

HFT in my backyard – V - omnibrain
https://sniperinmahwah.wordpress.com/2015/01/14/hft-in-my-backyard-v/

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computer
Why would you want to place the server in the center? If you have a computer
on both ends, then the information from exchanges reaches the other exchange
at the same time the instruction from a computer in the center would, so you
can have those computers on the ends make exactly the same decision at
approximately the same time, using the same data (or newer local data, even)?

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chollida1
> Why would you want to place the server in the center?

Because for arbitrage you need to know the price in both area's before you can
react. If its instantaneous at the collocated site and 5ms to get to your
other machine, you need to wait 5ms to act and then add about the same time
back on to send your order to the further location.

If your machine is in the middle then you only need to wait 2.5ms to act and
then add about 2.5 ms to send your orders.

This type of arbitrage is much easier if all orders originate from one
machine( as opposed to each collocated machine sending its piece of the stat
arb order.

If you have 2 machines sending their own parts of the arb order then you have
to sync them if one fails to get its side of hte order, and hence more
latency.

 __EDIT __in case I wasn 't clear, the benefit is having one machine do the
arb instead of two machines sending simultaneous orders. This way the two
machines don't need to sync up to determine if one leg was done and one leg
was hung. All the information is in the same program on the same machine so
there is no distributed state to reconcile.

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venaoy
No. The parent suggests having 2 machines (1 at each end), but each trading
order would be issued by only 1 machine (not 2). So there is no
synchronization issue.

Example: machine A instantaneously become aware of some event at exchange A.
It sends an order to remote exchange B (which takes 5ms) and at the same time
sends a matching order to exchange A. Total time = 5ms, which is the same as
having a machine in the middle having a latency of 2x2.5 = 5ms. [Edit #1: I
edited this sentence to reflect the fact the algo sends the matching order
immediately to the local exchange.]

So I still don't understand why is there any advantage in having a computer in
the middle.

Edit #2: you wrote an edit ( _" This way the two machines don't need to sync
up to determine if one leg was done and one leg was hung. All the information
is in the same program on the same machine so there is no distributed state to
reconcile."_) which I think finally clarifies the advantage in having a
computer in the middle. You don't run the risk of the 2 computers at each end
executing orders that conflict with each other.

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phdp
A signal for this type of trading requires knowledge of the bid ask in both
locations.

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venaoy
In my scenario, a machine knows the local exchange price as of 0ms ago
(instantaneously) but knows the remote exchange's price as of 5ms ago.

You are saying it is better to know exchange A's price as of 2.5ms ago, and
exchange B's price also as of 2.5ms.

But why? Either way you are ignoring 5ms's worth of trading activity. Either
2.5ms on both exchanges, or 5ms on one exchange.

Edit: I think I understand the advantage - see my edit #2 in my post above.

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nullc
"a patent was filed in the U.S. by the Massachusetts Institute Of Technology,
titled “System and method for relativistic statistical securities trading”,"

We should all be thankful to that proud institution for taking decisive action
to ensure another wasteful technology well never see the light of day.

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minimax
There is some chance I'm misreading your sarcasm here, but if you are willing
to accept that arbitrageurs provide a useful function in the markets by
keeping prices equal for roughly equivalent instruments traded on
geographically diverse trading centers, then what's wrong with arbitrageurs
competing with one another to provide that function?

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branchless
I see this argument often. How useful is this function vs taking lots of
talented maths/compsci phds out of banking and into something else?

My guess is the system is utterly broken and we are wasting precious man hours
gaming it.

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brianwawok
Should we stop making videogames too, because playing a game does nothing for
the world.

Should we stop making music? If all musicans picked up trash on the side of
the road, we would have a cleaner world. We can just replay 90s music forever.

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natebleker
I love reading these articles, keep them coming!

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keithpeter
[http://archive.wired.com/wired/archive/4.12/ffglass_pr.html](http://archive.wired.com/wired/archive/4.12/ffglass_pr.html)

Just in case... (2004 vintage)

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zzleeper
Do the microwave networks suffer any problems (disconnections, etc.) under
rain or other weather conditions?

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throwaway283719
Yes. You can get significant signal attenuation (particularly at high
frequencies, i.e. above 10 GHz) when it is raining.

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washedup
The red dots for the "The Future, II" segment are not exchanges but optimal
server locations.

