Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol • Hacker News Board

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#131

Post by throwaway2048 » Mon, Jul 02, 2018, 11:54 PM UTC

jrockway wrote: post #126

throwaway2048 wrote: post #91

Earlier quoted context omitted.

You still cant trust the client here, no matter how precisely synced your clocks are, because it could maliciously reorder events/tamper with time (always claim you activated first, with a certain fudge factor to prevent detection) and it would be undetectable within the bounds of internet latency.

I'm not completely convinced that cheating would not be detectable after aggregating some statistics over time. (Similar to how you can extract encryption keys from server processes, simply by timing how long certain operations take.)

The problem is a statistical approach to anti cheat like that results in banning tons of innocent players, which is awful PR.

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#132

Post by unclebucknasty » Tue, Jul 03, 2018, 12:17 AM UTC

tptacek wrote: post #130

unclebucknasty wrote: post #127

Earlier quoted context omitted.

HFT helps tighten spreads for smaller investors, and also itself benefits from the tighter spreads. But, to the extent that you believe the argument that HFT is essentially front-running, then HFT gets the tight spreads and better pricing.

People believe all sorts of weird things, but the actual offense of front-running involves an agency relation: it occurs when you work with a broker/dealer to order your securities, and upon receiving your order, they trade for their own account ahead of yours. Market makers aren't agents of traders.

>the actual offense of front-running...

Sure. That's why I wrote "essentially" front-running. Perhaps I should have written "effectively" to better clarify?

In any case, I am referring less to the tort and more to the common complaint that people have about HFT: WRT how it disadvantages small investors.

>People believe all sorts of weird things

Indeed. But, I don't believe that to be an esoteric complaint. In fact, it seems to be one of the chief complaints where HFT is concerned.

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#133

Post by tptacek » Tue, Jul 03, 2018, 2:32 AM UTC

unclebucknasty wrote: post #132

tptacek wrote: post #130

Earlier quoted context omitted.

People believe all sorts of weird things, but the actual offense of front-running involves an agency relation: it occurs when you work with a broker/dealer to order your securities, and upon receiving your order, they trade for their own account ahead of yours. Market makers aren't agents of traders.

> the actual offense of front-running... Sure. That's why I wrote "essentially" front-running. Perhaps I should have written "effectively" to better clarify? In any case, I am referring less to the tort and more to the common complaint that people have about HFT: WRT how it disadvantages small investors. > People believe all sorts of weird things Indeed. But, I don't believe that to be an esoteric complaint. In fact,…

I don't know if "esoteric" is the word. You're saying, lots of people seem to believe that the advantage fast electronic market making has over "conventional" trading is a form of front-running.

That is true. But: it is not.

Lots of people also believe that high-end market research (for instance, targeted research and maybe even electronic surveillance about how many widgets a company has sold) is a form of insider trading. But: it is not, even though lots of people say that, and for the same reason.

In both cases, people believe there is something shady about people going to extraordinary lengths to obtain a trading advantage. And, in both cases, not only is the market resilient to those efforts to gain advantage, but the markets are theoretically improved by them. The point of a market is to expediently arrive at the best (as in, most reflective of intrinsic value) price for something, and to make it efficient for people to buy and sell at that price.

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#134

Post by unclebucknasty » Tue, Jul 03, 2018, 4:14 AM UTC

tptacek wrote: post #133

unclebucknasty wrote: post #132

Earlier quoted context omitted.

> the actual offense of front-running... Sure. That's why I wrote "essentially" front-running. Perhaps I should have written "effectively" to better clarify? In any case, I am referring less to the tort and more to the common complaint that people have about HFT: WRT how it disadvantages small investors. > People believe all sorts of weird things Indeed. But, I don't believe that to be an esoteric complaint. In fact,…

I don't know if "esoteric" is the word. You're saying, lots of people seem to believe that the advantage fast electronic market making has over "conventional" trading is a form of front-running. That is true. But: it is not. Lots of people also believe that high-end market research (for instance, targeted research and maybe even electronic surveillance about how many widgets a company has sold) is a form of insider t…

I am aware that people believing a thing doesn't make it true.

I am also aware of the arguments in favor of HFT. As you stated, the oft-made claim that the market is improved is theoretical as well; hence, is also a product of "belief".

It's not a settled question. [0]

>The point of a market is to expediently arrive at the best (as in, most reflective of intrinsic value) price

Yes.

[0] https://www.investopedia.com/ask/answers/09/high-frequency-t...

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#135

Post by tptacek » Tue, Jul 03, 2018, 4:34 AM UTC

unclebucknasty wrote: post #134

tptacek wrote: post #133

Earlier quoted context omitted.

