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The Wall Street Code
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The Wall Street Code

  #1 (permalink)
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The Wall Street Code



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?

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  #2 (permalink)
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  #3 (permalink)
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I am currently working to bring these guys on futures.io (formerly BMT) for a webinar. Will post more once I have info to share.

Mike

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

Need help?
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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.
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  #4 (permalink)
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The explanation of the flash crash as some turbulent breakdown of a complex system is very funny.

There was some company constantly hitting the bids with no fear serious buyers would drive the market any higher and it seems, until now, it is impossilble to name the originating big bid-hitter?

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CFuture View Post
The explanation of the flash crash as some turbulent breakdown of a complex system is very funny.

There was some company constantly hitting the bids with no fear serious buyers would drive the market any higher and it seems, until now, it is impossilble to name the originating big bid-hitter?

The SEC already named them, but people like Eric Hunsader of nanex disagree with their conclusions, after reviewing all the trade data from the firm that allegedly caused it. The data showed that they were selling on every run up, not hitting the bid on new lows (if I remember right).

Mike

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Same game you can see at the 10am NY option expiries at times.

I also remember what happened when BATS was going public in march 2012.


Last edited by CFuture; November 14th, 2013 at 04:29 PM. Reason: added the BATS IPO
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Preferred order types for high volume HFTs creates a huge disadvantage for retail traders and institutions. No wonder my limit orders don't get filled!

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I think it's cool that the one hedge fund lives in the same house working together, it probably makes trading more interesting that way being independent yet socially stimulated.

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Itchymoku View Post
I think it's cool that the one hedge fund lives in the same house working together, it probably makes trading more interesting that way being independent yet socially stimulated.

I didn't see too many female colleagues there to either brighten up the place or add any sort of a woman's touch to it.

Could be quite macho and a bit smelly !

:-)

p

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I'm disappointed that individuals such as Peterffy, Lauer and Bodek were glorified in this documentary, while the unsung heroes of the market were unfairly bashed.

1. Peterffy is by far the richest person in the entire film, for a good reason: Interactive Brokers trades against its own clients through Timber Hill, and sells them out to dark pools and ECNs (https://gdcdyn.interactivebrokers.com/Universal/servlet/Registration.formSampleView?ad=order_routing_disclosure.html).

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.

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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. Besides, it is your own undoing if you choose to compete in an area where specific order types matter and don't bother to keep yourself updated. Bodek had no serious experience before he started Trading Machines (I know to the common public, a short stint at UBS and Hull is a lifetime of financial experience, but practically everyone that you talk to on the phone from the largest 10 FCMs and prime brokers will have a better resume.)

Where is the journalistic standard nowadays?


nourozi View Post
Preferred order types for high volume HFTs creates a huge disadvantage for retail traders and institutions. No wonder my limit orders don't get filled!

No one is systematically disadvantaging your limit orders.

The exploits that Haim refer to only exist in the equity markets where Reg NMS is in force. Even so, the equity markets are a fair game because these strategies only degrade the returns for other low latency electronic traders.


CFuture View Post
The explanation of the flash crash as some turbulent breakdown of a complex system is very funny.

There was some company constantly hitting the bids with no fear serious buyers would drive the market any higher and it seems, until now, it is impossilble to name the originating big bid-hitter?


Big Mike View Post
The SEC already named them, but people like Eric Hunsader of nanex disagree with their conclusions, after reviewing all the trade data from the firm that allegedly caused it. The data showed that they were selling on every run up, not hitting the bid on new lows (if I remember right).

Mike

<deleted on request>

Eric's recommendations in Flash Crash Analysis - May 6'th 2010 - Part 1 - Empirical Analysis - Answers - Nanex and Nanex - Flash Crash Analysis - Flash Crash Summary are uninformed.

Regarding his first suggestion, it's fundamentally impossible for the public feed to display the timestamp simultaneously as the match takes place with the present exchange architecture. I think he has some vague idea that they should eliminate the round trip on the order channel, which has unintended latency consequences that we waste a lot of time solving. I agree that this is a good idea as it would make for a simpler API to develop against, and therefore reduce latencies and improve the market quality across in general. I feel, however, that Eric's motive for suggesting this is so that data vendors do not have to pay that extra $28,550 per month for exchange licenses; I doubt this will achieve the intended goal, as the license fees for the SIP feeds will undoubtedly increase if unchecked. You can do this and make the SIP feeds free too - but that will become a cost on taxpayer money. You can't have the best of all worlds.

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.


Last edited by artemiso; November 15th, 2013 at 05:53 PM. Reason: Addressed a few factual and grammatical errors
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