
The accidental HFT firm - profquail
https://meanderful.blogspot.com/2018/01/the-accidental-hft-firm.html?m=1
======
tacon
>Things got even better for us in Korea. Now that I had the bits streaming off
one by one, or at least byte by byte, you could see that the packets took a
long time on the wire. Milliseconds. A common technique in network monitoring
is slicing, where you just take the first part of the packet. I did this with
the HDLC bypass code and we were now a long way ahead of the game as the bid
and ask fields were at the front of the quote packets. Save 100 bytes at 128
kbps and you’re 6.1 milliseconds ahead. As specifications changed and KRX
feeds sped up, our advantage reduced but life remained good. Now we were
sending out orders before the data packet arrived.

I love it when HFT seems to violate causality.

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vxxzy
From the article: “Reification just becomes legacy without a sufficient lack
of architecture.”. This is so eloquently put. Technical Debt is a mess in of
itself. But there still exists the chasm Of meeting business needs immediately
(time to market) and avoiding technical debt. The sign of a good developer is
attempting to look ahead and wonder how else will data need to be presented
and manipulated - building the system open-ended enough to allow for the
evolution of business needs.

~~~
lmm
> The sign of a good developer is attempting to look ahead and wonder how else
> will data need to be presented and manipulated - building the system open-
> ended enough to allow for the evolution of business needs.

I've gradually become convinced of just the opposite: a good developer doesn't
think ahead at all. The best way to prepare for the evolution of business
needs isn't to add extension hooks in the middle of your code, it's to keep
the code as simple as possible so that you can change it in a very direct way
as and when you need to.

~~~
arethuza
I've convinced that 95% if the "extension points" I've seen built into code
over the years never get used to create extensions - usually because they have
significant assumptions about what extensions would be required that turn out
to be very wrong.

~~~
hinkley
There are subtle ways to add extension points that most people won’t even
notice.

For instance, putting related code into a data structure allows you to add
more to it later without replumbing the whole system (as opposed to functions
with five arguments).

With enough experience with refactoring, just choosing a structure that’s easy
to refactor can serve as an extension point. (I have even tricked people into
implementing a feature the way I had it in my head by writing the intermediate
version in such a way to suggest a simple change for part 2.)

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rburhum
Thank you, thank you, thank you for this. Such an interesting look into the
world of HFT. I particularly like the parte of tapping into the cable
directly, looking at the first bytes of the packet, and sending the order
before the entire packet arrived. Awesome stuff!

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ISL
Best post I've seen on HN in a month or two -- thanks for posting.

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polskibus
This is great, I wonder what is such a talented developer doing these years?
Has tech moved so much that there are less and less HFT jobs? Or is it the
opposite?

On a side note - can anyone recommend a book with similar stories? Ie. from
the trenches of development, finance + software?

~~~
lingua_franca
Yes HFT is dying, just check out how many HFT firms either closed down or sold
themselves in recent year.

You might want to read book "Flash Boys" by Michael Lewis.

~~~
mhurd
I think it has become more polarised as jitter (as a consequence of latency)
has come down. Also more democratised and many vendors provide good solutions.

Still, quite good profits in the system. See:
[https://meanderful.blogspot.com.au/2018/01/australian-
popula...](https://meanderful.blogspot.com.au/2018/01/australian-popular-hft-
tax-assessment.html)

~~~
polskibus
Could you explain the information edge that asset managers have? I always
thought the big guys were the easiest targets.

What kind of algos (you mention that in the article) can they employ to defend
or just perform better? I'd love to read more about it, it's very interesting
- can you point me towards some resources ? I'm not in finance but this "war"
has always fascinated me.

~~~
mhurd
The primary information edge an asset manager has is that they have large
enough order that it is not immediately consumable. This will have a price
impact. So, if they take the HFT price on offer at a market, the HFT will lose
money as the price will go against them.

Most of the algos I'm thinking about there are designed to minimise market
impact. They do this by spreading the order over time and/or space (venues) as
well as by balancing passivity and aggressiveness.

There is not a terrible lot that is written that is unbiased as most have a
particular POV. Market microstructure textbooks are perhaps the healthiest
place to start ;-)

~~~
polskibus
Thanks a lot for sharing those bits of knowledge! I'll look into that, have
you ever considered writing a book? ;) I added your blog to my long must read!

I love HN for such moments, out of a blue a post on a superinteresting topic
AND a knowledgeable person who doesn't mind answering some questions.

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walshemj
x.25 there is a blast from the past

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twic
I was reading through this, seeing some similarities to my work. Then i got a
real shock at the end:

> Previously published under the pseudonym Thomas Anderson.

Er, that's me!

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erpellan
I think it's a matrix reference.

"Tell me Mr Anderson, how will you make a phone call... if you're unable to
speak?"

~~~
mhurd
That's correct. Automated Trader requested it to be published under a
pseudonym when it when out in 2016. I didn't object and chose the Matrix
reference.

