jm + hft   4

Nanex: "The stock market is rigged" [by HFTs]
All this evidence points to one inescapable conclusion: the order cancellations and trade executions just before, and during the trader's order were not a coincidence. This is premeditated, programmed theft, plain and simple. Michael Lewis probably said it best when he told 60 Minutes that the stock market is rigged.


Nanex have had enough, basically. Mad stuff.
hft  stocks  finance  market  trading  nanex  60-minutes  michael-lewis  scams  sec  regulation  low-latency  exploits  hacks 
july 2014 by jm
Online Algorithms in High-frequency Trading - ACM Queue
one-pass algorithms for computing mean, variance, and linear regression, from the HFT world.
linear-regression  variance  mean  variability  volatility  stream-processing  online  algorithms  hft  trading 
october 2013 by jm
Barbarians at the Gateways - ACM Queue

I am a former high-frequency trader. For a few wonderful years I led a group of brilliant engineers and mathematicians, and together we traded in the electronic marketplaces and pushed systems to the edge of their capability.


Insane stuff -- FPGAs embedded in the network switches to shave off nanoseconds of latency.
low-latency  hft  via:nelson  markets  stock-trading  latency  fpgas  networking 
october 2013 by jm
High-frequency trading: The fast and the furious | The Economist

"The NYMEX panel found that Infinium had finished writing the algorithm only the day before it introduced it to the market, and had tested it for only a couple of hours in a simulated trading environment to see how it would perform. The firm's normal testing processes take six to eight weeks. When the algorithm started its frenetic buying spree, the measures designed to shut it down automatically did not work. One was supposed to turn the system off if a maximum order size was breached, but because the machine was placing lots of small orders rather than a single big one the shutdown was not triggered. The other measure was meant to prevent Infinium from selling or buying more than a certain number of contracts, but because of an error in the way the rogue algorithm had been written, this, too, failed to spot a problem."
hft  automation  trading  markets  stocks  nymex  bugs  software 
august 2012 by jm

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