Flash Boys: A Wall Street Revolt
Michael Lewis
4.6 on Amazon
89 HN comments
Elements of Style: Designing a Home & a Life
Erin Gates
4.8 on Amazon
88 HN comments
A Short History of Nearly Everything
Bill Bryson, Richard Matthews, et al.
4.6 on Amazon
87 HN comments
The Goal: A Business Graphic Novel
Eliyahu M. Goldratt , Dwight Jon Zimmerman , et al.
4.5 on Amazon
86 HN comments
The Dark Forest
Cixin Liu, P. J. Ochlan, et al.
4.6 on Amazon
86 HN comments
The Idea Factory: Bell Labs and the Great Age of American Innovation
Jon Gertner
4.6 on Amazon
85 HN comments
Effective Java
Joshua Bloch
4.8 on Amazon
84 HN comments
The Making of the Atomic Bomb: 25th Anniversary Edition
Richard Rhodes, Holter Graham, et al.
4.6 on Amazon
84 HN comments
Domain-Driven Design: Tackling Complexity in the Heart of Software
Eric Evans
4.6 on Amazon
83 HN comments
The Code Book: The Science of Secrecy from Ancient Egypt to Quantum Cryptography
Simon Singh
4.7 on Amazon
82 HN comments
Born to Run
Christopher McDougall
4.7 on Amazon
82 HN comments
The Demon-Haunted World: Science as a Candle in the Dark
Carl Sagan, Cary Elwes, et al.
4.8 on Amazon
81 HN comments
Zero: The Biography of a Dangerous Idea
Charles Seife
4.6 on Amazon
81 HN comments
The Power of Now: A Guide to Spiritual Enlightenment
Eckhart Tolle
4.7 on Amazon
81 HN comments
How Not To Die: Discover the foods scientifically proven to prevent and reverse disease
Greger
4.7 on Amazon
79 HN comments
yumrajonOct 14, 2019
WestCoastJustinonJuly 11, 2016
[1] https://www.amazon.ca/Flash-Boys-Michael-Lewis/dp/0393244660
dxhdronJan 22, 2017
chatmastaonApr 17, 2015
Good story at the intersection of tech and finance.
artursapekonFeb 13, 2015
wpasconFeb 14, 2018
devicetray0onOct 4, 2019
harryhonDec 11, 2015
http://www.amazon.com/Flash-Boys-Insiders-Perspective-High-F...
ececconionApr 13, 2014
tptacekonFeb 9, 2019
sunstoneonJan 19, 2015
mnkmnkonJune 28, 2016
pthreadsonJune 9, 2017
lucaspaukeronOct 11, 2020
wglbonDec 18, 2014
tptacekonOct 30, 2015
avita1onMar 14, 2020
natedawgonJuly 13, 2014
So far so good, it gets a little complicated at times when he's trying to describe the different problems in the stock market (I don't have prior stock market knowledge). All in all, I'm enjoying this book very much and have less than 100 pages left to go.
max23_onDec 12, 2018
1. Bad Blood - John Carreyrou
2. Flash Boys - Michael Lewis
benmowaonAug 28, 2017
CoffeePythononJan 7, 2020
It has some programming related themes. Listened to it while I was working for a FinTech client in the online trading industry.
harryhonApr 4, 2019
Read the extensive rebuttal for all the details:
https://www.amazon.com/Flash-Boys-Insiders-Perspective-High-...
wernerbonJune 30, 2014
[1] http://www.amazon.com/Flash-Boys-Wall-Street-Revolt/dp/03932...
harryhonApr 15, 2019
Read the rebuttal!
https://www.amazon.com/Flash-Boys-Insiders-Perspective-High-...
film42onJuly 30, 2014
It's about High Frequency Trading (algorithmic trading) and how the market reacted; and what a few individuals did to solve the problem. It's a seriously addicting book.
skipantsonJan 18, 2021
Similar principle... IIRC it delays execution to try and prevent HFT. A big part of Flash Boys by Michael Lewis was chronicling the history of what led to this exchange being created.
