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The Wall Street Code

  #71 (permalink)
 nanex 
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artemiso View Post
It's amazing how you can spin a conspiracy theory out of everything. I've only personally requested Mike to take down content twice on this forum, and for legitimate reasons. In fact, I even left the content untouched in my post for 2 hours after I noticed him taking it down in his quote.



There's nothing I can do to respond to your post if all you can say is that you (1) "don't know where to begin" and with that, conclude that I'm (2) "patently wrong".


Simple enough. Where is this post? (You asked mike to delete the code section. Not the entire post)


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  #72 (permalink)
 
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 Big Mike 
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nanex View Post
Simple enough. Where is this post? (You asked mike to delete the code section. Not the entire post)

Leave me out of this

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  #73 (permalink)
 artemiso 
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Big Mike View Post
Leave me out of this

Mike




nanex View Post
Simple enough. Where is this post? (You asked mike to delete the code section. Not the entire post)

As you said it yourself, the conclusions in my post matter more than the code section. I don't really see what's missing: They should eliminate the round trip on the order channel. The SIP feeds are fundamentally inaccurate and we don't expect public costs to decrease even if you consolidated all of the exchange feeds.

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  #74 (permalink)
 Outlier 
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artemiso View Post
It's amazing how you can spin a conspiracy theory out of everything. I've only personally requested Mike to take down content twice on this forum, and for legitimate reasons. In fact, I even left the content untouched in my post for 2 hours after I noticed him taking it down in his quote.

You can edit and delete own posts within 24 hours, which you did repeatedly. The post in question was edited multiple times, including before you "even left the content untouched".


artemiso View Post
As you said it yourself, the conclusions in my post matter more than the code section. I don't really see what's missing: They should eliminate the round trip on the order channel. The SIP feeds are fundamentally inaccurate and we don't expect public costs to decrease even if you consolidated all of the exchange feeds.

Let me help you out then, this conclusion is missing:

"If the same quality of delivery is used, it's possible to receive the same packet in Chicago in under 1.6 milliseconds after I receive it in NJ, not 5 milliseconds as Nanex claims."

Under 1.6 milliseconds? Like 0.1 milliseconds for example? You obviously were patently wrong and realized it after you were informed about Nanex's reply regarding the actual distances.

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  #75 (permalink)
 nanex 
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artemiso View Post




As you said it yourself, the conclusions in my post matter more than the code section. I don't really see what's missing: They should eliminate the round trip on the order channel. The SIP feeds are fundamentally inaccurate and we don't expect public costs to decrease even if you consolidated all of the exchange feeds.

I was referring to the text underlined in red:

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  #76 (permalink)
 artemiso 
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Outlier View Post
You can edit and delete own posts within 24 hours, which you did repeatedly. The post in question was edited multiple times, including before you "even left the content untouched".

Here is the edit log between my first and final revision:

- Regarding his second suggestion, sure, I absolutely agree. But whoever's under the impression that this will reduce public costs is gravely mistaken. The growing bandwidth requirements is a function of several factors, a few are good reasons, and a few (such as this), are bad (such as liquidity rebates).
+ Regarding his second suggestion, sure, I absolutely agree. But whoever's under the impression that this will reduce public costs is gravely mistaken. The growing bandwidth requirement is a function of several factors, a few are good reasons, and a few (such as liquidity rebates, and this), are bad.

- 2. Lauer was at Allston, a "greybox" shop that did poorly in the past years and therefore had to cut its staff. (Besides, they are a JVM shop, by no means latency-sensitive.) He has absolutely no authority about this matter. The majority of 'mini-crashes' and bottoms are formed by retail (click or electronic) traders and click traders aggressing against low latency electronic traders, e.g. through stop loss orders. I only say "the majority" for political correctness because honestly I don't pay attention to these things and my actual memory of these incidences was that 100% of them were caused by low-frequency traders. Here's an example where a market lost about 4% of its value in an hour where I had to supply liquidity all the way down to the bottom. The pink bar shows the contribution of low latency electronic traders and the two largest bars clearly show that the slow traders were responsible for most of the market damage and imbalance.
+ 2. During the Flash Crash, Lauer was at Allston, a "greybox" shop that did poorly in the past years and therefore had to cut its staff. (Besides, they are a JVM shop, by no means latency-sensitive.) He has absolutely no authority about this matter. The majority of 'mini-crashes' and bottoms are formed by retail (click or electronic) traders and slow traders aggressing against low latency electronic traders, e.g. through stop loss orders. I only say "the majority" for political correctness because honestly I don't pay attention to these things and my actual memory of these incidences was that 100% of them were caused by low-frequency traders. Here's an example where a market lost about 4% of its value in an hour where I had to supply liquidity all the way down to the bottom. The pink bar shows the contribution of low latency electronic traders and the two largest bars clearly show that the slow traders were responsible for most of the market damage and imbalance.

- 3. I believe Direct Edge had made a public statement that they had email evidence of discussions with Bodek about the hide-or-slide order type well in advance.
+ 3. I believe Direct Edge had made a public statement that they had email evidence of discussions with Bodek about the [edit: hide-not-slide] order type well in advance.

