RE: raging bulls
What prevents someone to fake an earlier timestamp? Money can bend light, sure can a few msec. yi -Original Message- From: Naslund, Steve [mailto:snasl...@medline.com] Sent: Wednesday, August 08, 2012 9:53 AM To: nanog@nanog.org Subject: RE: raging bulls It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. Steven Naslund -Original Message- From: Eugen Leitl [mailto:eu...@leitl.org] Sent: Wednesday, August 08, 2012 2:02 AM To: nanog@nanog.org Subject: Re: raging bulls On Tue, Aug 07, 2012 at 05:15:51PM -1000, Michael Painter wrote: Eugen Leitl wrote: http://www.wired.com/business/2012/08/ff_wallstreet_trading/all/ Some interesting, network-relevant content there (but for the neutrino and drone rubbish). 'Rubbish' might be a pretty strong word when you're talking about the players in this space. If you want to shave off ms, using a source that takes at least minutes to accrue enough signal for a single bit is definitely not what you want. And drones across the Atlantic is way too Rube Goldbergesque to contemplate. My favorite from the article: But perhaps not even Einstein fully appreciated the degree to which electromagnetic waves bend in the presence of money. Maybe they should invest into a dense, a really low LEO sat constellation, and go by way of LoS laser. This e-mail may contain Sprint Nextel proprietary information intended for the sole use of the recipient(s). Any use by others is prohibited. If you are not the intended recipient, please contact the sender and delete all copies of the message.
Re: raging bulls
http://www.ted.com/talks/kevin_slavin_how_algorithms_shape_our_world.html One of my favourite nerd talks. Although largely about trading algorithms it covers trading networks ... Best wishes.
Re: raging bulls
On Tue, Aug 07, 2012 at 05:15:51PM -1000, Michael Painter wrote: Eugen Leitl wrote: http://www.wired.com/business/2012/08/ff_wallstreet_trading/all/ Some interesting, network-relevant content there (but for the neutrino and drone rubbish). 'Rubbish' might be a pretty strong word when you're talking about the players in this space. If you want to shave off ms, using a source that takes at least minutes to accrue enough signal for a single bit is definitely not what you want. And drones across the Atlantic is way too Rube Goldbergesque to contemplate. My favorite from the article: But perhaps not even Einstein fully appreciated the degree to which electromagnetic waves bend in the presence of money. Maybe they should invest into a dense, a really low LEO sat constellation, and go by way of LoS laser.
RE: raging bulls
It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. Steven Naslund -Original Message- From: Eugen Leitl [mailto:eu...@leitl.org] Sent: Wednesday, August 08, 2012 2:02 AM To: nanog@nanog.org Subject: Re: raging bulls On Tue, Aug 07, 2012 at 05:15:51PM -1000, Michael Painter wrote: Eugen Leitl wrote: http://www.wired.com/business/2012/08/ff_wallstreet_trading/all/ Some interesting, network-relevant content there (but for the neutrino and drone rubbish). 'Rubbish' might be a pretty strong word when you're talking about the players in this space. If you want to shave off ms, using a source that takes at least minutes to accrue enough signal for a single bit is definitely not what you want. And drones across the Atlantic is way too Rube Goldbergesque to contemplate. My favorite from the article: But perhaps not even Einstein fully appreciated the degree to which electromagnetic waves bend in the presence of money. Maybe they should invest into a dense, a really low LEO sat constellation, and go by way of LoS laser.
