

Man vs. Machine: Seven Major Players in High-Frequency Trading - ahalan
http://www.cnbc.com/id/39038892

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staunch
I worked for one of these guys. One day there was a glitch in a system,
completely unrelated to my job, he had himself put on speakerphone so he could
threaten to fire me. He loved The Apprentice.

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danbmil99
What timescale is the game played at these days? Does it get down to
milliseconds or below? Do people build special boxes running stripped-down
OS's to avoid interrupts? Etc., please do tell

~~~
veyron
single-digit microseconds tick to trade (i.e. from when a message appears on
the wire till a relevant order is sent to the exchange).

Without trying too hard, you should be able to get to 100 microsecond tails
(CPython and perl prototypes can hit 80 usec at the 90th percentile).

Generally people use 10G nics with some sort of DMA (e.g. solarflare nics
support a solution called OnLoad).

Though it should be said that, over the past few months, the effect of a few
microseconds is mostly irrelevant (though being slow by milliseconds can be
calamitous)

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CamperBob
_Though it should be said that, over the past few months, the effect of a few
microseconds is mostly irrelevant (though being slow by milliseconds can be
calamitous)_

How in the heck do these shenanigans add any possible value to the economy?

~~~
Peaker
They probably don't add nearly as much value as they make for their players.
However, they do add a small value: They close the economic arbitrage
"loopholes" -- allowing other players to focus on other things, which are
likely to have more economic value.

They also may increase trust that the current pricing makes sense. When you
buy some stock, it is more likely that you're getting a "fair" transaction.