chrisweeklyonSep 12, 2019
parallel_itemonJan 4, 2019
My Life as a Quant by Emanuel Derman
The Quants by Scott Patterson
A Man for All Markets by Edward O. Thorp
Reminiscences of a Stock Operator by Edwin Lefevre
Flash Boys by Michael Lewis
austinlonFeb 24, 2017
[0] https://en.wikipedia.org/wiki/Sergey_Aleynikov
[1] https://www.goodreads.com/book/show/24724602-flash-boys
sizzzzlerzonApr 9, 2015
The dawn of planetary science and the amazing discoveries of Jupiter, Saturn, Uranus found by the two Voyager space craft and the people who built and operated them and the scientists who analyzed the data returned.
Flash Boys: A Wall Street revolt by Michael Lewis
How and why we all were totally fucked by Wall Street during the 2009 market meltdown.
tonyjstarkonFeb 2, 2016
Of course Flash Boys is quite one sided and as it is with most things you should read it with a grain of salt. It's entertaining though.
alphadevxonJuly 30, 2014
Currently reading Flash Boys by Michael Lewis, which is about High Frequency Trading in Wall Street which is interesting for the technology involved.
Favorite book of all time is Frank Herbert's Dune, the six books are great in fact.
pcr0onMar 11, 2019
It's not illegal, but it is still front-running the rest of the market due to latency arbitrage. Check out Flash Boys by Michael Lewis for more on the topic.
spelunkeronMar 11, 2019
Apparently HFT's have moved on to microwave (https://www.bloomberg.com/news/features/2019-03-08/the-gazil...) to gain a further edge over fiber optic.
notavalleymanonDec 7, 2019
Those who "make" liquidity by publicly quoting ask/bids are rebated fractions of a cent when their orders are filled, and those who "take" liquidity by exercising the Maker's position are charged.
This is separate to the spreads. The book Flash Boys has a very good explanation of the model.
[1] https://www.investopedia.com/articles/active-trading/042414/...
kasey_junkonNov 18, 2015
You should read http://www.amazon.com/Flash-Boys-Insiders-Perspective-High-F....
MichaelGGonMay 4, 2017
1e-9onMay 3, 2021
I’m all in favor of constructive criticism that can lead to improvement, but I suspect this book may do more harm than good. Lewis has a history of taking a narrow point of view and inappropriately extrapolating it in a way that evokes strong feelings of misguided righteous indignation. A prime example of this was Flash Boys, which demonized an entire segment of the financial industry that significantly enhances our economy. I still encounter repeated echos of his sensationalized misperceptions coming from intelligent people on HN and elsewhere. I hope we don’t see a repeat with the CDC.
phildaianonApr 16, 2019
To claim this is what they were designing for is just ignorance of the space though. None of them knew about or even anticipated this issue; just because it is obvious to you does not mean it was obvious to them.
Just because DEXes are only for regulatory arbitrage (your words, not mine) doesn't mean that we should stand up crappy market designs.
The majority of the paper is about the formalization of and data on PGAs and miner OO, which was also not known in the blockchain community until now. If you point me to a reference to the contrary, or that contains the same results as e.g. Sections 5-7 of our paper, I'll gladly cite this and reduce my claims of novelty. Otherwise, this is something I've been working on for years, I'm going to stick with it, and it's up to peer review in the scientific community to decide :).
I hear what you are saying, but your preconceptions about Flash Boys being a bad book seem to be severely coloring your understanding of the work!
spicywithonMar 10, 2020
Robinhood could be making money in a couple ways:
- Fulfilling orders inside the RH pool/market making. Not sure if they are big enough, but they could be acting as an exchange. The matchmaking could be "imperfect" if you see what I mean. Essentially front running.
- Selling access to the client orders to HFT firms that do the front running and pay handsomely for the privilege. Again, this is pretty fucked up - you never get a real, fair view of the market and are always overpaying for your orders.