RE: raging bulls
There should be some sorts of way to authenticate a GPS timestamp. GPS may not be able to do it today but a satellite network could in theory cryptographically sign a time stamp so that is can only be decrypted by the receiver at the market data center. Either that or some kind of ground based hardware device that syncs with a satellite and generates a key stream so that the receiver can tell when something happened by where the device is in the stream. I am thinking of something along the lines of SecureID where the keys change every so often, I would just have to be lots faster. Steve -Original Message- From: Chu, Yi [NTK] [mailto:yi@sprint.com] Sent: Wednesday, August 08, 2012 9:01 AM To: Naslund, Steve; nanog@nanog.org Subject: RE: raging bulls What prevents someone to fake an earlier timestamp? Money can bend light, sure can a few msec. yi -Original Message- From: Naslund, Steve [mailto:snasl...@medline.com] Sent: Wednesday, August 08, 2012 9:53 AM To: nanog@nanog.org Subject: RE: raging bulls It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. Steven Naslund -Original Message- From: Eugen Leitl [mailto:eu...@leitl.org] Sent: Wednesday, August 08, 2012 2:02 AM To: nanog@nanog.org Subject: Re: raging bulls On Tue, Aug 07, 2012 at 05:15:51PM -1000, Michael Painter wrote: Eugen Leitl wrote: http://www.wired.com/business/2012/08/ff_wallstreet_trading/all/ Some interesting, network-relevant content there (but for the neutrino and drone rubbish). 'Rubbish' might be a pretty strong word when you're talking about the players in this space. If you want to shave off ms, using a source that takes at least minutes to accrue enough signal for a single bit is definitely not what you want. And drones across the Atlantic is way too Rube Goldbergesque to contemplate. My favorite from the article: But perhaps not even Einstein fully appreciated the degree to which electromagnetic waves bend in the presence of money. Maybe they should invest into a dense, a really low LEO sat constellation, and go by way of LoS laser. This e-mail may contain Sprint Nextel proprietary information intended for the sole use of the recipient(s). Any use by others is prohibited. If you are not the intended recipient, please contact the sender and delete all copies of the message.
RE: raging bulls
Also, we are only talking about a delay long enough to satisfy the longest circuit so you could not push your timestamp very far back and would have to get the fake one done pretty quickly in order for it to be worthwhile. The real question is could you fake a cryptographic timestamp fast enough to actually gain time on the system. Possibly but it would be a very tall order. Steve -Original Message- From: Chu, Yi [NTK] [mailto:yi@sprint.com] Sent: Wednesday, August 08, 2012 9:01 AM To: Naslund, Steve; nanog@nanog.org Subject: RE: raging bulls What prevents someone to fake an earlier timestamp? Money can bend light, sure can a few msec. yi -Original Message- From: Naslund, Steve [mailto:snasl...@medline.com] Sent: Wednesday, August 08, 2012 9:53 AM To: nanog@nanog.org Subject: RE: raging bulls It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. Steven Naslund
RE: raging bulls
It is a tough technical problem to be sure but not insurmountable. Think about a system in which the real time market data is also encrypted in such a way that it can only be decrypted at a particular point in time. Essentially it would be like each trading system receiving an envelope that must be opened simultaneously. Picture a satellite network that is time synchronized to transmit a key stream used to decrypt the data that is received over a terrestrial network. I am not talking about easy to implement here just what is possible. It is probably easier than faster than light travel although I supposed real estate on Mt Everest could get very valuable (closer to the satellites) :) Steve -Original Message- From: Brett Frankenberger [mailto:rbf+na...@panix.com] Sent: Wednesday, August 08, 2012 9:08 AM To: Naslund, Steve Cc: nanog@nanog.org Subject: Re: raging bulls On Wed, Aug 08, 2012 at 08:52:51AM -0500, Naslund, Steve wrote: It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. This isn't about giving international traders a fair shake. This sort of latency is only relevant to high speed program trading, and the international traders can locate their servers in NYC just as easily as the US-based traders. What it's about is allowing traders to arbitrage between markets. When product A is traded in, say, London, and product B is traded in New York, and their prices are correlated, you can make money if your program running in NY can learn the price of product B in London a few milliseconds before the other guy's program. And you can make money if your program running in London can learn the price of product A in NY a few milliseconds before the other guy's program. Even if you execute the trades based on a GPS timestamp (I'm ignoring all the logistics of preventing cheating here), it doesn't matter, because the computer that got the information first will make the trading decision first. -- Brett
Re: raging bulls
