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Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

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Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#31

Post by mhmmmmmm »

biomcgary wrote: post #12

Other than seemingly perverse incentives, is there a good reason not to quantize trading time?

Taiwan Stock Exchange used to have quantized trading times (read "frequent batch auction"), but it led to worse price discovery and a bigger bid ask spread: https://focus.world-exchanges.org/articles/citadel-trading-a...

> Our analysis of the TWSE’s transition clearly demonstrates that continuous trading results in better liquidity provision, lower bid-ask spreads, more stable prices and enhanced price discovery, as well as higher trading volumes.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#32

Post by ikmckenz »

frinxor wrote: post #30

some fantastic older reading (2014): HFT in My Backyard https://news.ycombinator.com/item?id=8354278 https://news.ycombinator.com/item?id=8371852

Also, from the same blog:

Shortwave Trading | Part I | The West Chicago Tower Mystery

https://sniperinmahwah.wordpress.com/2018/05/07/shortwave-tr...

SHORTWAVE TRADING | PART II | FAQ AND OTHER CHICAGO AREA SITES

https://sniperinmahwah.wordpress.com/2018/06/07/shortwave-tr...

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#33

Post by JumpCrisscross »

ssivark wrote: post #21
usefulcat wrote: post #19

Earlier quoted context omitted.

If you're talking about something like having an auction (per security) every N seconds, I don't see how that addresses the underlying issue, which is how to determine order priority. If you have a bunch of orders at the same price on the same side, and an order comes in from the other side that crosses those orders (or there is an auction and there are orders on the other side which cross), how do you decide which o…

How about along a randomized delay (0-T time) to each order? For T=30s it will largely nullify millisecond latency advantages.

> How about along a randomized delay (0-T time) to each order?

This is the sort of good idea that just entrenches the algos. (Former algorithmic derivatives trader.)

For small orders, these delays make no difference. For a big order, however, it could be disastrously embarassing. So now, instead of that fund's trader feeling comfortable directly submitting their trade using off-the-shelf execution algos, they'll route it to an HFT who can chunk it into itty bity orders diarrhea'd through to average out the randomness of those delays.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#34

Post by theturtletalks »

Skywave has a point, they were through regulatory oversight to get their microwave working whereas these other firms went behind the FCC’s back and profited by not doing so. The fine is likely a lot lower than the profits they made so what incentive would future companies have to go through the proper channels?

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#35

Post by [deleted] »

mhmmmmmm wrote: post #31
biomcgary wrote: post #12

Other than seemingly perverse incentives, is there a good reason not to quantize trading time?

Taiwan Stock Exchange used to have quantized trading times (read "frequent batch auction"), but it led to worse price discovery and a bigger bid ask spread: https://focus.world-exchanges.org/articles/citadel-trading-a... > Our analysis of the TWSE’s transition clearly demonstrates that continuous trading results in better liquidity provision, lower bid-ask spreads, more stable prices and enhanced price discovery, as…

[deleted]

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#36

Post by JumpCrisscross »

Loughla wrote: post #15
mikewarot wrote: post #13

Earlier quoted context omitted.

I've argued in the past that we should have batch settlements every 30 seconds, instead of in real time. We don't really need microsecond based skimming/front running.

I've read the arguments that the microsecond trading serves a purpose that benefits all of us, but I fail to see how, even with the explanations. I'm with you. Every 30 seconds. Cap the power of connection speed in trading. Trading should be based on the value of the item being traded, not on how short the fiber run is.

> read the arguments that the microsecond trading serves a purpose that benefits all of us, but I fail to see how, even with the explanations

What about an empirical argument? Microsecond trading reduces spreads and decreases volatility. It looks useless, so people try to regulate it away, and every time they do spreads widen and trading firms' and banks' profits fatten.

> Every 30 seconds. Cap the power of connection speed in trading

I'd go back to Wall Street if this happened: it would make market making profitable again.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#37

Post by biomcgary »

mhmmmmmm wrote: post #31
biomcgary wrote: post #12

Other than seemingly perverse incentives, is there a good reason not to quantize trading time?

Taiwan Stock Exchange used to have quantized trading times (read "frequent batch auction"), but it led to worse price discovery and a bigger bid ask spread: https://focus.world-exchanges.org/articles/citadel-trading-a... > Our analysis of the TWSE’s transition clearly demonstrates that continuous trading results in better liquidity provision, lower bid-ask spreads, more stable prices and enhanced price discovery, as…

Thank you, it is nice to see an empirical observation of before and after the transition to continuous trading.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#38

Post by JumpCrisscross »

scrlk wrote: post #7
dinkblam wrote: post #4

why would a radiowave that is reflected off the atmosphere (and therefore taking the longer route) be faster than a direct fibre cable?

Radio waves travel at nearly the speed of light, whereas light in an fiber optic cable travels at ~67% of the speed of light due to the refractive index of glass.

More bluntly: light in a fibre is still bouncing around a lot.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#39

Post by cycomanic »

nimish wrote: post #11
_qua wrote: post #8

Earlier quoted context omitted.

Light doesn’t go at light speed through optical fiber.

Sure it does. It's just that the speed of light in non-hollow optical fiber is slower than light in a vacuum. Microsoft bought a hollow optical fiber company for a reason.

Yes, funnily enough Microsofts reason was not HFT but AI. Essentially inter-datacentre training is limited by latency between the datacentres.

Generally they want to build the datacentres close to metro areas, by using hollow core fibre the radius of where to place the data centres has essentially increased by 3/2. This significantly reduces land acquisition costs, and supposedly MS has already made back the acquisition cost for Lumenisity, through those savings.

Re: Jump Trading, Virtu and the 'hidden optical fibre cable' under an Ohio field

#40

Post by JumpCrisscross »

biomcgary wrote: post #37
mhmmmmmm wrote: post #31

Earlier quoted context omitted.

Taiwan Stock Exchange used to have quantized trading times (read "frequent batch auction"), but it led to worse price discovery and a bigger bid ask spread: https://focus.world-exchanges.org/articles/citadel-trading-a... > Our analysis of the TWSE’s transition clearly demonstrates that continuous trading results in better liquidity provision, lower bid-ask spreads, more stable prices and enhanced price discovery, as…

Thank you, it is nice to see an empirical observation of before and after the transition to continuous trading.

Note that American exchanges open and close with a batched cross. This hybrid approach is why most objections to intraday continuous trading is misplaced.
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