Again, read Flash Boys. Will blow your mind.
kasey_junkonFeb 25, 2016
The biggest reason for that is that I believe that individual investors are dramatically better off in a world of cheap wholesale market makers than they could ever be being dumped in the shark tank of hedge funds that is IEX. I have no problem with institutional investors who want to take advantage of IEX if they think that is best, they are professionals and that is their job to figure that out (though I wouldn't want to be invested with an institutional investor who wanted to trade on IEX because I would be suspicious of their competence). What I find really scummy is the marketing ploys of IEX to try to frame this as in someway good for individual investors.
[edit] Obligatory, please if you've read Flash Boys read "Flash Boys: Not So Fast". No one who understands/has worked in electronic trading that I've met believes that Flash Boys is anything but misrepresentative and bad.
doktrinonApr 12, 2014
As a counterpoint, the fact that the NSA was monitoring electronic communication wasn't "news" either.
Shifts in opinion and popular consciousness is often times a matter of momentum & critical mass. This book will probably do more to stimulate popular interest in this issue than just about anything that's come before it.
As a side note, I'm currently reading Flash Boys and have previously read Dark Pools. So far, I would definitely consider the Lewis book to be the better of the two.
fractionalhareonNov 18, 2020
+1. Most of the best known trading firms and investment funds in tech circles are simply well marketed to software engineers. They may perform well (especially relative to the vast majority of other players, who are mostly lemons), but they don't tend to be the places with the best track records. The best firms are usually very small, very discreet and basically only hire through direct referral.
RogerLonMay 21, 2015
There is a ton of high competition practice for the interview type stuff going on in that field, I believe. I kept far away from the field, so I don't have a lot of data points, and may be very wrong. But this is corroborated by the book Flash Boys - the interview techniques in that books were pretty much what I was subjected to.
gringoDanonJune 2, 2018
The conclusion he reached was that in the former USSR, people studying CS only were allowed about 15 minutes of computer time per week at universities. They had to write their code by hand and make it as elegant and bug-free as possible long before actually running it. Learning in this way lent itself to writing highly efficient code in an industry that rewarded whoever could execute trades the fastest.
Disclaimer that this is highly anecdotal and I haven't read the book in a while so I may have some details wrong, but I thought the story was entertaining.
eruonJuly 11, 2016
(See https://www.goodreads.com/book/show/23570025-flash-boys)
seanwessmithonNov 12, 2014
tptacekonMar 10, 2019
I like "Flash Boys: Not So Fast" as a corrective.
A much better book, from another HFT skeptic, is "Dark Pools".
The example you provide (of basic, naive latency arbitrage) matters for trading desks at giant investment banks. They make their money in part by selling execution services to giant holders of stock. Major trades by these people (big "blocks" being "shopped") are tradable market news. The giant holders of stock would prefer it if the news didn't get out until after their orders were filled. That's a service people like Katsuyama used to be able to offer his wealthy clients with very little effort on his part. That service has since been automated away, and it bothers him. I guess I'd be bothered too, but I'm not sure why it's moral dilemma.
Front running isn't a technical problem and it has little to do with how fast traders are. It's an agency problem: a broker "front-runs" their client when they receive an order from that client and make proprietary trades against and ahead of it. Random people in the markets don't have an agency relationship with other traders and are under no obligation to avoid competing with them.
tptacekonApr 16, 2019
The paper is good! The surrounding context you're trying to provide about how real-money markets work, perhaps not so much.
tonyjstarkonFeb 2, 2016
EDIT: maybe I should've read the article to the end before commenting. But my recommendation for Flash Boys stands. It is a good book.
henrik_wonDec 16, 2015
Books:
Liar’s Poker,
The Quants,
Flash Boys,
Against the Gods,
The Complete Guide to Capital Markets for Quantitative Professionals
MOOC courses:
Financial Markets (Coursera),
Computational Investing (Coursera),
Mathematical Methods for Quantitative,
Option Pricing (EdEx - got too difficult at the end)
EDIT: Thanks for the pics, really great! Lots of good CS books there too! Sidenode: I just finished "Ghost in the Wires" a week ago - great read.
