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Barbarians at the Gateways: High-frequency Trading and Exchange Technology

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Re: Barbarians at the Gateways: High-frequency Trading and Exchange Technology

#71

Post by shogunmike »

sseveran wrote: post #69
rfnslyr wrote: post #54

Earlier quoted context omitted.

How do I get into this field? I'm a 20 year old making a shit ton of money by doing mobile work but I find it so boring. Nothing about it is innovative. I feel like a high level computer construction worker. It's brainless for the most part, it just takes time . I want to get into some really cool stuff. I've been wanting to get into investment banking from a technical standpoint, HFT, algorithmic trading etc, but ho…

The worlds of HFT and the rest of algorithmic trading are very far apart. For HFT pickup the exchange documentation for each exchange. Memorize how order types. Get a copy of RegNMS. Memorize that as well. To be effective an HFT needs to exploit the market structure. Learn how processors work. How do you avoid a pipeline stall or a cache miss? Become an expert in c++. Maybe pickup some verilog for those pesky FPGAs.…

I second the recommendation of 'Trading and Exchanges'. It's a great book to get insight into how the underlying exchanges work and how to exploit certain architecture to produce profitable strategies.

Re: Barbarians at the Gateways: High-frequency Trading and Exchange Technology

#72

Post by chollida1 »

rfnslyr wrote: post #54
chollida1 wrote: post #6

> Some facilities such as the Mahwah, New Jersey, NYSE (New York Stock Exchange) data center have rolls of fiber so that every cage has exactly the same length of fiber running to the exchange cages.3 I remember the first time someone told me that. I thought they were kidding. Then I actually got to see the data center. The exchanges, and HFT firms, take this very seriously. The speed at which they execute is just un…

How do I get into this field? I'm a 20 year old making a shit ton of money by doing mobile work but I find it so boring. Nothing about it is innovative. I feel like a high level computer construction worker. It's brainless for the most part, it just takes time . I want to get into some really cool stuff. I've been wanting to get into investment banking from a technical standpoint, HFT, algorithmic trading etc, but ho…

> How do I get into this field?

Well turn the question on its head and ask what can you bring to a hedge fund to allow it to be more successful. That's the test we use.

Hedge funds are similar to start ups in that they are small businesses where everyone needs to pull their own weight and be able to handle their own area without supervision as everyone is busy enough handling their own area of concern.

Or put another way, say the firm has 10 people and each share equally in the year end bonus pool. If the pool is $100 then each person makes $10 in bonus.

Therefor you must be able to increase the bonus pool by atleast $10, to $110 in the next year or two, in order for the firm to break even by hiring you.

So what do you bring to the table that allows the firm to increase its profits? how good are your networking, math, C or C++, optimization skills, what market structure insights do you have?

Re: Barbarians at the Gateways: High-frequency Trading and Exchange Technology

#73

Post by sseveran »

manishsharan wrote: post #26

Can someone please tell us what is the return or for an hft fund vs. the market in the long run say 5 years. Also , are there hft funds available to general public for investing.

There are no funds (that I know of) that except outside investments. Most are proprietary trading groups meaning they don't solicit investment. As far as returns they can be big. RenTech Medallion has thrown up impressive numbers for years, many 50% or more. Most of the firms that I know of are north of 50% in the small to medium sized space. If you want to peek inside a larger one look at GETCOs S1.

Re: Barbarians at the Gateways: High-frequency Trading and Exchange Technology

#74

Post by tedunangst »

xradionut wrote: post #12
blumkvist wrote: post #9

Earlier quoted context omitted.

I hope "amazed" is just poor wording.

I think much of the effort is wasted. When you hire embedded designers to program FPGAs and ASICs just to be a few nanoseconds faster in your rent-seeking, it's a bloody shame.

But if you do it to mine bitcoins, you're a visionary.

Re: Barbarians at the Gateways: High-frequency Trading and Exchange Technology

#75

Post by sseveran »

selmnoo wrote: post #16
kasey_junk wrote: post #10

Earlier quoted context omitted.

Liquidity has certainly gone up. Also, it is hard to prove a causal relationship, but with the rise of electronic trading and HFT, price spreads and fees have come down. I can't prove it, but I believe that insider trading is also much less rampant in modern electronic systems than it was in the older pit based markets.