On Wed, Aug 08, 2012 at 08:52:51AM -0500, Naslund, Steve wrote: It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. This isn't about giving international traders a fair shake. This sort of latency is only relevant to high speed program trading, and the international traders can locate their servers in NYC just as easily as the US-based traders. What it's about is allowing traders to arbitrage between markets. When product A is traded in, say, London, and product B is traded in New York, and their prices are correlated, you can make money if your program running in NY can learn the price of product B in London a few milliseconds before the other guy's program. And you can make money if your program running in London can learn the price of product A in NY a few milliseconds before the other guy's program. Even if you execute the trades based on a GPS timestamp (I'm ignoring all the logistics of preventing cheating here), it doesn't matter, because the computer that got the information first will make the trading decision first. -- Brett
Re: raging bulls
On Wed, Aug 08, 2012 at 09:08:18AM -0500, Naslund, Steve wrote: Also, we are only talking about a delay long enough to satisfy the longest circuit so you could not push your timestamp very far back and would have to get the fake one done pretty quickly in order for it to be worthwhile. The real question is could you fake a cryptographic timestamp fast enough to actually gain time on the system. Possibly but it would be a very tall order. Why would generating a fake timestamp take longer than generating a real one? I assume you're proposing an architecture where if I were a trader, I'd have to buy a secure physical box from a third party trusted by the market, and I'd send my trade to that box and then it would timestamp it and sign it and then I'd send it to the market. Obvious failure modes include: (a) spoofing the GPS signal received by the box, so the box thinks the current time is some number of milliseconds before the actual time (how to do this is well understood and solved, and because GPS is one-way, even if the satellites started signing their time updates, that would only prevent spoofing times in the future, it wouldn't prevent spoofing times on the past), and (b) generating 10 trades at time X, then holding on to the signed messages until X+Y, and then only sending the ones that are profitable based on the new information you learned between (X) and (X+Y). Yes, there are some solutions. But most of those solutions have problems of their own. It's overwhelmingly difficult. (But also irrelevant, as I noted in my other post). If you think this through to what a working implementation would look like in detail, I think the failures become more obvious ... -- Brett
RE: raging bulls
Naslund, Steve SNaslund () medline com wrote: It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. I can't see any incentive for any *influential* party involved (the big firms or the exchanges) to make the process fair. The exchange gets more money for low-latency network access and expensive co-location. The moneyed firms with HFT capability of course do not want anyone else to have their advantage. Even governments don't want long-distance traders to have fair access, as that reduces the advantage of local tax-paying firms, thereby reducing tax revenue, jobs, etc. HFT is not just a US phenomenon; all major exchanges have basically the same sort of phenomenon. So UK-based trading firms with HFT setups very close to the FTSE exchanges have advantage over US-based firms that don't have HFT setups in London. -- RPM
Re: raging bulls
On 8/8/12 6:52 AM, Naslund, Steve wrote: It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Given an uneven distribution of sizes it's kind of hard to fill orders in the order in which they arrived (unmatched orders are part of a normally functioning market). A large bid may require the accumulation of sell orders while smaller orders may be more easily matched. Some HF trading strategies of course rely on this. Today large orders may be filled on more than one ecn at a time so the notion of central agency in clearance is also a little challenging. Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. it's simpler to just locate the trading platforms in the same place and give everyone the same length cable. The incentives are in the wrong place too deliberately induce delay without some externality (like a regulator) guiding behavior. If one sees current behavior as undesirable there are other methods such as the adjustment of transaction costs that might be more effective.
RE: raging bulls
Here is another thought. Many people think that the rapid computer trading does not really add any value to the market in any case since there is no long term investment. That point is debatable but if you really believed that, you could end all of that by adding a randomized delay to data transmission and processing of transactions to make the entire debate pointless and ensure that no one has any consistent advantage at all. Steve -Original Message- From: Naslund, Steve [mailto:snasl...@medline.com] Sent: Wednesday, August 08, 2012 9:08 AM To: nanog@nanog.org Subject: RE: raging bulls Also, we are only talking about a delay long enough to satisfy the longest circuit so you could not push your timestamp very far back and would have to get the fake one done pretty quickly in order for it to be worthwhile. The real question is could you fake a cryptographic timestamp fast enough to actually gain time on the system. Possibly but it would be a very tall order. Steve -Original Message- From: Chu, Yi [NTK] [mailto:yi@sprint.com] Sent: Wednesday, August 08, 2012 9:01 AM To: Naslund, Steve; nanog@nanog.org Subject: RE: raging bulls What prevents someone to fake an earlier timestamp? Money can bend light, sure can a few msec. yi -Original Message- From: Naslund, Steve [mailto:snasl...@medline.com] Sent: Wednesday, August 08, 2012 9:53 AM To: nanog@nanog.org Subject: RE: raging bulls It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. Steven Naslund