My bookshelf is shown here: http://henrikwarne.com/2015/04/16/lessons-learned-in-softwar...
semicolonandsononMar 4, 2020
Much of reddit still has functioning referees in the form of its moderators, but I'm seeing signs of it cracking — e.g. when I researched the backgrounds of certain moderators I found out that they produced content in some space and would allow their own stuff to get posted while blocking other people's submissions.
pgwhalenonMay 17, 2020
The key part that you're missing is that latency arbitrage works only when there are multiple exchanges, and there is only one exchange in your example. Your example suggests that HFTs somehow see the buy order before it reaches the NYSE, but that is not possible. In reality it would be something like this:
- Buyer wants to buy 100,000 shares at $100, but no single stock exchange (there are 13 in the US I believe, soon to be 14) has that many shares available at that price.
- But there are 50,000 shares each available at NYSE and NASDAQ each, so they send orders to each.
- Their NYSE order arrives first, and the trade happens at $100 for all 50,000 shares
- The HFT notices, and seeing that demand is high for the stock, increases their price on NASDAQ to $100.01 for those remaining 50,000 shares.
- The buyer's order on NASDAQ does not trade, because the $100 is no longer available
The "information leakage" is from public information only - that a trade happened on another exchange.
Note also that no part of this example discusses the HFT buying a certain price, then selling back immediately at a higher price.
zekevermilliononFeb 2, 2016
Many people read Flash Boys and applaud the notion of a rate-limited or otherwise restricted exchange platform that removes the advantage of network proximity for low latency info. I think we will find in another decade that exchanges built on this principle introduce a host of other inefficiencies, both time- and information- based arbitrage strategies that appear unfair to some market participants.
ethbroonMar 12, 2015
It's been a bit since I read Flash Boys [edit: didn't realize you were talking about a different book], but from memory dark pools were never created with good intentions. At best, they were created with the intention of enabling cheaper trades by not having to route orders to the broader public market (just like a colo CDN)?
And dark pool owners had all the information needed to gather real-time reporting on the prices predatory dark pools were trading normal investors' orders at vs. the broader market price.
Which is to say, they absolutely knew they were screwing someone.
gherkin0onDec 11, 2015
It also sounds like the term front running refers to many different practices, this is from the Wikipedia article:
> One common practice of high-frequency traders (HFT) is a form of front running, where they peer into various exchanges and try to detect orders as they propagate from a broker's order router.
> HFT traders place many small orders that indicate buying/selling pressure. Those with the shortest lag in reaching other exchanges then place orders on those exchanges to catch the rest of the order, at a more advantageous price.[6] According to Harvard Political Review writer Austin Tymins, HFT hedge fund Citadel LLC made billions of dollars front-running the trades of large institutional investors, many of which are investing on behalf of middle-class clients.[7]
jackbrianonMar 14, 2017
I learned the hard way that it is quite difficult to break into finance as a non-student, so do everything you can now to land that first gig. Good luck!
Some starting resources:
-Ernie Chan's books and blog (https://epchan.blogspot.com/)
-QuantStart has great starter material and a new book, although I haven't read it (https://www.quantstart.com/)
-"Inside the Black Box" (Narang) I've seen referenced a good bit but felt as though it leaned toward order execution and rather boring
-"Dark Pools" (Scott Patterson) a great story about the rise of algorithmic trading
-"Flash Boys' (Michael Lewis) offers a nice follow up (HFT), but considered a bit sensationalist
EDIT: If you're planning on using Python (a solid bet)...
-Python for Data Analysis (Wes McKinney) - Great, quick book for Pandas by former AQR (and now Two Sigma?) guy.
-Yves Hilpisch books: "Python for Finance" is introductory while "Derivative Analytics in Python" is quite math heavy.
raiyuonJuly 23, 2019
What Robin Hood does is sell the orders to high frequency traders, which then front run these orders and can great a small incremental disparity per trade. It's not even .01 per trade.
However, the benefit is that every trade is done at a profit to the high frequency trader, because they are simply fulfilling an order, and not holding the stock.
And to the regular small investor, the price movement is inperceptible.
