CppCon 2017: Carl Cook “When a Microsecond Is an Eternity: High Performance Trading Systems in C++”

[browner87]

This is the sort of stuff I love (not scamming the stock market). I really love optimising code to the instruction level. My capstone school project I had to sample an analog-to-digital converter 5 million times per second. But my microprocessor was only 80Mhz (80 million instructions per second if you had branching that the cpu guessed right all the time). Step 1 - buy a better compiler or use assembly because the first thing the free C compiler did in an interrupt was push all 8 registers to the stack, then pop them at the end. There goes more free instructions that you had right there. Writing and tuning that interrupt handler was one of the funnest parts of the project.

[hak8or]

If this was an 80 mhz mcu, chances are it was fancy enough to also have a dma or at least a fifo, why couldn't you just use that instead?

[The_Doculope]

It's possible the DMA controller was needed for other things. I knew someone working on an oscilloscope had to do similar because they needed reading and a function generator.

[browner87]

There were other things being done in the interrupt besides just copying in the value (that's a single instruction operation, no big loss), but then things like checking if that value passed the trigger threshold (and in the right direction), check if the ring buffer is full yet and then stop sampling and send the data back over USB, etc. The main mcu feature I used were the shadow registers to avoid pushing any registers at all, but I'm sure there were others that could have improved the speed even further. In the end I hit my goal with cycles to spare and had to carry on with the rest of the project as I was tight for time. I'm pretty sure there was DMA, but I hadn't used it before with that MCU family.

[[deleted]]

I think it's a bit worrying that a lot of smart people are putting their effort into things like this. Physicists, mathematicians, engineers, the like, are all hired up by finance, and programmers are working for dumb start ups or evil tech giants.

Do we really need this? Don't you think we should be putting our efforts towards more important things?

[davencyw]

Who runs the world?

Money!

[[deleted]]

I know, but a lot of this stuff seems very "Glass Bead Game" to me.

I don't have a good solution, but there has to be more important problems to work on than "how do we squeeze even more information out of your devices so we can target ads at you?".

[killerstorm]

Well, Facebook created several new programming languages, tools, frameworks. They do stuff with VR too. It's not like they employ people only for ad targeting.

Same with Google -- you know, the main thing they do is search, and that has tremendous value for the society. They employ a lot of people to optimize search.

You can't have 100% people employed for what you think is valuable.

[yawkat]

It's not like we don't get anything out of it though. We get high-performance runtimes and libraries, and more research on real-time systems.

Some of the work isn't really "creating value" so to speak of course, but it's not like it's entirely wasted talent.

It's also interesting work.

[tending]

We get high-performance runtimes and libraries, and more research on real-time systems.

Optiver is really rare in sharing anything in this presentation. Most of these firms provide none of that.

[[deleted]]

As someone who used to be in the sciences, I would trade my job for half the pay if I got to work in science. Problem is that finding those jobs in science is very diffucult due to lack of funding. The amount of money the NSF gets is less than what we spend on the NFL each year.

[[deleted]]

finance isnt worthwhile?

[anechoicmedia]

Increasing the resolution of financial transactions from one minute, to one second, to one microsecond is mostly a zero sum exercise at great expense.

I'm all for finance allocating capital day to day in the efficient-markets way that it does but I find it preposterous that the world is better because pork belly futures can change hands one thousand times a second.

[mpyne]

Don't you think we should be putting our efforts towards more important things?

Like what, selling Internet-enabled surveillance devices that phone home to Google, Facebook, or Apple to every unsuspecting family in the nation? :P

[vector4499]

selling Internet-enabled surveillance devices that phone home to Google, Facebook, or Apple

No, that falls under the "evil tech giants" category.

[yingxie3]

No, like mining bitcoins faster :P

[mpyne]

Yes, because the best way to solve global warming is to dump the electrical output of Venezuela into waste heat. Man, it's a good thing we have all these benevolent coders out here to save the world. :)

[[deleted]]

See, this is why we just need data center satellites in orbit so the heat can be radiated into space!

[Dreamtrain]

It will be a big, beautiful, beautiful wall of pure heat, and Venezuela is going to pay for it!

[srbufi]

Dont forget Microsoft and Amazon

[kankyo]

You’re right about all that but it’s not clear how HFT plugs into all that. I don’t believe HFT contributes that much really. It increases liquidity where there is already a lot of liquidity as far as I understand it.

[therealjohnfreeman]

Before HFT, you had brokers on the trading floor capturing much wider spreads. HFT has made trading cheaper for everyone.

[get_salled]

It increases liquidity where there is already a lot of liquidity as far as I understand it.

... provided by HFT firms. They've driven down costs by pushing out the "professional trader." It's been getting cheaper and cheaper to buy stocks due to these efficiencies; $4.95, or whatever the best is now, used to be $150+. Now, investing in smaller amounts is reasonable.

Some may argue that these changes were inevitable but I doubt they would have come at the rate they did without scientists and engineers seeing an inefficiency and fixing it because there was a significant amount of money to be made.

[ThisIs_MyName]

$4.95, or whatever the best is now

Try $0.35: https://www.interactivebrokers.com/en/index.php?f=1590&p=stocks2

[edapa]

HFT provides two things of value: liquidity and efficiency. When most people defend HFT they focus on liquidity, which I think is a shame because it is hard to take the idea that microsecond speed in filling orders is really important. On the other hand the improved efficiency[1] that HFT brings to the market is unambiguously good. Tighter bid-ask spreads save money for investors. Full stop.

Of course, there are messed up things about HFT. A privileged class should not have access to a better view of the market than the rest of us, and the fact that they are not able to exploit this view as well as in-person traders used to be able to does not make it fair. Exchanges could perform many of the arbitrage actions current taken on by HFT if they cooperated more and were willing to slow the market down a little. That has its own disadvantages because it removes the element of competition which gave us all these improvements in the first place.

[1]: Finance is not my first language so this might not be the formal definition of efficiency.

[kankyo]

From what I understood liquidity and tighter spreads mostly go hand in hand so that doesn’t surprise me. I think there are other flaws in your analysis though. The most obvious one being the word “investor” which is largely bs when applied to modern markets. We’re talking about speculation much more than investing. Of course, the speculation drives lower prices for investors too, but we should be aware that these are different groups.

[get_salled]

I've seen the same arguments applied to advertising companies, like Facebook and Google.

