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Goldman Sachs is spending $100M to shave milliseconds off stock trades

cnbc.com

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Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#21

Post by mlthoughts2018 »

vannevar wrote: post #19
nickles wrote: post #12

Earlier quoted context omitted.

> pointless expenditure on an ultimately meaningless arms race What about price discovery is pointless? Would you prefer that prices update only once a day? Once a week? Once a month? Realtime pricing of securities and derivatives is critical for an efficiently functioning economy. > if we imposed reasonable limits on the time required to hold an equity in order for a trade to be legally recognized This would damage…

Most of these efforts are aimed at taking advantage of lags in information flow, often within the very trading systems on which the trades are occurring. They are exploits, not essential market-making. Noise, not signal. What's the right timeframe? Something based on the time it takes for humans to reason about a price. Not a day, but certainly not milliseconds, either.

Is the human allowed to use pencil & paper when reasoning about the stock? A graphing calculator? A spreadsheet program? A numerical SDE solver?

By what rule do you propose limiting other people’s free choice to use computing resources to accelerate the time scale of reasoning about a price?

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#22

Post by vannevar »

voldacar wrote: post #20
vannevar wrote: post #19

Earlier quoted context omitted.

Most of these efforts are aimed at taking advantage of lags in information flow, often within the very trading systems on which the trades are occurring. They are exploits, not essential market-making. Noise, not signal. What's the right timeframe? Something based on the time it takes for humans to reason about a price. Not a day, but certainly not milliseconds, either.

If they were noise, they would not be profitable strategies.

Noise compared to the signal actually needed for a market to function. Markets functioned nicely on much, much longer timeframes in the past.

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#23

Post by dlhavema »

nickles wrote: post #16
compsciphd wrote: post #11

Earlier quoted context omitted.

even every 1s. If we can do auctions for web ads, we can do auctions for the stock exchange.

> even every 1s. If we can do auctions for web ads, we can do auctions for the stock exchange. There was ~$107 billion in online advertising in 2018. There was ~$145 billion traded in Nasdaq listed equities yesterday . Global financial markets and online advertising have different requirements. [0] https://www.marketingcharts.com/advertising-trends/spending-... [1] http://www.nasdaqtrader.com/Trader.aspx?id=DailyMark…

How is the 145 billion calculated? If I buy and sell with a 100$ 100 times does that count as $10,000 or $100?

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#24

Post by dmoy »

dlhavema wrote: post #23
nickles wrote: post #16

Earlier quoted context omitted.

> even every 1s. If we can do auctions for web ads, we can do auctions for the stock exchange. There was ~$107 billion in online advertising in 2018. There was ~$145 billion traded in Nasdaq listed equities yesterday . Global financial markets and online advertising have different requirements. [0] https://www.marketingcharts.com/advertising-trends/spending-... [1] http://www.nasdaqtrader.com/Trader.aspx?id=DailyMark…

How is the 145 billion calculated? If I buy and sell with a 100$ 100 times does that count as $10,000 or $100?

The number quoted is total volume, so it would be $10k

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#25

Post by nickles »

whatshisface wrote: post #18
nickles wrote: post #12

Earlier quoted context omitted.

> pointless expenditure on an ultimately meaningless arms race What about price discovery is pointless? Would you prefer that prices update only once a day? Once a week? Once a month? Realtime pricing of securities and derivatives is critical for an efficiently functioning economy. > if we imposed reasonable limits on the time required to hold an equity in order for a trade to be legally recognized This would damage…

Nanosecond pricing updates might be a little more than anybody needs. Maybe if the exchange cleared once every second, that would serve anyone's purposes. Remember the market is ultimately about allocating capital between businesses and governments, and for economic purposes it doesn't need to run any faster than they can.

> Nanosecond pricing updates might be a little more than anybody needs

That may be the case, but the 'problem' is caused because market makers aren't legally allowed to offer better prices than they might otherwise desire. It doesn't seem prudent to layer flawed regulation on top of flawed regulation when there's a simpler solution.