The actual work of high frequency traders was discovered by large institutions because their order volumes were much higher and because they were much more price sensitive, and they saw a much larger swing in their price from which they were closing transactions.
This was all detailed in Michael Lewis' book "Flash Boys". So if you liked "The Big Short", this one is a must read as well. So in this case they are giving from the poor to the rich, but it's really a small imperceptible amount and because of the vagueness of what's happening most retail investors are completely unaware nor that much interested in what's happening here.
You are getting a zero commission trade, which may cost you $7 somewhere else, do you really care if someone tacks on a $0.50 cent charge? You are still up $6.50.
smabieonNov 18, 2020
Not exactly sure where I'm going with this, but I think I just wanted to impress upon people that there's an entire separate class of quantitative finance firms: trading/market making firms. They often have no outside investors and are often capacity constrained such that their returns don't compound. But let me tell you, their (maybe uncompoundable) returns can be absolutely staggering. Better than RenTec type staggering. And they are certainly doing well right now.
mhomdeonJan 14, 2015
http://www.amazon.com/Flash-Boys-Wall-Street-Revolt-ebook/dp...
SEJeffonApr 16, 2019
I can vouch for Peter because I worked with him for close to 5 years at Madison Tyler Trading / EWT, LLC (which later merged with Virtu Financial).
He’s a very talented technologist who build the real-time clearing and risk system along with an encyclopedic memory of financial regulations and nuance. He always stuck out to me as an “honest to a fault” kind of guy, and that is one of the reasons we got on so well, as I was never much for nuance.
vasilipupkinonSep 17, 2015
http://www.amazon.com/Introduction-High-Frequency-Finance-Ra...
tptacekonJuly 3, 2015
Kovacs' _Flash Boys: Not So Fast_ which in the best possible way reads like a long-form ELI5 Reddit post about modern trading and all the WTFWAT moments in Lewis' book: http://www.amazon.com/Flash-Boys-Insiders-Perspective-High-F...
Patterson's _Dark Pools_ which tells the story of Island and the ECNs and the advent of automated trading. Patterson is more ambivalent about HFT than Kovacs, and does a good job of explaining the Core Wars phenomenon of modern trading from '98 to the mid-'00s.
chollida1onNov 19, 2014
She then goes in a completely different direction by talking about news released dedicated to HFT.
> “(The new news agencies) were light years ahead technology wise over DJ, Reuters, Bloomberg, AP, etc. They built highly optimized networks to transfer this data through ultra low latency switches and lines that the other guys never thought of. They also were optimized to this single rifle shot of data through a network where the big legacy guys were using systems/networks optimized for throughput and continuously publishing hundreds or thousands of stories simultaneously and continuously.”
This is just provably false as Reuters, the company she says is living in the stone age actually pioneered the idea of computer readable news.
They'll sell you a news feed that is intended to be read by machines. It has a sentiment index and everything:).
She later admits this, which makes this paragraph all the more odder.
Machine readable news feeds have been available for the past 5 years as far as I know, and possibly longer. Why she thinks she's breaking a story in 2014 is beyond me:)
The whole Michael Lewis's Flash Boys tie in is also very strange. She seems to mention it soly to get page views as she does nothing to tie her article to the book. Having said that the book Flash Boys has been, IMO, pretty thoroughly debunked by this book, link to hn article previously posted:
https://news.ycombinator.com/item?id=8577237
mindcrimeonJune 30, 2014
Anyway, FWIW, if anybody here hasn't read Flash Boys by Michael Lewis, it's a pretty interesting read that covers some ground related to the content of this article: HFT, dark-pools, etc. I understand that it's not without some controversy, but I found it damn interesting all the same.
blue11onApr 4, 2014
(Some people mentioned "Dark Pools" by Scott Patterson. Although also interesting, that books was often quite painful to read because it was quite clear that the author did not understand basic financial and programming concepts. "Flash Boys" is much better, in my opinion. Although if you are really interested in the subject, you should read both.)