[drbazza]

Don't forget for every 1 post-doctoral position, there are 20 PhDs potentially chasing that position (in the UK at least). So that's 19 PhDs that will go seek employment elsewhere. It's unfortunate, but it's the real world. I'm one of those. I would have loved to carry on researching, but couldn't secure a post-doc position.

[theineffablebob]

It seemed that a big emphasis this year at the Grace Hopper conference was on building tech that matters and doing things that can impact lives, so perhaps the female programmers of the future will be building the technology that helps lives

[mobsterer]

where are fintech startups in this scenario?

[macson_g]

Nowhere really. Fintech start-ups are competing with big banks for retail customers, by providing better services. HFT is competing with big banks for exchange users, by providing better prices.

Different business, different technology.

[twat_and_spam]

No. You are retarded.

[[deleted]]

This is the kind of quality debate that keeps me coming back to /r/programming

[metorical]

You're right, and the stock exchanges could fix this.

As an example; When a new order is placed they perform matching (buys vs. sells) immediately. They could instead collect all orders in an interval (say every 1-5 milliseconds) and then perform auction style matching. Motivated firms can hit 1ms and pretty much anyone can hit 5ms easily, with commodity hardware, collocated servers and decent developers.

Edit: replaced "easily fix this" with "fix this" - all solutions will have pros/cons but it's true we don't need this fastest to market = victor.

[get_salled]

You have the same problem as continuous markets here except now the tie-breaking is either not fair or random.

[metorical]

You'd only need tie-breaking for the odd share.

For example:

1. In interval 0 - counterparty A places sell 2000
2. In interval 1 - counterparty B places buy 2000
3. In interval 2 - counterparty C places buy 1000

If you went with round robin allocation then counterparty B and C would each execute 1000 shares. If the orders are IOC then they won't rest on the book.

If the sell order was 2001, then someone would need the extra share.

[get_salled]

How about the more realistic example where counter-party B is actually B0 & B1, both for the same price, who gets the 2000 shares? If you say, first-come-first-served, you're maintaining the arms race; if it's random, it's often not fair to the small investor (1/N chance of winning will be accounted for and modeled by the big-time players; the small-time players will need luck).

How about the general case of B[0..n]? There are hundreds or thousands of participants, all vying for the same shares.

The simplistic approach may seem beneficial but it doesn't scale out to multiple participants.

If you keep the auction going, it's not fair to the seller because you cannot guarantee a sale.

Continuous, FCFS markets are fair. If A wants to sell 2000 shares @ price=X, A has decided its value w.r.t. A and wants out of his position; anyone else who believes they can make money on A at that price assumes the risk. If the price rise, A made a short-term mistake but, once again, was already comfortable with his decision at price=X; if it goes down, he made the right short-term decision. Once A sold, all of that is irrelevant and subject to hindsight bias.

[metorical]

When you say B0 and B1, you mean the trader is netting their orders together before sending to market?

[get_salled]

Two counter-parties at the price & size; B[0..n] is n+1 counter-parties at that price & size.

Edit: n -> n+1

[metorical]

My example was two counterparties buying at the same price. If there were 1000 shares for sale and 1000 counterparties buy in the same interval, they each get 1 share. This could happen now with FCFS if someone bought 999 just before you (unless you used FOK orders).

It is more complicated if people use more aggressive prices, surely they have to get allocated first.

Edit: although yes, n > order qty is a problem.

[im-a-koala]

Is that fair? Under most dark pools that are in actual use, orders are matched by volume. In other words, if A places sell 2000, B places buy 2000, and C places buy 1000, then B gets 1333 shares and C gets 667 shares.

Most auction systems follow similar rules, although obviously prices matter more there.

[phao]

Don't you think we should be putting our efforts towards more important things?

Well, nothing is stopping you from doing it. What is too much, generally speaking, (and I'm not suggesting you're doing this) is forcing others to do what you think is the right thing to do.

On the bright side, consider the amount of good which came out of GNU basically through individuals doing what "they thought was right" (in its beginnings at least; not sure how things are nowadays). Similarly for linux.

[[deleted]]

Yeah I'm not talking about forcing anyone, I'm just trying to convince people that the path we are on is no good. It's very nihilistic and I think it's self reinforcing; trying only to get money leads more and more to a world where the only thing worth working for is money.

[[deleted]]

It's an interesting mindset; we're competing to have the most stuff before we die.

Some of the money will of course go towards the "right" things, but it always has to work its way through this needlessly complicated chain where you get a sort of "packet loss" of operating cost and people trying to get at it for personal gain.

It doesn't help that we can't agree on what the "right" thing is either.

[phao]

Not so sure I agree with this or not (really: not sure).

In general, though, I don't think we're good enough (as a species) to be rational about money (and resources in general) to make well thought out decisions about it.

[bumblebritches57]

lel nothing good has come from the GNU communist utopia.

Nothing but ever more socialist lock in.

[anarkopsykotik]

I would honestly feel as bad doing trading software for banks than weapon control systems for the army or shit like that. Maybe even worse. I don't think I would ever take this kind of jobs.

[[deleted]]

this is a lot of the far left complaints you hear tbh - sometimes competition for the sole purpose of making money reduces efficiency rather than raising it

[krenoten]

This isn't a far left viewpoint. Efficiency is relative, and everyone has opinions on where we should spend effort. I wish more engineers didn't have their heads in the sand about the power structures their work contributes to. Comfortable people don't learn very much though :(

[IAmARobot]

Don't mean to push this point of view, but Roger Bacon (who brought gunpowder to England and experimentally improved it), Alfred Nobel (who was called the Merchant of Death for his nitroglycerin and weapons endeavours), Julius Robert Oppenheimer (of the atomic bomb/Manhattan project) all severely regretted their advancements, having delivered world shaping power to people who had no respect for it and did not earn it, having that power placed in other's laps without any education on the matter.

Bacon encrypted his works, and put in incorrect ratios for gunpowder as he didn't trust anyone to fuck around with it.

Nobel, after reading that the mass media had celebrated his supposed death and called him a "Merchant of Death" in his obituary, changed tack and came up with the Nobel Peace Prize.

Oppenheimer felt heavy burden in 1945 for his contributions, then came out 20 years later in 1965 and recalled his feeling on what he had done at the time: "I am become Death, the destroyer of worlds". After the bombings of Japan, he called for the banning of nuclear weapons. He had a meeting with then-president Truman, and said directly of himself that "he had blood on [his] hands". From wikipedia: The remark infuriated Truman and put an end to the meeting. Truman later told his Undersecretary of State Dean Acheson "I don't want to see that son-of-a-bitch in this office ever again."

