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The Wall Street Code
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Created: by Big Mike Attachments:6

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The Wall Street Code

  #21 (permalink)
Elite Member
Manchester, NH
 
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artemiso View Post
Step 2: Transform to Cartesian coordinates, where phi1 = phi2 = sqrt(1/2), psi1 = -1.5, psi2 = -1.4.

(x1,y1,z1) = (r cos(phi1) cos(psi1), r cos(phi1) sin(psi1), r sin(phi1))
(x2, y2, z2) = (r cos(phi2) cos(psi2), r cos(phi2) sin(psi2), r sin(phi2))

@Outlier

By the way, I glossed over one detail; the reason I round this first is because you invoke the Taylor expansion of sin(x) and cos(x) here - easy to evaluate when psi1 and psi2 are in 2 significant figures.

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  #22 (permalink)
Elite Member
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artemiso View Post
4. I notice that you didn't respond to my post about Interactive Brokers and that you gave no evidence of your 'checks'. If you're only interested in arguing for the sake of it, there's no point in me posting about anything if it doesn't help you.

I actually was just about to post my response, enjoy! (More later.)


artemiso View Post
There's not a lot you can say about a person's wealth today based on two dates several decades ago. I wasn't even alive in 1982: this doesn't imply anything about how I made the majority of my money today. IBKR's K-10 filing (http://www.sec.gov/Archives/edgar/data/1381197/000104746913002439/a2213156z10-k.htm) yields more concrete evidence:

Timber Hill is slow by comparison to say, GETCO or IMC. The majority of their trading advantage comes from customer flow. If this isn't telling enough, consider their trading gains: in 2012, they made $511.5M from prop trading and payment for order flow (I concede this is a slight overestimation as they lump "market data fees" and "account inactivity fees" together with this) in contrast to $412.6M from commissions. In 2011, they made a startling $708.2M from prop trading and payment for order flow as compared to $456.2M in commissions.

What we can say for sure is Peterffy has been a considerably successful trader long before starting IB.

So how do you know the majority of Timber Hill's trading advantage comes from customer flow?

Going by your post and its accuracy, that seems far from clear. You added $435.1M Trading Gains and $76.4M Other Income together to produce a rather misleading figure I think. More sense would have made to look at the breakdown of Other Income that I included in a screenshot, taken from your link. What you "conceded" to be lumped togegher is all stated separately.

Let's take a step back here to make sure we get this right. The filing says: "Payments for order flow are earned from various options exchanges based upon options trading volume originated by the Operating Companies." Operating Companies could be either IB or TH or both, do you know the breakdown? What are the involved options exchanges?

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  #23 (permalink)
Elite Member
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Outlier View Post
I actually was just about to post my response, enjoy! (More later.)



What we can say for sure is Peterffy has been a considerably successful trader long before starting IB.

So how do you know the majority of Timber Hill's trading advantage comes from customer flow?

Going by your post and its accuracy, that seems far from clear. You added $435.1M Trading Gains and $76.4M Other Income together to produce a rather misleading figure I think. More sense would have made to look at the breakdown of Other Income that I included in a screenshot, taken from your link. What you "conceded" to be lumped togegher is all stated separately.

Let's take a step back here to make sure we get this right. The filing says: "Payments for order flow are earned from various options exchanges based upon options trading volume originated by the Operating Companies." Operating Companies could be either IB or TH or both, do you know the breakdown? What are the involved options exchanges?

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

You don't seem to understand the difference between 'payment for order flow' and 'trading against its clients'. The $21.2M is the payment for order flow, it does not entail anything about the trading against your clients.

If I can peek at your orders before they hit the order book, then I can trade against you without giving you a payment for order flow. So between the two of us, the net revenue from payment for order flow is $0 but I'm still trading against you.

It is common knowledge why a 'broker' runs its own prop firm and passes order flow to its prop firm. Or why a FX dealer accepts retail accounts. Do note however that I'm not implying that this is unethical; in fact, I do think that what IB does is economically good for almost all retail traders. I'm just stating the fact. There's nothing else I can do to educate you about it if you're absolutely choosing to close an eye about it.

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  #24 (permalink)
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@Outlier: Save your time. I hope you're not offended by my curtness and hope you have a great weekend ahead. I'm going to sleep and call it quits, I've no time to get locked in an online debate and recommend that you don't either.

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  #25 (permalink)
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You too have a great weekend and as promised, here's what I did for a check.

I bent a piece of paper that I marked before. I wanted to see how curved it had to be for a chord to arc length ratio of 1.6 to 2.1. This gave me the intuition that the angle would have to be huge. I knew however the angle for that part of North America would have to be very small. Hence I could rule out adjusting for geodesics as an explanation for that large of a difference.

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  #26 (permalink)
Trading Apprentice
Vancouver BC Canada
 
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Jumping the Q

I am surprised he did not know this. (Jumping the Q)I have personally witnessed this numerous times in my trading. You have a limit order waiting at a price point. It hits your price but does not go through it. Then you wait and watch the DOM and the volume. If the price does not punch through your limit order you may not get filled even though you were waiting there for hours and plenty of volume has been executed. Even exceeding the vol that existed on the DOM as it reached the price.

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  #27 (permalink)
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Haim Bodek is working with Sang Lucci now, they were part of the film. I created a thread for them here:

https://futures.io/vendors-product-reviews/29581-sang-lucci-www-sanglucci-com.html

Mike

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  #28 (permalink)
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ranknow View Post
I am surprised he did not know this. (Jumping the Q)I have personally witnessed this numerous times in my trading. You have a limit order waiting at a price point. It hits your price but does not go through it. Then you wait and watch the DOM and the volume. If the price does not punch through your limit order you may not get filled even though you were waiting there for hours and plenty of volume has been executed. Even exceeding the vol that existed on the DOM as it reached the price.

I think you are misunderstanding. We're talking about special order types like Hide Not Slide.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #29 (permalink)
Elite Member
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AWESOME!!!

I absolutely LOVED that!!!

Scary stuff though!!


Big Mike View Post


Reposted with permission

The Wall Street Code: a thriller about a genius algorithm builder who dared to stand up against Wall Street. Haim Bodek, aka The Algo Arms Dealer.

From the makers of the much-praised Quants: the Alchemists of Wall Street and Money & Speed: Inside the Black Box. Now the long-awaited final episode of a trilogy in search of the winners and losers of the tech revolution on Wall Street. Could mankind lose control of this increasingly complex system?

Mike


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  #30 (permalink)
Pipsin
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HFT


Wow, What the hell are we up against. Rigged axchanges and Algorithms OMG, More for the argument of take the lot of the table and dont HOLD too long. You just never know when they will run the market against you.
Lots of Luck
ANdrew

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