MichaelGGonAug 19, 2016
Seriously, at one point, Lewis suggests that the trading station of some big trader is hacked. That just by typing numbers without submitting an order, stuff jumps. This should send huge red flags off on anyone that's even remotely familiar with anything similar to a computer. But it's another "see how rigged it all is?" anecdote blended in with his nonsense.
misiti3780onSep 23, 2016
Fooled By Randomness - Taleb
The Black Swan - Taleb
Antifragile - Taleb
When Genius Failed - Lowenstein
Liars Poker - Lewis
The Big Short - Lewis
Flash Boys - Lewis
Too Big To Fail - Sorkin
Against the Gods - Bernstein
One Up On Wallstreet - Lynch
The Intelligent Investor - Graham
tptacekonJune 5, 2014
In particular: you can come away from Lewis' book believing that the markets prior to electronic trading were reasonable fair, when the reality is the opposite: the trendline of fairness and transparency in the market is sharply positive, and the inflection point of that trendline is the advent of fast electronic trading.
altroponJan 7, 2016
jndsn402onAug 20, 2015
How do the other viewpoints explain why the IEX exchange was created and designed specifically to stop HFT? That is the central narrative of the book, and in Lewis's telling it makes complete sense as a way to save the common man from the evil HFT traders. But if Lewis got it all wrong and HFT is perfectly fine, why would a completely new exchange be set up to stop it?
sansnommeonMar 28, 2020
Avoid pop finance books that is light on numbers. If you want to understand the qualitative aspects/culture/history, books like Flash Boys or Flash Boys: Not so fast are more than sufficient. Stay away from "technical" books that are designed for layman and non-technical readers. They will handwave Black Scholes and economic math and you will simply be going through the movements without truly understanding.
Books like Reminiscences of a Stock Operator are great secondary books to supplement your primary readings. You don't give a beginning programmer Pragmatic Programmers/Clean Code/Programmers at Work when he or she can barely write a hello world, let alone a quicksort. You want a intro to programming course followed by something like SICP to lay in the foundations of abstraction and computer science. It is the same for finance. Half of the books in this thread are either financial pop science or has little relevance to somebody who wants a rigorous understanding of how the stock market system works.
Also to note, Buffet and A Random Walk Down Wall Street are books that espouse certain schools of thought on managing portfolio. Judge them by their history and backtest their theories rigorously. It is like Object Oriented Programming, fads wax and wane with time and everyone has their opinion on how trading should work so take things with a grain of salt. Lastly, trading and managing a 10 billion dollar fund is quite different from e.g. 100k in your tax free social security account due to stuff like network effects and doors that can only be opened when you have enough zeroes on your spreadsheet so what's good for the goose is not always great for the gander.
Once you are done with stock markets, get a macroeconomics textbook to understand how it ties into the federal reserve (or central bank) and how government bonds affect liquidity, that sort of thing. Again, avoid pop science books which shows up way too often on HN (this is worse with biology, another subject that this forum has a poor grasp of).
chrisweeklyonOct 3, 2019
But.
It's worth reading Michael Lewis's "Flash Boys: A Wall Street Revolt" [for several reasons] before nurturing too many warm-n-fuzzies for Schwab or Fidelity or any other mainstream big bank. Maybe you fellow HN readers are more aware than I was, but I'd guess when most of you hear "high-speed trading" you think about performance optimization and interesting technical challenges. It's mind-boggling how blatantly and comprehensively / systematically the financial "markets" have been captured by the interests of a tiny few, who literally steal from pension funds. To say it's rigged is an understatement. Must-read for anyone who thinks they know how Wall St works -- or cares to.
tomatocracyonJan 28, 2021
"Front running" doesn't just mean "getting there quicker than someone else". It is a specific conflict of interest problem where the same people or firm are acting in more than one capacity - agent and principal or agent for different parties - at the same time (eg I see large customer order coming in then trade for myself/my firm before I trade for the client, potentially moving the market for them which would hurt them if our trades are both in the same direction).