Re: raging bulls
On Wed, Aug 8, 2012 at 8:08 AM, Brett Frankenberger rbf+na...@panix.com wrote: Even if you execute the trades based on a GPS timestamp (I'm ignoring all the logistics of preventing cheating here), it doesn't matter, because the computer that got the information first will make the trading decision first. -- Brett Such a system would be pretty complicated because it would also have to prevent intentional 'backdating' of trades as well. Then you've got the market data itself (as just mentioned) -- getting the information first is a big part of the latency problem for the quants. -- Genius might be described as a supreme capacity for getting its possessors into trouble of all kinds. -- Samuel Butler
RE: raging bulls
Are there not mechanisms to handle replay attacks? There is also the minor matter of fraud and regulatory concerns. You might get away with it a few times but not often enough to avoid a potential death penalty of being disconnected. Steve -Original Message- From: Alexandre Snarskii [mailto:s...@snar.spb.ru] Sent: Wednesday, August 08, 2012 9:46 AM To: Naslund, Steve Cc: Alexandre Snarskii Subject: Re: raging bulls On Wed, Aug 08, 2012 at 09:08:18AM -0500, Naslund, Steve wrote: Also, we are only talking about a delay long enough to satisfy the longest circuit so you could not push your timestamp very far back and would have to get the fake one done pretty quickly in order for it to be worthwhile. The real question is could you fake a cryptographic timestamp fast enough to actually gain time on the system. Possibly but it would be a very tall order. Looks like replay attack works here: attacker can easily record encrypted timestamps and reuse them some milliseconds later, claiming I had no knowledge on how market changed during this time, it's my provider had to re-route my traffic!! Steve -Original Message- From: Chu, Yi [NTK] [mailto:yi@sprint.com] Sent: Wednesday, August 08, 2012 9:01 AM To: Naslund, Steve; nanog@nanog.org Subject: RE: raging bulls What prevents someone to fake an earlier timestamp? Money can bend light, sure can a few msec. yi -Original Message- From: Naslund, Steve [mailto:snasl...@medline.com] Sent: Wednesday, August 08, 2012 9:53 AM To: nanog@nanog.org Subject: RE: raging bulls It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. Steven Naslund -- In theory, there is no difference between theory and practice. But, in practice, there is.
RE: raging bulls
No, not ever shorter under-see cables no. NEUTRINOS -shooting information at speed of light right through the earth (not around it) Should there be any high speed traders in here this is what you should invest all your money in to gain advantage against your competition First it was cold war times which gave birth to the Internet, that has changed our lives from the ground up Maybe this time it will be the stock markets and scent of money that will give the communication development spiral an unimaginable momentum adam -Original Message- From: Naslund, Steve [mailto:snasl...@medline.com] Sent: Wednesday, August 08, 2012 4:14 PM To: nanog@nanog.org Subject: RE: raging bulls It is a tough technical problem to be sure but not insurmountable. Think about a system in which the real time market data is also encrypted in such a way that it can only be decrypted at a particular point in time. Essentially it would be like each trading system receiving an envelope that must be opened simultaneously. Picture a satellite network that is time synchronized to transmit a key stream used to decrypt the data that is received over a terrestrial network. I am not talking about easy to implement here just what is possible. It is probably easier than faster than light travel although I supposed real estate on Mt Everest could get very valuable (closer to the satellites) :) Steve -Original Message- From: Brett Frankenberger [mailto:rbf+na...@panix.com] Sent: Wednesday, August 08, 2012 9:08 AM To: Naslund, Steve Cc: nanog@nanog.org Subject: Re: raging bulls On Wed, Aug 08, 2012 at 08:52:51AM -0500, Naslund, Steve wrote: It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. This isn't about giving international traders a fair shake. This sort of latency is only relevant to high speed program trading, and the international traders can locate their servers in NYC just as easily as the US-based traders. What it's about is allowing traders to arbitrage between markets. When product A is traded in, say, London, and product B is traded in New York, and their prices are correlated, you can make money if your program running in NY can learn the price of product B in London a few milliseconds before the other guy's program. And you can make money if your program running in London can learn the price of product A in NY a few milliseconds before the other guy's program. Even if you execute the trades based on a GPS timestamp (I'm ignoring all the logistics of preventing cheating here), it doesn't matter, because the computer that got the information first will make the trading decision first. -- Brett
RE: raging bulls
