Hacker News Board Hacker News, browsed like a classic message board
Live data from Hacker News

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

ft.com

Post reply on HN
Print view View original

51–60 of 77 posts

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

#51

Post by jjallen »

usefulcat wrote: post #19
biomcgary wrote: post #12

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

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…

You fill the orders proportional to the order quantity for everyone

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

#52

Post by scrlk »

stephen_g wrote: post #49
scrlk wrote: post #7

Earlier quoted context omitted.

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.

I worked for three years designing custom low-latency point-to-point microwave radios for HFT for this very reason. They didn't need very high bandwidths (their long-haul network was less than 200 Mbit, whereas in New York/New Jersey we had about 5 Gbps because the hops were much shorter and they had licenses for more RF bandwidth at a higher frequency). At those time scales, the difference is so large, it was incred…

I somewhat regret not specialising in RF/comms in my EE degree - this side of HFT sounds like a fascinating line of work (Trading at the Speed of Light was a great read).

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

#53

Post by toast0 »

usefulcat wrote: post #19
biomcgary wrote: post #12

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

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…

If you're doing batches to reduce the advantage of being fast, you'd have to treat all orders that come in during a batch tick as simultaneous.

Resting orders from previous batches could have priority, if you want. You'd probably end up doing something with assignment of equal priority orders that looks like option assignment, basically random selection of shares among the pool of orders.

Personally, I'd fill unconditional market orders first, then market all or nothing (if fillable), then sort limit orders by price and from within limit orders of the same price, unconditional first, then all or nothing, then all or nothing + fill or kill.

I don't know if I would assign shares proportional to orders or to shares in orders. Probably shares in orders. Might be gamed, but putting in a really big order because you want to capture a couple shares is risky.

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

#54

Post by usefulcat »

api wrote: post #44
mhmmmmmm wrote: post #43

Earlier quoted context omitted.

So now I probabilistically spam a ton of different orders to on average get my desired fill... This just turns it into a "whoever is best at DoS'ing the exchange" game. As the orderbook fills with competitor orders it makes sense for yourself to also spam orders so each of your orders maintains the same probability of being filled

Impose a small order fee.

That will tend to discriminate against smaller traders, like 'retail' traders.

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

#56

Post by shric »

mhmmmmmm wrote: post #43
api wrote: post #41

Earlier quoted context omitted.

Randomize orders using a cryptographic hash of the order, client info, and all other fields plus a random salt added when the order is submitted. Sort by hash. Impossible to game unless you can break the hash function.

So now I probabilistically spam a ton of different orders to on average get my desired fill... This just turns it into a "whoever is best at DoS'ing the exchange" game. As the orderbook fills with competitor orders it makes sense for yourself to also spam orders so each of your orders maintains the same probability of being filled

Exchanges have requirements imposed on HFTs to prevent this kind of abuse. This one would be no different.

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

#57

Post by ycombobreaker »

_boffin_ wrote: post #47
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

If you want even more fun reading, check out: http://www.nanex.net/aqck/aqckIndex.html It’s the only site I know of that has posts like it. Sadly, he hasn’t posted in awhile.

He fell off the rails when Trump was running for office. I remember being really disappointed to see the trading observations (and his own product advertisement) replaced by political rants.

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

#58

Post by analog31 »

JumpCrisscross wrote: post #38
scrlk wrote: post #7

Earlier quoted context omitted.

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.

Not in single mode fibers, which still exhibit the effect. It's just about the refractive index of glass.

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

#59

Post by JumpCrisscross »

tzs wrote: post #50
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…

Is that better liquidity, etc., actually needed? If we consider the function of a market to be to arrive at prices that lead to the optimal allocation of the goods sold on that market, intuitively it would seem that there should be a limit on how fast trades need to propagate to achieve that, and the limit would be tied to how fast new information relevant to the producers and consumers of those goods comes out. I do…

> Is that better liquidity, etc., actually needed

Broadly speaking, yes. Turning down liquidity increases spreads which affects which sorts of companies are able to raise what sorts of capital in those markets.

The paradox of HFT is that it's much smaller and more efficient than the slower, manpower-heavy Wall Street industry it replaced. It's just weird, which makes it easy to demonise in popular politics.

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

#60

Post by JumpCrisscross »

usefulcat wrote: post #54
api wrote: post #44

Earlier quoted context omitted.

Impose a small order fee.

That will tend to discriminate against smaller traders, like 'retail' traders.

> will tend to discriminate against smaller traders, like 'retail' traders

Retail rarely hits an exchange.

Post reply on HN