CPLXonJuly 27, 2015
Hopefully he'll get some actual opposition in an election soon, he's an embarrassment to the city at this point.
patio11onJan 26, 2016
I know it feels like this is an abrasively combatative statement from me, and it's quite uncharacteristic about any topic other than Bitcoin, but if you've coded a trading system and then read Flash Boys it's like several hundred pages of "I used a GUI to query optimize the traceroute with MongoDB and a red/black tree." Those words, individually they have meaning, but in that configuration it is resoundingly unclear that the speaker understands what is going on. It is resoundingly unclear that Lewis understands what an order book is, what order types are (other than (paraphrase) a mechanism by which sophisticated operators cheat mom-and-pop hedge funds out of their hard-earned 2 and 20), etc.
If you'd like this critique at literally book length, read Flash Boys: Not So Fast. It's brutal. It's a point-by-point and page-by-page refutation which brings in lots of crunchy detail (which Lewis scrupulously avoids), quotes extensively from experts (including ones who would be incentivized to say the opposite thing except for a respect for the truth), comports with the understanding of our informal advisors, and does not require me to suspend belief in core principles of math, physics, or computer science, which Flash Boys does multiple times.
kasey_junkonNov 18, 2015
Further, themis trading has a vested interest in portraying HFT and especially cross exchange market making as predatory. Both groups work for market participants that want to move large amounts of shares without impacting the price. That is they want to subvert supply and demand. Their particular quote does a disservice to every one because it equates pricing demand into the market as front-running, which is ludicrous.
Full disclosure, I have worked in the HFT industry (though I don't now). Regardless of whether HFT is predatory or not, Flash Boys inaccurately portrays how the technical details of exchanges work. I do not, and have met no person who is aware of the technical details of the markets who finds it credible.
InconelonNov 16, 2016
Have you read, and if so, would you recommend I read Flash Boys: Not So Fast by Peter Kovac for a more balanced/informed perspective on the subject? Should I read both? Keep in mind my knowledge of HFT is extremely limited.
rajraoonAug 18, 2014
Flash Boys is about a small group of Wall Street guys who figure out that the U.S. stock market has been rigged for the benefit of insiders and that, post–financial crisis, the markets have become not more free but less, and more controlled by the big Wall Street banks. Working at different firms, they come to this realization separately; but after they discover one another, the flash boys band together and set out to reform the financial markets. This they do by creating an exchange in which high-frequency trading—source of the most intractable problems—will have no advantage whatsoever.
SyneRyderonMay 13, 2016
A lot of my favorite parts of "playing" Stockfighter have actually involved going to a cafe, buying a coffee, and reading books like Flash Boys for a few hours.
dmschulmanonNov 18, 2015
1) I think it's 350mcs across the board except in the case of firms which conduct suspect activity (canceling orders frequently for example). Adding the delay institutes a level playing field across anyone trading on the exchange. The basis of HFT is leveraging faster connection speeds to gain insight into other's trading strategies and exploiting those strategies, all before the other firm's trade reach the exchange. This is a HIGHLY simplistic explanation dealing with one form of arbitrage and given for brevity on the subject.
2) EDIT: the other guy explained this better!
To your point about 350mcs being absurd to argue over, HFT firms manage regular trading speeds in NANOSECONDS. Look at 350mcs in those terms (350,000 nanoseconds) and it's not such a small number anymore.
JabavuAdamsonDec 12, 2018
* Homo Deus, Yuval Noah Harari
* Flash Boys: A Wall Street Revolt
* The Quants
* All About ADHD: A Family Resource for Helping Your Child Succeed With ADHD
* Still Procrastinating? The No Regrets Guide To Getting It Done
* Why Does He Do That? Inside The Minds of Angry And Controlling Men
* Killing Pablo
* Blackhawk Down (re-read)
* Revelation Space. Banks. (re-read)
= Finished Chapters Required For A Course =
* Essential University Physics, Volume 1. Wolfson.
* Linear Algebra, A First Course. Kutler.
* A Concise Introduction to Linear Algebra. Schay.
* Biology I: Cells, Molecular Biology, and Genetics. Custom Text (York University, BIOL 1000).
* Chemistry, A Molecular Approach. Tro et. al.