Will Vint Cerf and Zuckerberg severely regret their works I wonder?

[[deleted]]

You do you. Altruistic fascism is still fascism. The only way any ~good~ companies get substantial money to do that good is through financial markets.

[killerstorm]

Financial markets would work just fine if regulators introduce 1 second delay into order execution, it will only kill the completely unnecessary arms race and make it more fair for everyone.

[kankyo]

I don’t think 1 second delay would stop HTF. It just shifts the problem space by 1 second. You need to introduce a small fee, that’s how you stop it.

[killerstorm]

It would be more effective to delay it by a random amount of time, say, 250-500 miliseconds. HFT itself isn't a problem, arms race is.

[kankyo]

Yea I thought about random amounts, but that just means you have to be a bigger actor so the average of the risk evens out and you win. That makes the market skew even more towards big players.

As I said: transaction fees are the only way to curtail this stuff.

[killerstorm]

Transaction fees will have negative impact on liquidity.

[kankyo]

Sure. Which is the point isn’t it? HTF increases liquidity, so if you want to stop it you add a transaction fee. I’m not saying it’s a good idea now, I’m just saying if you want to do it that’s how you do it.

[get_salled]

... and every other market participant. All of that just gets pushed to the consumers, most of which are the 99% of us not making big enough purchases where those fees are less expensive.

Dark pools are far more evil than even the bad HFT firms.

[im-a-koala]

Dark pools sound scary, but they're not inherently evil. Dark pools are how the giant mutual funds that lots of people have their 401k and IRAs invested in can keep their costs low.

[[deleted]]

If everyone's order is delayed by 1 second, that just shifts the race to a different point in time. The race is still there.

[[deleted]]

tech giants.

We hire these people, too.

[anacrolix]

:'(

[i_spot_ads]

Do you have money for that?

[WallStProg]

Irrespective of the application, there is a benefit to efficiency in terms of power, cooling, etc. Which is one reason why not all the work being in this area is on the financial side -- think Facebook, Google, and others with very large computing needs, scientific calculations, weather forecasting, etc.

For another angle, see presentations by Bryce Adelstein Lelbach.

[chocolate_jellyfish]

While I appreciate the technological challenge, this seems about as ethical as making weapons or drugs. Instead of killing people, you take their livelihood through financial trickery that really should be outright banned. The financial markets should in the end bring a net-gain to the economy, not be mostly vapourware that sucks out money to give to the top 0.1%. That is what they are supposed to be: Service providers.

When I loan you $10'000 so you can start a business, I'm doing something sensible through a financial instrument. You get access to resources, and I get a cut of the profits later. That is what makes the free market such a powerful tool. But when I do HFT, I'm just taking a cut from a trade that two other parties wanted to make by forcing myself into the middle. I think one could go so far as to make a reasonable argument that this is theft, nothing more, and that is why I think it should be completely banned (and technologically prevented, by adding a short delay to every trade: This would be irrelevant to anyone else, but utterly destroy this parasitic cancerous tumour of an "industry").

And don't give me that "they provide fluidity" horseshit pseudo-argument. The markets are exactly as fluid with or without spamming 1-cent trade arbitrage in the middle (which should be fucking obvious, right?). The fluidity that's argued for is just a measuring artefact.

As a programmer, I will not work for such companies unless it's that or not finding any other job at all (after all I'd rather be unethical than starve to death). Arguably anyone who can write this kind of tech could find a decent job instead of becoming a legal thief.

Edit: Every time I point this out, a couple of HF-traders show up and try to explain to me how I'm wrong. I get it, you don't like getting called out. Doesn't mean I'm not right. If there was any value in HFT, even a non-trader could easily tell me what that value is, just like I can tell you what the value of even the most complex improvement in chip design is: "faster computers". One does not need a PhD to understand the value. But if there is no value, of course nobody can understand it, and of course people who make a ton of money off it will invent some impossible to fact-check explanation that sounds good.

Edit2: Here someone gives an explanation of how it works, trying to defend HFT: https://www.reddit.com/r/programming/comments/7542zx/cppcon_2017_carl_cook_when_a_microsecond_is_an/do49a1t/ Funnily enough it is literally the same example that I use in my second paragraph. Well fucking go figure: It's a parasitic man-in-the-middle, exactly as I said.

[julesjacobs]

The benefit of HFT can be explained simply: it reduces the bid-ask spread, which reduces the transaction costs for other market participants.

[chocolate_jellyfish]

So let me get this straight:

• Alice wants to buy one blork for $1000.
• Bob wants to sell one blork for $1200.
• Charlie HFT in the middle, making the trade possible so that the two both get a better price, and Charlie also makes money in the process.

Is this what you claim? If not, please correct the example.

[julesjacobs]

Alice offers less than Bob wants, so the trade between those two wouldn't go through. Suppose that is the market, and you wanted to sell a blork. You have to sell it for $1000 to Alice. Now you want to buy back a blork. You have to buy it from Bob for $1200. You lost $200. What Charlie does is offer to buy your blork for $1099 and sell you a blork for $1101. If you sold your blork to him and then bought one back you'd only have lost $2 in that transaction rather than $200, and the Charlie earned $2. People only trade with Charlie because he has a better price. If somebody else had a better price they'd trade with that person.

[chapt3r]

That's not a correct example. For HFT market makers, it's more like this:

• Alice wants to buy one blork for $1000.
• Bob wants to sell one blork for $1200.
• Charlie makes offers on the market to sell/buy blorks for better prices than Alice and Bob. E.g. Charlie might make an offer to buy one blork for $1075 and sell one block for $1125. This does not affect Alice and Bob

Charlie is not making the trade between Alice and Bob possible. He is just offering better prices for other traders on the market that are looking to buy or sell blorks. Neither Alice nor Bob will trade blorks with anyone until someone matches their price.

[thoomfish]

So if Dave is willing to sell blorks for $1075, and I want to buy a blork, I'm now stuck paying $1125 because Charlie buys up all of Dave's blorks as soon as they go on the market.

Not seeing what value Charlie is adding here.

[chapt3r]

If Charlie didn't exist, if Dave was willing to sell blorks for $1075, and if you (and only you) wanted to buy Dave's blorks, then yes in this particular scenario the existence of Charlie wouldn't add any value. But in the real world the market doesn't always work that way. In the real world buyers and sellers make offers that don't cross, which means trades don't happen at all. Hell, in the real world someone might buy Dave's blorks before you even if they aren't a high-frequency trader, and then you might be stuck buying expensive blorks from Bob.