Two are grammatical errors (which I pointed out in my edit reasons), and one is a critical typo which I indicated with the words "edit:".


Outlier View Post
Let me help you out then, this conclusion is missing:

"If the same quality of delivery is used, it's possible to receive the same packet in Chicago in under 1.6 milliseconds after I receive it in NJ, not 5 milliseconds as Nanex claims."

Under 1.6 milliseconds? Like 0.1 milliseconds for example? You obviously were patently wrong and realized it after you were informed about Nanex's reply regarding the actual distances.

This was a back-of-the-envelope calculation (I said 'it's possible', not that I've tried it myself between Chicago and DC) and you spent 2 pages arguing with me on the basis that you folded a piece of paper. I explained the estimation here:


artemiso View Post
1. You've given me no evidence of what checks you've made.

Step 1: The radius of the earth is about 6400km. New York is about -77.5 degrees and Chicago is about -88 degrees. You know these if you've had to apply for a job at a hedge fund or a prop firm as a quant because you have to prepare for Fermi estimate brainteasers. I know the first one because I was a physicist.

Step 2: The most difficult part of the calculation is manipulating the trigonometric functions so you either try to pin the longitude or the latitude to an integer multiple of 1/4*pi. Since I know geographically that the distance between the 2 cities is mostly east-west versus north-south, and that the 2 cities should be nearly on the same latitude, it's easier to avoid trouble by taking both latitudes to be 1/4*pi. This simplifies most part of the calculation - because

sin(1/4*pi) = cos(1/4*pi) = sqrt(1/2)
-77.5/180*pi = ~-1.4. -88/180*pi = ~-1.5.

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))

Step 4: Take the Euclidean distance (notice all of the approximations are to 2 significant figures, this makes calculation fast but also implies that any higher precision can be discarded):

sqrt( (x1-x2)^2 + (y1-y2)^2 + (z1-z2)^2 ) = 660km

So the approximate direct distance (ignoring surface curvature) from Washington DC to Chicago is about 660km. To obtain an upper bound, assume the packet is transmitted over fiber. Light travels in fiber at approximately 2/3*c. The distance between Chicago and Washington DC is about twice that of the distance between Chicago and New York, so the difference in time to receive the packet would be approximately (330e3/3e8) / (2/3) / (1/2) = (110/1e5)*3 = 1.6 milliseconds.

Step 5: Adjust for geodesics... This is difficult to do by hand. Usually, you would just assume that the arc length would be approximately equal to the chord length given the small angular separation. Then we're done. This is actually a stronger assumption to those that I made in my estimates above (biggest source of error is the sensitivity to psi1 and psi2).

2. There is no reason why the first trade immediately after 2:00:00 PM has to be a trade responding to the news announcement at 2:00:00 PM. Cross-venue trading occurs between these 2 venues all throughout the day. Any participant can write a buy program to lift the asks at two venues at a preset time in the future almost simultaneously (<<1 ms). It is poor academic practice to pick just 2 instruments precisely to find the pairwise difference in time of first trade after 2:00:00 PM. If you want to do this, you don't have to pick any special economic event. You can easily run a script and find hundreds of pairs whose times between their first trades after any announcement at an arbitrary time (e.g. 10 AM EST) are smaller than 1 millisecond and claim it is a market exploit.

3. Read carefully. Nanex makes a shifting argument here. This was their first post.



This was their second post.



The SPY timestamp should have nothing to do with the measurement of the reaction time in the GC futures contract. This measurement now has a completely different frame of reference from the one earlier implied. If you think this is valid, then why don't you trade with me the difference {EUR 21 - US$20} for the difference {US$21 - US$20}?

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. Whatever floats your boat. No one is stopping you from using Nanex and Interactive Brokers as your service providers.


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  #77 (permalink)
 
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 Big Mike 
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artemiso View Post



Mike

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  #78 (permalink)
 
Big Mike's Avatar
 Big Mike 
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artemiso View Post
Whatever floats your boat. No one is stopping you from using Nanex and Interactive Brokers as your service providers.

LOL'd a bit, as this is essentially exactly what I am doing for my custom platform:



But you are exactly right "whatever floats your boat", and for me this is what I wanted and needed, at least for now. Not everyone is competing in the same space. My trade duration is measured in hours to days.

Mike

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  #79 (permalink)
 artemiso 
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I also further clarified:


artemiso View Post
@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.

All throughout this, you ignored my posts and just told me something about your piece of paper:


Outlier View Post
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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  #80 (permalink)
 Outlier 
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artemiso View Post
This was a back-of-the-envelope calculation (I said 'it's possible', not that I've tried it myself between Chicago and DC) and you spent 2 pages arguing with me on the basis that you folded a piece of paper. I explained the estimation here:

It is physically impossible even when going straight through the ground. The excuse you made was not adjusting for geodesics, which again was wrong.

A chord to arc length ratio of 1.6 to 2.1 requires insane curvature and you of course know this. Your arguing was intellectually dishonest all along.

I doubt you did any "back-of-the-envelope calculation" before making your initial post but rather jumped to conclusions to defend anything HFT.

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