I don't know if "esoteric" is the word. You're saying, lots of people seem to believe that the advantage fast electronic market making has over "conventional" trading is a form of front-running. That is true. But: it is not. Lots of people also believe that high-end market research (for instance, targeted research and maybe even electronic surveillance about how many widgets a company has sold) is a form of insider t…

I am aware that people believing a thing doesn't make it true. I am also aware of the arguments in favor of HFT. As you stated, the oft-made claim that the market is improved is theoretical as well; hence, is also a product of "belief". It's not a settled question. [0] > The point of a market is to expediently arrive at the best (as in, most reflective of intrinsic value) price Yes. [0] https://www.investopedia.com/a…

The improvement I'm talking about is objective: in the former case, by competing down spreads and minimizing the cost to execute any given trade, and in both by expediting price discovery.

You can disagree that these are things worth optimizing (though if you weren't careful you'd risk arguing in some sense against the premise of a market), but it's less clear to me how you'd argue that the causality is other than what my argument says it is.

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#136

Post by unclebucknasty » Tue, Jul 03, 2018, 5:58 AM UTC

tptacek wrote: post #135

unclebucknasty wrote: post #134

Earlier quoted context omitted.

I am aware that people believing a thing doesn't make it true. I am also aware of the arguments in favor of HFT. As you stated, the oft-made claim that the market is improved is theoretical as well; hence, is also a product of "belief". It's not a settled question. [0] > The point of a market is to expediently arrive at the best (as in, most reflective of intrinsic value) price Yes. [0] https://www.investopedia.com/a…

The improvement I'm talking about is objective: in the former case, by competing down spreads and minimizing the cost to execute any given trade, and in both by expediting price discovery. You can disagree that these are things worth optimizing (though if you weren't careful you'd risk arguing in some sense against the premise of a market), but it's less clear to me how you'd argue that the causality is other than wh…

I don't dispute that HFT can reduce spreads. The question is whether that benefit may come at some expense to smaller investors.

See the previous link I posted. Also, of course, "Flash Boys" by Michael Lewis. There is no shortage of discussion around this question.

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#137

Post by minhazm423 » Tue, Jul 03, 2018, 9:48 AM UTC

chaboud wrote: post #20

"So-called high frequency trading firms place trades in a fraction of a second, sometimes in a bet that they can move faster than bigger competitors." First off: no. Big money plays in high frequency trading (roughly half of all trading activity), and the smaller traders without instantaneous access are the losers in this game. Secondly, NASDAQ's obsession with precise global sequencing is A) misguided and B) effecti…

how the hell do i understand any of what you guys are talking about? what are some good resources?

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#138

Post by minhazm423 » Tue, Jul 03, 2018, 9:48 AM UTC

mikert5671 wrote: post #28

qeternity wrote: post #24

Earlier quoted context omitted.

Most HFT shops are relatively small. HFT is all about latency and turn over. Big quant shops might have HFT elements but lean far more towards systematic/algo strategies that can be relatively high latency (still super low latency, but not HFT) because these are the only strategies that you can deploy serious var with. The guys crushing HFT are not huge hedge funds, and they are solving more engineering problems than…

This used to be true. Small HFT firms can find a niche thats profitable, but thats because there isnt enough money to be made by the big firms in those niches. In the last few years there has been massive consolidation of the smaller HFT players, the space is commoditized and controlled by a few firms.

any resources or further reading u can point me to?

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#139

Post by minhazm423 » Tue, Jul 03, 2018, 9:49 AM UTC

mikert5671 wrote: post #30

qeternity wrote: post #29

Earlier quoted context omitted.

Yes, consolidation and layoffs. Go see how many KCG guys were kept by Virtu. If anything the industry has gotten smaller. People are just buying up flow now. There are no "big" HFT firms when compared to proper buy side. > the space is commoditized and controlled by a few firms Few firms != big firms

Yeah its funny, I still read outrage about those greedy "HFT players", as if HFT was still highly relevant. It was a blip in time of the financial markets when no one had high speed trading but a few. The alpha has been washed away.

> The alpha has been washed away.

whats that mean?

so what are quants on the street doing now?

Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol

#140

Post by tptacek » Tue, Jul 03, 2018, 4:52 PM UTC

unclebucknasty wrote: post #136

tptacek wrote: post #135

Earlier quoted context omitted.

The improvement I'm talking about is objective: in the former case, by competing down spreads and minimizing the cost to execute any given trade, and in both by expediting price discovery. You can disagree that these are things worth optimizing (though if you weren't careful you'd risk arguing in some sense against the premise of a market), but it's less clear to me how you'd argue that the causality is other than wh…

I don't dispute that HFT can reduce spreads. The question is whether that benefit may come at some expense to smaller investors. See the previous link I posted. Also, of course, "Flash Boys" by Michael Lewis. There is no shortage of discussion around this question.

How does that question even make sense? By definition, the spread is a tax investors --- including small investors --- pay to buy or sell a holding. In what way could they possibly benefit from wider spreads?

Regarding Flash Boys: I don't know of a single person who works in trading who has stuck up for that book. I strongly recommend "Flash Boys: Not So Fast", which debunks it but is also much more interesting from a technical perspective than Lewis's book.