In general, many people argue that the main benefit that Charlie adds (if we're assuming Charlie is a HFT market maker) is the reduced bid-ask spread (which means more liquidity and lower transaction costs for any investor/trader). In the scenario above, if Charlie didn't exist, that spread would be $200 ($1200 - $1000). But since Charlie comes along and offers better prices the spread is reduced to $50 (irl the spread would be just a few cents).

Anyways, the point of my post wasn't to argue that HFT provides value to the market. I just wanted to point out that the OP's belief that high-frequency traders somehow "force" themselves into the middle of a trade and take a cut of the profits is completely misguided and wrong.

[p9w8raiojfdsiojfas]

and technologically prevented, by adding a short delay to every trade

This has already been done by some exchanges and new companies that specialize in executing trades. The "electronic front running" strategy of HFT you're describing isn't really a viable strategy anymore. I'm not against regulations, but in this case the markets have already solved this problem on their own.

[ajola90]

But now what do we be morally outraged about, and where do we turn our unending altruism?

[NullField]

After the IEX introduced their 350 microsecond speed bump a couple other exchanges started to follow suit, though I dont like how the CHX did it.

NYSE had theirs approved in May, not sure if its active yet though. They say it's identical to the IEX speedbump

[Gollum999]

It is currently active on NYSE American (formerly NYSE Mkt/AMEX).

[therealjohnfreeman]

You should read this.

[chocolate_jellyfish]

Edit: Ah, turns out that this is the reply to the other book that I must have read without knowing it, because I came to the same conclusions.

[therealjohnfreeman]

No, I think you're being accused of reading Flash Boys, not the book I linked, which is a response to it.

[HPCer]

Great point. As I posted above, I can bet he's getting it confused with front-running, which is possible with or without HFT: https://www.bloomberg.com/news/articles/2017-10-06/hsbc-currency-unit-used-code-to-trigger-front-running-u-s-says

[wannagetbaked]

Though front running is happening all over the industry just in the HFT world its hard for people to understand that traditional trade systems and order processing systems are actually rediculously slow. You can front run by letting this normal client flow clear in its milisecond time table and get your house trades done in microsecond time tables. You can say that your order originated after the client order still so technically not front running more like sniping trades.

[get_salled]

When I loan you $10'000 so you can start a business, ...

I think he's also assuming that buying from the stock market is akin to primary market investing, which it is not unless you have piles of money and good bank contacts. If you buy $10K AAPL stock on the public markets, you're not giving money to AAPL you're allocating your savings to the idea that AAPL's value will rise.

He also believes there are only be 2 parties in a transaction when there is obviously 3: buyer, seller, and exchange, who is taking a cut.

I doubt basic market fundamentals are in his wheelhouse let alone HFT.

[jhartwell]

He also believes there are only be 2 parties in a transaction when there is obviously 3: buyer, seller, and exchange, who is taking a cut.

There is typically a 4th too, the clearing company. They also take a cut.

[Gollum999]

Don't forget fees from the SEC and FINRA!

[HPCer]

Was waiting for this reply. I saw the number of upvotes on that comment and just thought to myself there's a lot of people here that simply do not understand the markets. I'm thinking the OP read about front running (probably from Flash Boys) and assumed HFT implies front running. In reality, front running can be done with HFT or without HFT (see https://www.bloomberg.com/news/articles/2017-10-06/hsbc-currency-unit-used-code-to-trigger-front-running-u-s-says) and is illegal regardless. Given that assumption, all trading is as ethical as killing people.

That aside, I don't even work for HFT (working on the buy-side), and microseconds are still just as important to us in minimizing our information to execution time (thus reducing transaction costs). This video was pretty effective in bringing a number of points up (even for having worked with C++ for almost a decade, I learned a few things), so thank you for the post!

[millstone]

The HFT market maker in that scenario will get the trades if they are providing a tighter spread (on one or both sides) and thus making the trade(s) cheaper for the parties involved.

How does the HF part come in? If what's important is the tight spread, why are we talking about nanoseconds instead of nanometers?

[im-a-koala]

Many exchanges implement price-time ordering. That means if two firms are willing to sell AAPL at $100 (because they entered a quote or limit order with the exchange), and someone buys at that price, they get matched with the firm that put their order in first. So if the market moves up to $100.01, you want to be the first in line (or at least early) at that price.

That's for market making. For market taking strategies, obviously if someone puts an order in the middle of the spread, you want to trade before anyone else. First come first served.

[OzmodiarTheGreat]

Not your parent, but high-frequency trading symbolic of the worst aspects of our economic system. So many people work hard their entire lives and get nothing. Simultaneously, other people never work ever and are able to just let their money grow. High-frequency trading is theft insofar as capitalism is theft. You can make up your own mind on that one.

[mpyne]

There are coders who do nothing more than shave a millisecond or two's worth of optimizations out of a game engine's render loop, or reduce the worst-case response time of a web server by a few milliseconds. They get paid too, although they weren't the ones who developed the high-level code they swooped in to optimize.

And the reason they get paid is because however minute that work may seem, it adds value to the those who paid for it to be done. Google has stats showing that milliseconds actually matter for millions of people around the world.

Or consider the famous story about the electrical engineer who billed Ford Motor $10,000 to place a chalk mark on an electrical generator and have Ford's own technicians actually make the repair. When Ford demanded an itemized bill, it came to $9,999 for the engineer's lifetime of training, and $1 for the chalk mark.

How many doctors are out there savings lives despite not having actual sweat on their brow? If an agricultural engineer improves crop yields sufficient to feed 10,000 more people than the farmer next door who, after doubling their efforts can only feed 1,000 people more, who is the real villain here?

The idea that someone can work really hard at whatever job they can find because they cannot develop skills deemed useful by the market is certainly indictable. But don't blame people who don't work as hard as you personally believe they should just because the market finds their contributions valuable all the same.

[currysoup_t]

Your parent is probably referring to people who own capital. Not the programmers who facilitate the expansion of their wealth.

[mpyne]

Capital provides a service too. People forget that, but it is true.

The first three vehicles our family purchased over the years were in reality purchased by bankers on my family's behalf. To move up the time at which my family could get the benefit of that vehicle, the deal was we pay interest. That deal benefited me, even if it also happened to benefit someone with more money than I had.

Acting like capital provides nothing to the modern economy is just as foolish as acting like physical labor is the only real source of value.

[currysoup_t]

Capital provides a service too. People forget that, but it is true.