= In Progress =
* 21 Lessons for the 21st Century, Yuval Noah Harari
* Time Reborn: From the Crisis In Physics to the Future of the Universe. Smolin.
* Freemium Mobile Games: Design & Monetization
CoffeePythononJan 14, 2020
Some find alpha with speed. (See Flash Boys by Michael Lewis for a look at the insane lengths companies go to gain fractions of a second advantages). Some find alpha with better algorithms.
You’re positing that because the big tech companies have so much data they should be better at predicting markets. The problem is that having the data is just one part of the problem.
Look at satellite imagery. Every hedge fund worth its salt has probably thought of and has used satellite imagery. Virtually all of them have the same access to it. They purchase it through third party providers. There are undoubtedly unused satellite imagery techniques out there that would allow you to gain alpha in the market.
So why don’t the hedge funds use these unused strategies? Because having the data is only one part of the problem. Analyzing, preparing, cleaning, and finding a useful way to use the data is the other part. Hypothesizing new ways to look at the data that would reveal some insights is a big part.
Data is helpful but it isn’t the end all for making money in the markets.
drexlspiveyonMar 10, 2019
In short, when you send an order from your computer to buy say 10000 stocks, this order gets split to all the multiple exchanges. When the order hits the first (closest) exchange, HF Traders will pick that up and race you to the rest of the exchanges and try to front run you by buying the stock in lower price if available and make an offer to your bid price that they know is coming.
chrisbennetonFeb 14, 2015
http://www.vanityfair.com/news/2013/09/michael-lewis-goldman...
"He agreed to hang around for six weeks and teach other Goldman people everything he knew, so they could continue to find and fix the broken bands in their gigantic rubber ball. Four times in the course of those last weeks he mailed himself source code he was working on. (He’d later be accused of sending himself 32 megabytes of code, but what he sent was essentially the same 8 megabytes of code four times over.) The files contained a lot of open-source code he had worked with, and modified, over the past two years, mingled together with code that wasn’t open source but proprietary to Goldman Sachs. As he would later try and fail to explain to an F.B.I. agent, he hoped to disentangle the one from the other, in case he needed to remind himself how he had done what he had done with the open-source code, in the event he might need to do it again. He sent these files the same way he had sent himself files nearly every week, since his first month on the job at Goldman. “No one had ever said a word to me about it,” he says. He pulled up his browser and typed into it the words: Free Subversion Repository. Up popped a list of places that stored code, for free, and in a convenient fashion. He clicked the first link on the list. The entire process took about eight seconds. And then he did what he had always done since he first started programming computers: he deleted his bash history. To access the computer he was required to type his password. If he didn’t delete his bash history, his password would be there to see, for anyone who had access to the system."
elecenginonJan 25, 2016
http://www.amazon.com/Flash-Boys-Insiders-Perspective-High-F...
supahfly_remixonSep 5, 2018
Can you explain how HFT caused a shorter fiber route across the Atlantic? Is this route open to the non-HFT public?
I read Flash Boys and am aware of a custom fiber link between Weehauken, NJ and Chicago, IL, but I thought they are were moving to microwave. I thought there were some HFT links (fiber or microwave) within Europe.
omurphyevansonApr 22, 2015
It had no facts, no real argument, was unspecific, ad hominem and didn't advance the debate in any particular direction that was useful or informative.
Much like your second comment.
You could have pointed, for example, to the rise of HFT, and perhaps asked why this particular trader was being penalised unlike several larger HFT operations when he was front-running or pulling trades before they could be completed. (See Flash Boys by Michael Lewis). Then, chances are you might have been upvoted.
We can take dissonance. We just prefer it to be informative.
Erlich_BachmanonMay 25, 2018
But you should really read up on what HFT is. I recommend the book Flash Boys by Michael Lewis. HFT traders do not "trade" in the market in the usual sense. They don't optimize markets, they don't bet on anything, they don't take any risk. Every other investor takes risks (calculated), and that's their contribution to the market. They hedge risks and discover prices for those underlying assets you are talking about. HFTs are exploiting the markets, take no risks and siphon the money out of those investors that actually provide a service for the market.