower Award from SEC

#139

Post by kasey_junk » Wed, Mar 02, 2016, 9:22 PM UTC

jgh wrote: post #47

cheald wrote: post #13

Earlier quoted context omitted.

No, it would affect everyone - that's why it's so bad. HFT traders would just adjust their minimum spreads and continue on their merry way. Sanders' FTT doesn't attack the mechanisms of HFT, it attacks the markets as a whole - HFT would suffer, but so would everyone else. If you want to hit HFT specifically you need to hit the HFT-specific behaviors - either add a per-message charge (like Canada did) or add a tax to…

I understand that a trade tax would affect everyone, but for someone like me who makes maybe a handful of trades per month it wouldn't really do that much to dissuade me from making those trades. I also don't particularly care one way or the other what happens with HFT, I was just mentioning this as a thing people are thinking about.

My big concern with the transaction tax is how it applies to indexed funds/etfs. Those trade all the time so the price impact can be significant for those. Further, depending on implementation, you could easily get taxed multiple times for that as there is a transaction to get in/out of the index, and the internal index transactions.

Re: Nanex Gets $700k Whistleblower Award from SEC

#140

Post by tptacek » Wed, Mar 02, 2016, 9:24 PM UTC

CyberDildonics wrote: post #138

tptacek wrote: post #41

Earlier quoted context omitted.

Accusations of shillage aren't allowed on HN; in fact, they're one of the very few examples of pathological message board behaviors that HN actually explicitly bans. You can't dodge that ban by saying "everyone who believes this is a shill" without naming people; I believe HFT has benefits, and I am not a shill. If your comment invites people to litigate whether I'm a shill, you're doing the one of the few things HN…

First of all, I didn't say shill, you did. I also didn't say anything about you in particular yet you seem to take it personally. Saying that people with different incentives will have different biases is observable in virtually every system that involves people. Second, I'll write whatever I want. You'll have to use your words here instead of playing the victim card.

There is nothing magical about the word "shill". The prohibition isn't simply on using the word.

https://hn.algolia.com/?query=author:dang%20shill&sort=byDat...