> Remember the market is ultimately about allocating capital between businesses and governments

Equity markets have many purposes. Companies indeed raise money by issuing equity (IPOs and secondaries), and there are cases where governments participate for monetary purposes (BoJ & SNB's equity purchases). But markets also allow:

* employees to sell equity compensation they've received whenever they want

* retail investors to diversify their asset allocations

* sovereign wealth funds, pension funds, endowments, and other real money sources return on their portfolios

* for hedging financial risks

* companies to return money to shareholders in the form of buy backs

> for economic purposes it doesn't need to run any faster than they can

All the previously mentioned functions happen all the time, and the marks (prices) generated from this activity helps inform many other economic functions. Everything from central bank policy to insurance pricing depends on well functioning markets. In light of this, why should we make things less efficient by slowing things down and driving the cost up?

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#26

Post by vannevar »

mlthoughts2018 wrote: post #21
vannevar wrote: post #19

Earlier quoted context omitted.

Most of these efforts are aimed at taking advantage of lags in information flow, often within the very trading systems on which the trades are occurring. They are exploits, not essential market-making. Noise, not signal. What's the right timeframe? Something based on the time it takes for humans to reason about a price. Not a day, but certainly not milliseconds, either.

Is the human allowed to use pencil & paper when reasoning about the stock? A graphing calculator? A spreadsheet program? A numerical SDE solver? By what rule do you propose limiting other people’s free choice to use computing resources to accelerate the time scale of reasoning about a price?

The "free choice" argument is a charade: the only people with the "freedom" (ie, wealth) to win that race are "people" like Goldman Sachs. On the whole, it's just another legal mechanism for pumping money from the poor to the wealthy. Modern markets could not exist without regulation, which by definition limits freedoms. We're just talking about a sensible regulation that eliminates a pointless misdirection of resources, not unlike laws against gambling.

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#27

Post by buzzdenver »

nickles wrote: post #16
compsciphd wrote: post #11

Earlier quoted context omitted.

even every 1s. If we can do auctions for web ads, we can do auctions for the stock exchange.

> even every 1s. If we can do auctions for web ads, we can do auctions for the stock exchange. There was ~$107 billion in online advertising in 2018. There was ~$145 billion traded in Nasdaq listed equities yesterday . Global financial markets and online advertising have different requirements. [0] https://www.marketingcharts.com/advertising-trends/spending-... [1] http://www.nasdaqtrader.com/Trader.aspx?id=DailyMark…

> There was ~$107 billion in online advertising in 2018. There was ~$145 billion traded in Nasdaq listed equities yesterday.

That is a pointless comparison. That $107b was all revenue for somebody (Google, Facebook, etc), while the $145b was just the nominal value of shares traded.

(edited typo)

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#28

Post by abalone »

I was pretty impressed by Rust's latest showing in the techempower benchmarks. The Actix framwork blew the ceiling off of previous benchmarks. SIMD code, lock free, static dispatch, pipelined postgres driver, and other performance enhancements.[1] As fast or faster than the C/C++ frameworks.

[1] https://github.com/TechEmpower/FrameworkBenchmarks/issues/48...

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#29

Post by golemiprague »

vannevar wrote: post #3

It seems like we could save a lot of pointless expenditure on an ultimately meaningless arms race in flash trading if we imposed reasonable limits on the time required to hold an equity in order for a trade to be legally recognized.

How is it different to any other competition between companies, what makes this one specifically pointless? Your idea will just put more money in the pocket of the bank traders rather than spreading the wealth to all the IT engineers and equipment manufacturers which supply this slight advantage, what's wrong with that?

Re: Goldman Sachs is spending $100M to shave milliseconds off stock trades

#30

Post by MuffinFlavored »

abalone wrote: post #28

I was pretty impressed by Rust's latest showing in the techempower benchmarks. The Actix framwork blew the ceiling off of previous benchmarks. SIMD code, lock free, static dispatch, pipelined postgres driver, and other performance enhancements.[1] As fast or faster than the C/C++ frameworks. [1] https://github.com/TechEmpower/FrameworkBenchmarks/issues/48...

Does Goldman Sachs use Rust/actix for quick trading?
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