jm + trading   11

Performance Testing at LMAX
Good series of blog posts on the LMAX trading platform's performance testing strategy -- they capture live traffic off the wire, then build statistical models simulating its features. See also and .
performance  testing  tests  simulation  latency  lmax  trading  sniffing  packet-capture 
june 2015 by jm
SEC vs April Fool's Day
I think that materiality means what it says, and if people or algorithms do dumb things with trivial information that's their problem. But markets are a lot faster and more literal than they were when the materiality standard was created, and I wonder whether regulators or courts will one day decide that materiality is too reasonable a standard for modern markets. The materiality standard depends on the reasonable investor, and in many important contexts the reasonable investor has been replaced by a computer. 
algorithms  trading  stock  stock-market  sec  materiality  april-fools-day  tesla  investing  jokes 
april 2015 by jm
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
How to lose $172,222 a second for 45 minutes
Major outage and $465m of trading loss, caused by staggeringly inept software management: 8 years of incremental bitrot, technical debt, and failure to have correct processes to engage an ops team in incident response. Hopefully this will serve as a lesson that software is more than just coding, at least to one industry
trading  programming  coding  software  inept  fail  bitrot  tech-debt  ops  incident-response 
october 2013 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
Groundbreaking Results for High Performance Trading with FPGA and x86 Technologies
The enhancement in performance was achieved by providing a fast-path where trades are executed directly by the FPGA under the control of trigger rules processed by the x86 based functions. The latency is reduced further by two additional techniques in the FPGA – inline parsing and pre-emption. As market data enters the switch, the Ethernet frame is parsed serially as bits arrive, allowing partial information to be extracted and matched before the whole frame has been received. Then, instead of waiting until the end of a potential triggering input packet, pre-emption is used to start sending the overhead part of a response which contains the Ethernet, IP, TCP and FIX headers. This allows completion of an outgoing order almost immediately after the end of the triggering market feed packet.

Insane stuff. (Via Martin Thompson)
via:martin-thompson  insane  speed  low-latency  fpga  fast-path  trading  stock-markets  performance  optimization  ethernet 
october 2013 by jm
Low-latency stock trading "jumps the gun" due to default NTP configuration settings
On June 3, 2013, trading in SPY exploded at 09:59:59.985, which is 15 milliseconds before the ISM's Manufacturing number released at 10:00:00. Activity in the eMini (traded in Chicago), exploded at 09:59:59.992, which is 8 milliseconds before the news release, but 7 milliseconds after SPY. Note how SPY and the eMini traded within a millisecond for the Consumer Confidence release last week, but the eMini lagged SPY by about 7 milliseconds for the ISM Manufacturing release. The simultaneous trading on Consumer Confidence is because that number is released at the same time in both NYC and Chicago.

The ISM Manufacturing number is probably released on a low latency feed in NYC, and then takes 5-7 milliseconds, due to the speed of light, to reach Chicago. Either the clock used to release the ISM number was 15 milliseconds fast, or someone (correctly) jumped the gun.

Update: [...] The clock used to release the ISM was indeed, 15 milliseconds fast. This could be from using the default setting of many NTP clients, which allows the clock to drift up to about 16 milliseconds before adjusting time.
ntp  time  synchronization  spy  trading  stocks  low-latency  clocks  internet 
june 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
How does LMAX's disruptor pattern work? - Stack Overflow
LMAX's "Disruptor" concurrent-server pattern, claiming to be a higher-throughput, lower-latency, and lock-free alternative to the SEDA pattern using a massive ring buffer. Good discussion here at SO. (via Filippo)
via:filippo  servers  seda  queueing  concurrency  disruptor  patterns  latency  trading  performance  ring-buffers 
november 2011 by jm
Flash Crash - Norwegians Convicted for Outwitting 'Trading Robots' - CNBC
'The two men worked out how the computerized system would react to certain trading patterns – allowing them to influence the price of low-volume stocks.' Yet another risk of automated traders
trading  stocks  automated-trading  flash-crash  high-frequency-trading  from delicious
october 2010 by jm
Lone Sale of $4.1 Billion in Contracts Led to ‘Flash Crash’ in May
'as the computers of the high-frequency traders traded contracts back and forth, a “hot potato” effect was created, the report said, as contracts changed hands 27,000 times in 14 seconds, but with eventually only 200 actually being bought or sold.' upshot: horrifically complex distributed feedback loops now directly impact our economies -- great :(
distributed-systems  distcomp  flash-crash  stock-market  trading  automation  via:nelson  sec  nyse  high-frequency-trading  from delicious
october 2010 by jm

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