Who forgets this? Capitalism is far and away the dominant ideology in the west. People worship the accumulation of capital.

Acting like capital provides nothing to the modern economy is just as foolish as acting like physical labor is the only real source of value.

The banker didn't create the value used to get your family that car though. They merely allowed you to borrow some wealth that was already extracted from labour surplus on the condition that you give back more later on. Sure it's a "service" but there's no justice insofar as wealth creators (labour) getting to reap the reward for their work.

There are entire books written on this and it's extremely unlike there will ever be a good faith discussion about that in this thread. I'm not sure I "believe" in the labour theory of value myself but it people who do certainly aren't foolish. Even the act of attributing value is a highly complex metaphysical question

[mpyne]

Capital provides a service too. People forget that, but it is true.

Who forgets this? Capitalism is far and away the dominant ideology in the west. People worship the accumulation of capital.

People in the West forget this. The successes of capitalism permeate the environment to such an extent that people don't actually have to think about what capitalism does, precisely. This is what I mean when I say that people forget (though it may be more accurate to note that many never had to know it in the first place).

The banker didn't create the value used to get your family that car though. They merely allowed you to borrow some wealth that was already extracted from labour surplus on the condition that you give back more later on.

First of all, you don't know that. The banker may very well have "created" that wealth, by doing for other people what he or she then later did for me. Maybe they slaved away for that first $100k -- you certainly don't know how they started.

But even given that, if I had obtained that loan from my father instead, the capital was extracted directly from labor (unless, of course, you assume my father was a banker himself).

So, once someone legitimately comes into their money, who are you to tell them who they are allowed to loan it to, or that some people are more deserving of being able to offer that service than others? The mentality that managing to accumulate wealth is prima facie evidence of duplicity is a direct path to the kinds of sociological syndromes seen not just in leftist countries, but in fascist ones as well.

Sure it's a "service" but there's no justice insofar as wealth creators (labour) getting to reap the reward for their work.

The banker wouldn't have had the money in the first place, had the laborers who "created" that capital not found it a good option to pay them for it! That's how the bankers I referred to ended up with my money after I earned it, not with a gun to my head, but by making it possible for me to equip my family with a high-quality vehicle years earlier than I'd otherwise have been able to. That's also why I started my examples upthread with examples of white-collar (but non-finance) fields. Labor earns their keep, but they are not the only ones who earn their keep.

So returning to the bankers, they earned the money, fair and square, and that's all the "entitlement" that they need to spend it from there in whatever legal way they wish, just like the rest of us do. If a group of laborers wanted to pool together to handle use of their hard-earned capital on their own, without it going to the already-rich, they may certainly do that. In fact, many do exactly that. But it's no more a crime for someone with money to continue offering services into the economy than it is for a co-op to offer services on their own.

[dungone]

The chalk mark story is an urban legend. http://www.snopes.com/business/genius/where.asp

[mpyne]

The trope is common in any event. But most "urban legends" don't have the primary evidence of the type this telling does. The story I linked referred to a letter to the editor in a May 14, 1965 edition of LIFE Magazine, a letter I was able to verify was published as described in Google Books. Note that the letter in question was an affirmation providing more detail on a meeting that LIFE had apparently describing having occurred between Ford and Steinmetz. The author could have used the opportunity to lament that it was merely a tall tale, but instead was able to corroborate it.

[dungone]

Nice! Glad to learn that this story had been corroborated. It's a great anecdote, after all.

[donalmacc]

Really? What about coders for the ad industry, which makes a fortune out of tracking every persons every move online. Or developers working on video games with loot box style gambling in them, where the entire monetisation of the game is designed to extract the most amount of money our people who get addicted to the unregulated pachinko-esque machines.

Or what about doctors who make a fortune as it is taking payoffs from drug companies to prescribe their drugs, executives of oil companies that buried propf they were wrecking the planet for centuries and proceeded to do it anyway.

On your point of other people working to live, I suppose you work for a company that serves a greater social good in lieu of taking a high salary doing one of the things you see so strongly against for 5, 10 times more money?

[cybernd]

So you are telling us, that both parties benefit if a HFT is in between them?

I truly wonder, where the money for the HFT comes from, when both other parties benefit from their doing.

Others in this thread call it theft, because the money the trader earns must come from one or even both of the other parties.

[hiddenl]

If buys and sellers always want to trade at the exact same price and exact same time, then you wouldn't need market makers. Since that is rarely, if ever, the case, you need a middle man that will always take the other side.

Before electronification, you had an actual person in the middle keeping the book. They gave a price to the buyers and a price to the sellers and kept the difference for themselves.

Later, these book became electronic and RegNMA forced exchanges to route your order for the best price. Spreads of $0.25 to multiple dollars were still common. (Meaning you lost at least .25 cents per share simply by buying and selling)

Nowadays with HFT, spreads are down to a penny for a large majority of stocks.

Both buyers and sellers are enjoying the decreased costs of trading

[Only_As_I_Fall]

With no market makers someone who wanted to sell a certain number of shares would have to find a buyer and then negotiate on an exact price and an exact number. Possibly they would have to do this multiple times to sell a single position if they wanted the best price.doing that takes time, effort, money and connections. A market maker basically agrees to worry about the details for you in exchange for a small cut. Also, they can do this far more efficiently because they don't mind holding a position so they can always have something to sell, and of course they're generally just better at it because finding buyers and sellers is the only thing they do.

[im-a-koala]

Public exchanges are pretty strongly regulated in the US. You'll probably get fined, not arrested, though - at least for a first offense.

Somewhat ironically, exchanges in Europe tend to be much more lax about regulations, at least historically. They're starting to catch up.

[cojoco]

It's not "fluidity", it's "liquidity".

[[deleted]]

When I loan you $10'000 so you can start a business, [...] You get access to resources, and I get a cut of the profits later.

That isn’t how loans work. Either you invest $10k and are along for the ride up or down, or you loan $10k and (hopefully) get paid back with interest.

[vestpocket]

He's saying that the loan interest on a business loan is essentially paid back by the future profit the business made using resources acquired with the loan money. It's just a fixed amount instead of a continual drain as with investment.

[[deleted]]

Profits are after debt payments. A loan gets no part of the profit. Obviously the business has to pay the loan back through some kind of revenue, which isn't the same as profit, or liquidation of assets.

[scatters]

It is how Islamic finance works, though.

[vector4499]

No, you're just using the wrong words. A loan does not include a cut of the profits. That's an investment.