This is a bit like an arms race. The markets will most likely have to level their own playing field. That is up to them. The markets may like high frequency trading but if more and more traders become disadvantaged they will act to level things out. They also would not like the government to step in which they are always apt to do. The government in general I think seems highly negative on high frequency trading because there is some systemic risk in systems handling large amounts of transactions at such a high rate. We have seen tremendous errors in the past and we are almost reaching the point where a firm will not be able to survive a system error or could cause a cascade effect. The question the markets and regulators always have to ask themselves is whether the market is fundamentally fair. The government has the additional duty of determining whether a market activity is detrimental to the economy of the nation involved. It is not for me to answer the question of whether this should be implemented, I am just saying that it is technically feasible to do so. As far as locating all the servers in the same place on the same length of cable, that apparently is not in the cards or you would not see the high cost specialized networks from Chicago to NYC. Steve -Original Message- From: joel jaeggli [mailto:joe...@bogus.com] Sent: Wednesday, August 08, 2012 9:23 AM To: Naslund, Steve Cc: nanog@nanog.org Subject: Re: raging bulls On 8/8/12 6:52 AM, Naslund, Steve wrote: It seems to me that all the markets have been doing this the wrong way. Would it now be more fair to use some kind of signed timestamp and process all transactions in the order that they originated? Given an uneven distribution of sizes it's kind of hard to fill orders in the order in which they arrived (unmatched orders are part of a normally functioning market). A large bid may require the accumulation of sell orders while smaller orders may be more easily matched. Some HF trading strategies of course rely on this. Today large orders may be filled on more than one ecn at a time so the notion of central agency in clearance is also a little challenging. Perhaps each trade could have a signed GPS tag with the absolute time on it. It would keep everyone's trades in order no matter how latent their connection to the market was. All you would have to do is introduce a couple of seconds delay to account for the longest circuit and then take them in order. They could certainly use less expensive connections and ensure that international traders get a fair shake. it's simpler to just locate the trading platforms in the same place and give everyone the same length cable. The incentives are in the wrong place too deliberately induce delay without some externality (like a regulator) guiding behavior. If one sees current behavior as undesirable there are other methods such as the adjustment of transaction costs that might be more effective.
RE: raging bulls
It might be complicated. I am just saying it is probably not as complicated as a permanent transatlantic aerial drone network or owning your own particle accelerator. I think all the anti-replay, anti-backdating concerns have probably been solved in the various public/private key networks, if not, there are certainly ways to do so. My only point was to say that there are technical ways to make high freq trading more inherently fair and there does not need to be a connectivity arms race unless that is what the markets want to do. The markets created this monster, they can't really complain about something they have the power to eliminate any time they want. If the majority of traders feel they are getting screwed, the policies will change. Looking at this from a strictly engineer's point of view, it seems like a very, very, risky way to handle extremely large sums of money. The systems are already outpacing the speeds they can be controlled and managed. At some point the systemic risk to the entire system will be the regulating factor. Let's hope they can head it off before it happens. I can very well see a point where a major system meltdown will cause an entire day of trading to be unwound because there is no other choice. You could always require all the trading systems to be in a single place but there will always be backend systems to control and monitor them somewhere else. Hey, putting everyone in the same place is how markets worked before when you needed a guy standing on the floor in order to operate. Steve -Original Message- From: Michael Loftis [mailto:mlof...@wgops.com] Sent: Wednesday, August 08, 2012 9:56 AM To: nanog@nanog.org Subject: Re: raging bulls On Wed, Aug 8, 2012 at 8:08 AM, Brett Frankenberger rbf+na...@panix.com wrote: Even if you execute the trades based on a GPS timestamp (I'm ignoring all the logistics of preventing cheating here), it doesn't matter, because the computer that got the information first will make the trading decision first. -- Brett Such a system would be pretty complicated because it would also have to prevent intentional 'backdating' of trades as well. Then you've got the market data itself (as just mentioned) -- getting the information first is a big part of the latency problem for the quants. -- Genius might be described as a supreme capacity for getting its possessors into trouble of all kinds. -- Samuel Butler
Re: raging bulls
Here is another thought. Many people think that the rapid computer trading does not really add any value to the market in any case since there is no long term investment. It clearly doesn't. A proposal that's been kicking around for a while is to clear all trades once a second, so everyone has plenty of time to get them in no matter where they are. This has no chance of going anywhere, of course, until there's enough software disasters to provide political pushback against the leeches doing high speed trading. There is a new data center in Keflavik, Iceland. They advertise all of its fabulous green characteristics, e.g., power is from geothermal, and A/C is by opening the window, but it also happens to be closer to New York than anywhere in Europe, and closer to London than anywhere in North America, with good cable connections to both. R's, John