The liquidity it provides is often very low quality. When liquidity in the old days was added, the players involved had to operate under stricter regulations -- they had to post a quote that was part of the National Best Bid and Offer a minimum percentage of time. With HFT it's a wild west scenario. There's a lot of uncertainty and risk of failure in many of its steps.

That is categorically incorrect. HFT firms like Getco are official market makers and have all the same responsibilities.

Re: Barbarians at the Gateways: High-frequency Trading and Exchange Technology

#76

Post by HockeyPlayer »

manishsharan wrote: post #26

Can someone please tell us what is the return or for an hft fund vs. the market in the long run say 5 years. Also , are there hft funds available to general public for investing.

> Are there hft funds available to general public for investing?

No, one of the characteristics of HFT is that the returns are high and the capacity is low.

Re: Barbarians at the Gateways: High-frequency Trading and Exchange Technology

#77

Post by chollida1 »

HockeyPlayer wrote: post #76
manishsharan wrote: post #26

Can someone please tell us what is the return or for an hft fund vs. the market in the long run say 5 years. Also , are there hft funds available to general public for investing.

> Are there hft funds available to general public for investing? No, one of the characteristics of HFT is that the returns are high and the capacity is low.

> one of the characteristics of HFT is that the returns are high and the capacity is low.

The second part is correct, the first, not so much anymore.

http://www.businessweek.com/articles/2013-06-06/how-the-robo...

Re: Barbarians at the Gateways: High-frequency Trading and Exchange Technology

#78

Post by sumodds »

vasilipupkin wrote: post #68
sumodds wrote: post #63

Earlier quoted context omitted.

I am not as much against automated trading, as I am against High Frequency Trading. Automated trading itself is still dangerous, in that many of these algorithms are black-boxes. They induce complexity and turbulence into the system. For example the minor bubble just before 2008 crash. May be automated trading/HFT was lucky that, the crash wasn't majorly their part. But it is a ticking time bomb. Now with HFT it is a…

"And how is it of enormous benefit to society, when it is concentrated in fewer hands". So by your logic, Tesla or SpaceX are not of benefit to society because it's concentraded in very few ( 2 ) hands of Elon Musk ? Secondly, anything that is profitable and legal is of benefit to society, unless it generates obviously negative externalities ( costs for others ) such as pollution the reason is, our society is mainly…

That is a weak argument :). Not really, there is a certain and rather high possibility that common man can buy Tesla cars. Sure, there is a premium price tag now, since we are still chipping the first blocks in making that technology a n economic reality. And that specific case is all the more important, since as you too argue helps to reduce pollution.

"Anything that is profitable and legal is of benefit to society" is a little misleading. The definition of what is "legal" is an evolving thing. We know it is dangerous, in that can cause huge fluctuation in the financial control system without real benefit for the society as a whole except a very small percentage. I am not speaking of a central authority that decides it, but our common collective consciousness that should decide it. And again there is not one thing, which has no obvious negative externalities. But the question is whether the positives overcome the negatives. In this case, for the society as whole there is little benefit.

Exactly, when the very society is built on that idea that everyone can pursue whatever they want, the access to opportunities should be equal. HFTs are tilting the balance in one way (helping the rich getting richer) , can cause economic crashes, which hit the rich and poor alike. Now the aftereffects of crashes on the rich (except in case of exceptions) are not as tragic, as in case of the poor. For the poorer part of the society, it pulls the rug under them.

Re: Barbarians at the Gateways: High-frequency Trading and Exchange Technology

#79

Post by 3327 »

rurounijones wrote: post #4
3327 wrote: post #2

This is a well informed and put together article. Up to date technically and the Author knows what he is talking about. As a former HF trader I endorse it, great piece.

Out of curiosity. Why "Former"?

I walked away and moved onto more exciting things like entrepreneurship. As the author states, HFT is like rebuilding gravity models every week, so your product is not sustainable and doesn't grow, cash generation from HFT also is usually not scalable on a per strategy basis.

Re: Barbarians at the Gateways: High-frequency Trading and Exchange Technology

#80

Post by 3327 »

cs702 wrote: post #27

So much talent... focused on the buying and selling of securities , instead of creating new things that will make the world better in a directly measurable manner. Virtually all trading volume today consists of buying and selling old securities -- essentially, legal claims on existing assets. The sale of new securities issued to finance the creation of new products and services -- for example, a company selling new s…

This is why I left. It is actually the ultimate brain drain for the United States.
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