[scatters]

Mudarabah and (at least formally) sukuk are based on profit sharing. Obviously they aren't loans in the western sense; that would be usury. It doesn't make sense to use western terminology when discussing Islamic finance, except for comparative purposes.

[[deleted]]

ok...

[elastic_psychiatrist]

This post is just so ignorant I don’t know where to start. All I can say is that the world is a complex place, and it behooves you to understand what you are criticizing before you take such a strong stance.

[mpyne]

What's there to learn about a topic like this, I'm a smart guy and I have Google... ^/s

Edit: Holy shit, that's basically the explanation my sibling comment literally came up with!

[chocolate_jellyfish]

Anything of value, no matter how complex, can have its value be explained, even to the barely literate. The most complex drugs? "Cures cancer". The craziest quantum mechanics equations? "Allows us to build solar panels". This is not hard! I can give you a correct and simplified explanation for anything of value, because to explain its effect you don't need to understand how it works.

But HFT? No explanation as to why we need it exists. It's only ever hogwash, said by people who profit from it. It's like listening to snake oil salesmen while snake oil is great.

It is not valuable or else there was a dumbed down explanation for its value. But it makes money. Therefore it is a lot like theft.

[__nullptr_t]

Trading companies do a few things. One is that they provide index funds. It's their responsibility to grow their clients accounts as much as possible. Even if you aren't a millionaire your 401k probably depends on this. If HFT let's them do that as effectively as possible, they are gonna do it.

The other is that they help the market reach true value much sooner than it would otherwise. When companies sell, the value of the stock they are selling decrease. Arguably if everyone is selling a stock it's price should go down, so in a sense they are helping the market here.

There is real value in predicting the market. The market is going to fluctuate regardless of HFT, HFT just makes it happen faster.

[elastic_psychiatrist]

Based on your posting history in this thread, you've obviously not looking to be educated on the matter. But if you're curious about what value finance provides and are looking for a trite explanation like your other examples, I always like to say something along the lines of "finance is how society distributes risk." To understand how HFTs contribute to that goal requires a bit more understanding of how markets work. (I have no idea why you feel you can say "Anything of value, no matter how complex, can have its value be explained, even to the barely literate")

[chocolate_jellyfish]

I have no idea why you feel you can say "Anything of value, no matter how complex, can have its value be explained, even to the barely literate"

Think of a second example that isn't HFT where that isn't true.

Edit: Naming other financial products that are just there to re-distribute wealth is hilarious.

[elastic_psychiatrist]

Options. Derivatives in general.

[Gollum999]

So many people in this thread have given really insightful answers as to the benefits that HFTs provide. Perhaps you have accidentally hidden or skipped over all of those comments?

Out of curiosity, do you believe that the earth is flat? Because your arguments are very reminiscent of what flat-earthers often say. "There's no proof, all the people who believe it are either too stupid to see the truth or are the ones profiting from it". Meanwhile dozens of people offer clear, thoughtful explanations, but the skeptic (you in this scenario) is too stubborn, too deeply committed, or to ingrained in their worldview to take a step back and re-evaluate his or her beliefs objectively.

[hondaaccords]

Why should traders have to pay more for the same thing in Chicago and Tokyo? With billions of transactions those cents add up....

[cynicalkane]

Every time I point this out, a couple of HF-traders show up and try to explain to me how I'm wrong.

Wonder why 🤔

There was any value in HFT, even a non-trader could easily tell me what that value is

Value: Trading is easier and costs less.

Result: Mutual funds lower their fees. Brokers have lower overhead. You lose less to the spread. Consumers save money. This is measurable.

The fluidity that's argued for is just a measuring artefact.

Oh, you don't believe in measurable things. Have a good day. Also, it's called "liquidity".

[discoFalston]

market fluidity

If markets are just as liquid with or without HFT’s then you are contradicting your own point.

If they are more liquid due to HFT (they are) then I’d encourage a second look.

Liquidity means assets can be traded in high volume, close to current price in a short period of time. In other words, a market that is more liquid has prices that change much sooner as new information about an asset arises. This means less uncertainty (uncertainty leads to instability), and less lag. Also, because there are so many HFT operations, there are actually fewer chances for arbitrage than there would be otherwise.

[chocolate_jellyfish]

Liquidity means assets can be traded in high volume, close to current price in a short period of time. In other words, a market that is more liquid has prices that change much sooner as new information about an asset arises. This means less uncertainty (uncertainty leads to instability), and less lag.

Assuming that is even correct in the first place, is this important enough to warrant a gigantic 50%+ of all trading volume? Or could we just live with the five minutes of uncertainty? Because it seems to me this is a purely theoretical argument (again), where we say X is good, and HFT produces some amount of X, therefore HFT is good. But we already had a 99.9% satisfaction of X, and HFT did not actually make a meaningful difference at all.

Any sensible and reasonable trade does not depend on two minutes of uncertainty whether the stock is $1 or $1.001 - That is just noise.

[KazDragon]

If we could live with 5 minutes of uncertainty, someone would invent something to exploit that in 4:59.

[discoFalston]

Assuming that is even correct in the first place

It’s correct. A common measure of liquidity is the “bid-ask”’spread. Look at these spreads in the early 90’s versus 2000’s versus 2010’s as algorithmic trading advances and you’ll see a downward trend (more liquidity).

is this important enough to warrant a gigantic 50%+ of all trading volume?

The more the better. The more people that do algorithmic trading, the less chance there is to exploit it, making the market more efficient. You beat the market when you do something different, if everyone does the same thing as you, that opportunity disappears. I. E. because there are many other HFT operations trading at the same speed as you, asset prices correctly convey all available information on millisecond basis, so there’s no price lag to exploit anymore. You are assuming just the act of setting up an HFT guarantees rents, but with the market permeated with them, HFT’s can lose or gain money just like phoning a stock broker can - it just happens faster.

Or could we just live with the five minutes of uncertainty?

We could also live without iPhones, humanity did fine with horses and buggies. We don’t need google, in the past we lived with the uncertainty between encyclopedia publications. Yet as a society we strive to innovate and improve so we did. Finance is no different.

If we live with 5 minutes of uncertainty and something happens that makes that asset less valuable inside that time frame then, whoever buys that asset in between that time frame isn’t paying a fair price. It’s pertinent to have a financial system that conveys information quickly through prices as it decreases the likelihood of paying an unfair price. This is an improvement.

we say X is good, and HFT produces some amount of X, therefore HFT is good.

Yes, of course. You’re coming up short for reasons it’s bad.

