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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.
Can someone explain to me what is gained by processing the trades in real time vs. batching the processing into say 1 second increments? What does GS gain by being able to get their trade there a few milliseconds before the competition and what do I as a consumer gain from this?
GS is in an arms race with other fintech firms to be first in line to act on new information.
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.
> 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…
Obviously you are being hyperbolic, but some people have proposed literally laying excess cable to slow down the speed of automatic trades, which can be highly volatile. That's not damaging market makers at all. It's smoothing out the supply and demand to prevent micro-crashes and other arbitrage.
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.
It means high frequency volatility is taken out of the equation for the rest of us -- Which generally is a benefit for other players in the market.
FX has (effectively) been that way for a long time.
People love to rail on HFT, but at this point, its really not that profitable. It's just a reality of trading in the markets. There was a blip of time between 2008 and 2014 when HFT was extremely profitable. Those inefficiencies have been gone from the market for years. People were whooped into anger about how much money was being made, at this point its a complete non issue and needs to be removed from the highlight…
People love to rail on HFT, but at this point, its really not that profitable. It's just a reality of trading in the markets. There was a blip of time between 2008 and 2014 when HFT was extremely profitable. Those inefficiencies have been gone from the market for years. People were whooped into anger about how much money was being made, at this point its a complete non issue and needs to be removed from the highlight…
The impact of such regulation was tested by the SEC recently with the 'tick size' program. Instead of reducing the minimum increment, some names saw it increased to $0.05. The hope was to increase liquidity while decreasing volatility in these names. In fact, those names experienced decreased liquidity with no decrease in volatility.
HFT is a result of regulation.
[0] https://www.sec.gov/divisions/marketreg/subpenny612faq.htm
[1] https://www.benzinga.com/general/education/18/04/11517027/th...
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?
For slightly slower stuff it's the garbage collector and OS scheduling that's the problem (as both can unpredictably inject many milliseconds pauses). No GC and good usage of low level kernel primitives is the game.
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.
Tangentially related, but I wonder how long before HFT harnesses neutrino transmission to send market data directly through the earth? The MINOS [1] project is underway to send neutrinos from Fermilab in Illinois to detectors in northern Minnesota. Straight through the earth's crust. Detecting neutrinos is hard, and modulating data on them will probably be even more difficult, but if it shaves a few micro/millisecond…
So some quick Googling shows that the neutrino beam fires every 1.3 seconds[1] and the 'near' detector on average captures 20 neutrinos, the 'far' detector sees Each 'spill' takes 8.67 milliseconds, so if you simply vary the firing time to send a signal using coordinated clocks, naively you could send up to ln(1000 / 8.67) = 6.8 bits per second, but at the cost of the very latency that you're trying to minimize. I'm…