RE: raging bulls
Just leaving room for disagreement on the value of HFT. It would seem to add nothing but more volatility to the market and make small events more extreme. There are also big risks of systems making convention wisdom decisions in unconventional situations. Can someone pull the plug fast enough if some unpredicted event makes the conventional wisdom wrong? The article in question uses an example like oil price goes up, airline stocks go down. This sounds true enough but how many assumptions like this exist that might not ALWAYS be true. Is it fair to crater the airline industry or any other one because some convention like that causes a huge fast momentum swing. I guess the danger is that all the assumptions are those of a human but done at the speed of computing without natures built in safety catch of time to reconsider the assumption before pulling the trigger. We worry greatly over the software that controls aircraft and nuclear power plants but this software has a much greater potential for worldwide disaster and being a competitive market is probably changed many, many times more often in a less controlled way. You have to decide whether a global market meltdown and an aircraft crash can be compared but both are bad events. Again, this is a risk / reward situation that the markets and regulators need to deal with. I am normally not a big advocate for government control of anything but clearly there is a need for regulating an industry that has again and again done some very risky things that have very tangible effects on the world economy. When the speed limit of light becomes a major worry for your system, it peaks my radar as being a system that is running on the edge. We are getting a bit off the NANOG subject which would be the network implications of this so I will curtail the general discussing of HFT. Steve -Original Message- From: John Levine [mailto:jo...@iecc.com] Sent: Wednesday, August 08, 2012 10:54 AM To: nanog@nanog.org Cc: Naslund, Steve Subject: Re: raging bulls Here is another thought. Many people think that the rapid computer trading does not really add any value to the market in any case since there is no long term investment. It clearly doesn't. A proposal that's been kicking around for a while is to clear all trades once a second, so everyone has plenty of time to get them in no matter where they are. This has no chance of going anywhere, of course, until there's enough software disasters to provide political pushback against the leeches doing high speed trading. There is a new data center in Keflavik, Iceland. They advertise all of its fabulous green characteristics, e.g., power is from geothermal, and A/C is by opening the window, but it also happens to be closer to New York than anywhere in Europe, and closer to London than anywhere in North America, with good cable connections to both. R's, John
the topic (was: raging bulls)
On Wed, Aug 08, 2012 at 11:10:41AM -0500, Naslund, Steve wrote: We are getting a bit off the NANOG subject You think? A
RE: the topic (was: raging bulls)
Thanks for such an intelligent comment that really adds to the discussion. For the record, 1. An article was posted talking about high speed network options. 2. I discussed why they might not be necessary 3. Various comments talked about high speed trading 4. I ended a subject that obviously veered off of networking So yeah I think to answer your question. Steve -Original Message- From: Andrew Sullivan [mailto:asulli...@dyn.com] Sent: Wednesday, August 08, 2012 11:38 AM To: nanog@nanog.org Subject: the topic (was: raging bulls) On Wed, Aug 08, 2012 at 11:10:41AM -0500, Naslund, Steve wrote: We are getting a bit off the NANOG subject You think? A
Re: raging bulls
On Wed, 08 Aug 2012 09:08:27 -0500, Brett Frankenberger said: What it's about is allowing traders to arbitrage between markets. When product A is traded in, say, London, and product B is traded in New York, and their prices are correlated, you can make money if your program running in NY can learn the price of product B in London a few milliseconds before the other guy's program. And you can make money if your program running in London can learn the price of product A in NY a few milliseconds before the other guy's program. If you can money off those milliseconds, then some government supervision is in order - that market is too damned volatile. I see a lot of people proposing ways to make it work, when what modern civilization needs is some market controls to make it *NOT* work. Didn't we learn our lesson the *last* time the financial system almost collapsed because financial wizards found a new way to slice and dice stuff? pgpguKS561Pml.pgp Description: PGP signature
raging bulls
http://www.wired.com/business/2012/08/ff_wallstreet_trading/all/ Some interesting, network-relevant content there (but for the neutrino and drone rubbish).
Re: raging bulls
Eugen Leitl wrote: http://www.wired.com/business/2012/08/ff_wallstreet_trading/all/ Some interesting, network-relevant content there (but for the neutrino and drone rubbish). 'Rubbish' might be a pretty strong word when you're talking about the players in this space. My favorite from the article: But perhaps not even Einstein fully appreciated the degree to which electromagnetic waves bend in the presence of money.