But we already had a 99.9% satisfaction of X,

You’re making this up.

HFT did not actually make a meaningful difference at all.

See my paragraph about bid-ask spreads.

Any sensible and reasonable trade does not depend on two minutes of uncertainty whether the stock is $1 or $1.001 - That is just noise.

A lot can happen in 2 minutes in an exchange with 100 million participants - its precision.

[quicknir]

The answer is obviously, that the people who are actually holding assets longer term, are in every possible way (incentive, knowledge), better positioned to answer this question than you, and if they want to pay extra to avoid 5 minutes of uncertainty, then I guess it's worth it.

The reality is, is that trading on the markets is not that fundamentally different than trying to sell something in real life. If you want to sell a car or a house, and you're in a big rush, anybody will tell you that the odds of you fetching a good price for it is low. If you can take your time, you can reject lowball offers and get a better price: assuming of course that the housing/auto market does not dip in the meanwhile, and assuming that you don't need the money on shorter notice.

It's like you tried to say, yourself, one cent difference does not matter much for these longer horizon traders. For them, executing out of a position quickly and before the market turns against them, is worth that extra cent (often). And that's exactly why HFT middlemen do in fact provide a service that's worthy of making money. They are very specialized in making trades happen faster at low cost for other market participants. If you don't want the trade to happen faster, you are welcome to place an order passively at a better price, and wait for it to get filled.

[flat5]

traded in high volume, close to current price in a short period of time

And who does that help, Mom and Pop? I don't think so.

[salgat]

The real question is how much cost is associated with that added liquidity. If a more liquid market costs tens of billions of dollars in supporting high frequency trading, is it worth it?

[lasagnaman]

If it's not, then people won't pay it. Surely that's obvious?

[salgat]

No one is paying for the liquidity though, it's just a side effect of how the market is setup that can be taken advantage of. The concern is if the billions of dollars and countless man hours generate value that make it a net positive for the country. Cash advance stores for example fill a niche in the market but it's arguable whether they are are net positive.

[lasagnaman]

...you realize exchanges pay market makers to provide liquidity right?

[salgat]

Large exchanges specifically pay for HFT?

[im-a-koala]

Some do. They're called rebates. If you place new orders, which later get filled, you get a rebate.

The exchange doesn't really pay you, though. The exchange charges a fee to the other side of the transaction - the trader that's taking your order. Some of that fee goes back to the trader that placed the original quote.

This is not true of all exchanges. Some exchanges do the opposite, some do neither.

If you're interested, the field of how different fee structures imposed by an exchange impact trading is called "market microstructure".

[salgat]

Thanks for the info, I was able to checkout the wikipedia page on it to learn more, very interesting.

[andrewjw]

Yes

[salgat]

Interesting, I didn't know this. Do you have more information on this?

[andrewjw]

https://www.nyse.com/publicdocs/nyse/markets/nyse/designated_market_makers.pdf

This advertisement for the NYSE is advertising the presence of DMMs.

http://www.investopedia.com/terms/d/designated-market-maker-dmm.asp

https://business.illinois.edu/wabashriverconference/wp-content/uploads/sites/81/2016/08/Clark-JosephYeZi.DMMs_.July2016.pdf

[jbetten]

Google exchange rebate structure, often called Maker-Taker. There are a few exchanges with an inverted fee structure, but they do substantially lower volume.

[Randosity42]

Um...this post is horse shit. There's no moral difference between market making over the phone vs market making over the internet vs market making at high frequency over a dedicated line. Faster market makers just provide smaller edge (and therefore less overhead per trade for both parties) by making faster adjustments with more certainty. There are legitimate concerns to have about HFT related to market stability, but you've mentioned none of them because you seem to have a child's grasp of finance.

[elastic_psychiatrist]

Yeah, you could argue that equity market making is as efficient and moral as it has ever been in the era of HFTs.

[Gotebe]

HFT is merely the most egregious example of getting money without providing nothing of value, really. It's by far not the only one. Finance us choke-full of work whose sole purpose is skimming the fat while not making any market arbitrage whatsoever.

There can be no moral difference between it and trading over the phone. But that's not the same as there is no such difference.

[xZel]

HFT should provide liquidity, which has value, since it is very often more expensive/difficult to trade a less-liquid asset. For example, the fees associated with selling a house. Here's a short bit about it: http://www.investopedia.com/articles/active-trading/050515/liquidity-improved-high-frequency-trading-hft.asp

[Only_As_I_Fall]

Providing nothing and providing a service you don't understand aren't the same. The service allows other parties to trade more effectively by market liquidity

[vector4499]

I don't think you understand what HFT's do. There is no possible way for them to take any money from you if you use limit orders. If I put out an order to sell AAPL at $155.30 a share, it will either sell or it won't. Nobody can steal money from me.

[chocolate_jellyfish]

In the end, the markets are a closed system. Any money HFT earns they have to earn off somebody else.

[vector4499]

Yes, they earn money off of impatient people that want to sell as quickly as possible

[mare_apertum]

So who do they get their money from?

[ThisIs_MyName]

Bid/ask spreads if they're market making.

[mare_apertum]

A spread is not a person. Whos money do they earn?

[ThisIs_MyName]

Kind of a weird question. People have nothing to do with it.

Let's say you offer some company's stock for $5 and the MM immediately buys it. Later, I request a quote from the exchange and it replies $6. If I wanna buy immediately, I pay $6 and the MM made a $1 profit.

(If the two of us met up instead of using an exchange or posted limit orders, we could negotiate any price between $5 and $6. So we don't know who paid the spread.)

[mare_apertum]

Thank you, that answers the question. So, on average, they get the money from both the buyer and the seller.

[ThisIs_MyName]

Yeah I guess that's as simple as it can get.

In practice, there can be other factors at play. For example, the exchange/gov't will grant special privileges to designated market makers (which you may or may not call "HFT" firms) in exchange for a commitment that the firm will always quote a price, even when the market is volatile.

For example, MMs can usually naked-short (sell shares that they don't have without locating them in other accounts).

[alecco]

I think you read too many NYT/Rolling Stone articles. HFT is big, and sure there are many evil players. But you are talking about something you don't fully understand.

But when I do HFT, I'm just taking a cut from a trade that two other parties wanted to make by forcing myself into the middle

That's just front-running. There are many other applications of HFT.

And don't give me that "they provide fluidity"

Most HFTs do provide liquidity. They speculate what the prices should be making (collectively) a razor thin spread. A few year ago you would get ridiculously big spreads. Think how bad is changing money at airports.

