This is a huge waste of effort. HFT should be banned so smart people work on solving real problems instead.
Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol
31–40 of 143 posts
Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol
#32Earlier quoted context omitted.
I don’t think this helps enough. It’ll keep people from pouncing on NASDAQ very quickly due to NASDAQ movements, but instead people will play the game of trying to be the last one into the window when trading based on information from other sources. Some form of clever randomization might help, but getting that right is very complicated.
I think you could account for hold-out by having the resolve window be longer than the trade-insert window, at least to an extent. The trade-insert window can't be too long, or it would leave lots of room for regret, like people who voted by mail for a candidate caught in a scandal two days before an election.
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Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol
#33Earlier 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.
"c[1] is a bitch" - most HFT quants past few years
Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol
#34This is a huge waste of effort. HFT should be banned so smart people work on solving real problems instead.
> so smart people work on solving real problems instead
Like making people click on ads?
Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol
#35"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…
What would be the negative effect if the time quantum was much larger, say, an hour, a day, a week?
I'd like to see qeternity chime in on this, since it's their space, but as market that is too rigid can't actually provide sufficient liquidity to users to function as an effective market.
Let's say you're comparing a savings account (1% interest, a day to withdraw), six month certificates of deposit (3% interest, six months out), and cash in your pocket (%0 interest, instant), and the goal is to account for market fluctuation in Laffy Taffy and come away with the most Laffy Taffy in a year.
The cash doesn't appreciate, but you can buy whenever the price changes. If Laffy Taffy is really volatile, working in cash gives you the flexibility you need to maximize your trade value and buy/sell at the right time.
If Laffy Taffy never sees a price change, put your money in that CD and wait it out (assuming no other available investment vehicles). You'll be able to buy a little more pancreatic strain in six months.
The savings account is somewhere in the middle.
A really large quantum for a market that attempts to serve as a proxy for real world fundamentals could be prohibitively risky for participants, and that could reduce overall market participation.
I suspect that there is a sweet spot, and I assert (without evidence) that the sweet spot is greater than the time it takes light to circle the globe.
Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol
#36This looks like a paper about the Huygens system, with comparison to other protocols like PTP: https://www.usenix.org/system/files/conference/nsdi18/nsdi18... Also these slides: https://platformlab.stanford.edu/Seminar%20Talks/retreat-201...
I maintain an NTP implementation. That comparison doesn't seem fair to me. It looks like they are comparing the old reference NTP implementation and not really the protocol itself. An NTP implementation can certainly synchronize clocks with better accuracy than 1 millisecond, or even 1 microsecond with hardware timestamping and good network switches.
There are some interesting ideas in the Huygens paper, but I don't see anything that couldn't be done also with NTP.
Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol
#37"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…
I don’t think this helps enough. It’ll keep people from pouncing on NASDAQ very quickly due to NASDAQ movements, but instead people will play the game of trying to be the last one into the window when trading based on information from other sources. Some form of clever randomization might help, but getting that right is very complicated.
why should randomization be clever? just fulfill orders in the book randomly for each time interval, wouldn't that be enough?
Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol
#38Earlier quoted context omitted.
I don’t think this helps enough. It’ll keep people from pouncing on NASDAQ very quickly due to NASDAQ movements, but instead people will play the game of trying to be the last one into the window when trading based on information from other sources. Some form of clever randomization might help, but getting that right is very complicated.
why should randomization be clever? just fulfill orders in the book randomly for each time interval, wouldn't that be enough?
If I place an order to buy 1 share for $1 and another share for $1.01 because the market data shows that there is only one share available for $1, then the exchange needs to process my $1 order before my $1.01 order. More complicated scenarios exist, too, especially once you take into account resting orders and modifications to existing resting orders.
Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol
#39It is great news if this algorithm can work directly on the public Internet, without requiring a specialized network - many scientific and engineering applications will be able to get its time reference directly from the Internet! NTP and other protocols currently used are unauthenticated (there is NTP autokey, etc, but its security properties are not ideal, and mostly not deployed) and it is a big security hole, esp…
I can't imagine how you could hope to reach nanosecond-precision over the internet without changing all the routing hardware in use today. With PTP you can already reach sub-microsecond synchronization but you need full hardware support for every network element on the route if you want to achieve that. The timestamping is done on the network PHY itself, which is how you can remove all jitter introduced by the kernel…
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Re: Google and Nasdaq Pursuing Nano-Second Precision in Network Time Protocol
#40This is a huge waste of effort. HFT should be banned so smart people work on solving real problems instead.
> HFT should be banned
What do you mean by this?