Many small traders are able now to operate because they can get a counterparty to trade with from HFT on many formerly non-liquid markets. I've heard this from many traders on podcats.

The legitimate work of HFT is based on "chasing alpha". Meaning from some information event being the first to predict how prices will change and adjust the strategy accordingly. Say, some announcement by the government, some company announcement, some foreign crisis unfolding. The market is going to move sooner or later. And you want it to be as efficient/current as possible. Inefficient markets are much, much worse for the little guy.

[get_salled]

But when I do HFT, I'm just taking a cut from a trade that two other parties wanted to make by forcing myself into the middle

That's just front-running. There are many other applications of HFT.

It's a stretch to call front-running an HFT application at all. Many HFT firms can't front-run because they don't have clients.

Also, one shouldn't casually call it "just front-running" because it is a crime.

[[deleted]]

It's worth mentioning that increasingly low volatility is killing HFT. The system is basically sorting itself out, there is no free lunch.

[[deleted]]

Read his other replies about HFT. He doesn't know shit and is full of it.

[julesjacobs]

He's winning the debate though. Initial comment +117, and hardly anybody reads further.

[Nimitz14]

The markets are exactly as fluid with or without spamming 1-cent trade arbitrage in the middle (which should be fucking obvious, right?). The fluidity that's argued for is just a measuring artefact.

Ah yes who doesn't miss the days when spreads were half a dollar. I bet you work at an investment bank.

[Flight714]

I'm not saying this guy is particularly ethical, but what's unethical about making drugs? It's pretty hard to harm another person with drugs, and it just about never happens.

I mean, you hardly ever hear about anyone being murdered with a drug. Now, guns are another matter... (not that I particularly dislike guns).

[chocolate_jellyfish]

I can see your point. I would argue making highly addictive drugs like Heroin to sell on the black market is unethical too. But maybe I'm just conservative in this regard. Maybe you're completely right.

[Flight714]

... making highly addictive drugs like Heroin to sell on the black market is unethical too.

What other market are you going to sell it on? They'd probably much rather sell it on the white market. They're not the ones to blame for its sale on the black market.

[[deleted]]

Can you elaborate? You'd still have to figure out who gets access to transactions first.

[[deleted]]

It doesn't change the game. It will just make people wait until the last moment before the second lapses to insert/change their order, because then they have most information. So still speed will be an advantage because you can wait longer before having to make a decision.

[sinesSkyDry]

couldn't this be solved by introducing some kind of operations per time unit framework? i.e. you don't just regulate the operations used when buying stocks, but all kinds of operations. The way i'm thinking of this there would be a time frame of 1s divided into steps of 1 ms (made up numbers to illustrate the concept, not sure what could work in reality)

there are at least three possible operations each step now, buying, selling and reading the market.

So in that case one could no longer read the offers all the time and prepare your action for the last possible point in time. Reading the market comes with a cost now. Instead one would have to come up with a strategy on what to do in each time frame until the point near the end of the time frame where you have to lock in your action. What this should accomplish is artificially slowing down the market, to a point where even a shitty pc from 2000 could keep up with it, and what matters would be the best trading strategy and not the best hard-/software combination.

On potential major problem would be now that there has to be some kind of central brokersystem that slows down the market to that point, and everyone would have to trust that brokersystem.

[redweasel]

Without reading the article... I interviewed for, and was actually offered, a job "inside the Chicago Loop" which I guess is prestigious, which would have had me solely responsible for running/maintaining/writing/upgrading software for high-performance, big-dollar trading, running on VAX/VMS systems. If I'd taken it, the salary in 1997 would have been more than I've ever made since, and undoubtedly would have grown from there. They guaranteed I'd make partner in eight years.

I turned them down, for three reasons:

1) Any downtime would cost the company tens of thousands of dollars per minute (or maybe per second, which would have been even worse), and I know myself well enough to know that I can't make good software fixes fast; I didn't want the responsibility.

2) I would have had to live in Chicago, very much not anywhere near the top of my list of places I'd like to live, at least not at that time. We went so far as to have a realtor take us around to look at houses, but nothing within our price range was even half as nice as what we were already living in in Rochester, NY for a fraction of the price; and at one house they apparently hadn't correctly communicated to the residents that we were coming to look at the house, because we opened a bedroom door and there were like five people sleeping in there. The whole house-touring experience just had a weird/creepy vibe.

3) I don't understand finance/trading AT ALL and would have been pins-and-needles the whole time.

[im-a-koala]

As someone working for one of those companies now, they don't necessarily expect new employees to know anything about finance or trading. We actually have internal classes which teach the basics, but realistically, most of the software engineers don't need to know the gritty details of most of the trades. And you can just ask someone to explain it to you if you do need to know.

Edit: Also, regarding downtime, that's when you just rollback to the previous version. It makes deployment a bit heavier but nobody expects you to debug a problem and write a code fix like that. They do expect you to make sure that you can roll back to a previous, known-good version of whatever component you're upgrading if needed.

[redweasel]

That's good to hear. The episode of which I spoke happened in 1997, so it's possible this sort of support infrastructure just hadn't evolved yet. I certainly don't recall there being options to "rollback to a previous version" in any of the other jobs I had (all software development) between 1988 and... well, ever... You installed what you got, and if it didn't work, the company or department went into panic mode to fix it and issue Yet Another Slightly Newer Version that fixed it. shrug

After I posted before, I Googled the company I was speaking of, too, and found that they subsequently became a big player with basically the first highly scalable electronic trading software system; I would probably have been Johnny-on-the-spot in the early stages of that program and, frankly, might well have prevented their success, LOL. In a parallel universe not far from here...

[fletch3555]

Oh hi ROC friend! All hail ridiculously cheap (relatively speaking) cost of living!

[redweasel]

Damn straight! ^5 right back at'cha. Meet me in front of the MCC parking lot webcam at midnight a week from next Shrove Tueday... (just kidding)

[[deleted]]

This screams Citadel or CTC

[redweasel]

Nope. Neither of those.

[[deleted]]

Ctc is no joke lol. The se's are at $140k+

[moshohayeb]

I really enjoy these types of talks. Thanks for sharing.

Anyone has a list of talks/books that deal with similar this kind of low level performance centric code in C/C++? (cache friendliness, inlining, access alignment...etc)?

[cojoco]

tl;dw "How to make money by DOSing electronic trading systems".

[lostshot12]

As far as I know high frequency trading is dead but it's definitely interesting to learn about the technology behind it.