Also this stuff is just totally fascinating from a distsys and security perspective, like a whole new TCP/IP but for money, and you should read that other book just because this stuff is super rad to play around with and there are some _really_ excellent bugs in trading systems.
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Replying to @tqbf @kasey_junk and
So my interest is the same as all my other interests. I’m looking for applications of privacy. The ability to trade atomically is one. The main criticism that Lewis makes, which resonated with me, is that traders lost their privacy due to HFT exploiting bugs in a new system.
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Replying to @matthew_d_green @tqbf and
So the question that interests me is: can we put this back? But your argument throws me for a loop, because you’re essentially saying that the ability to maintain your privacy through an atomic trade across a distributed system is fundamentally *not good*.
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Replying to @matthew_d_green @tqbf and
Where Lewis, to simplify and paraphrase, is saying “HFT’s profits come at the expense of your pension fund,” you’re saying “HFT’s profits only come at the expense of bad hedge fund brokers, which doesn’t hurt ordinary people at all.” And here I’m not convinced.
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Replying to @matthew_d_green @kasey_junk and
Your pension fund has said super clearly that HFT has helped it, which makes sense because your pension fund is also not day trading.
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Replying to @tqbf @matthew_d_green and
Vanguard’s argument is pretty simple: increased competition among exchanges and between market makers has sharply reduced transaction costs, which is something they are happy about.
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Replying to @tqbf @matthew_d_green and
(it’s not just Vanguard’s CEO; it’s several leaders at Vanguard who have said the same thing, starting with their Chief Investment Officer).
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Replying to @tqbf @matthew_d_green and
Here, check it. This is a substantive and relatively detailed argument (note: more detailed than FB’s totally bogus hand-wavy argument about “shadow spreads”).pic.twitter.com/7XahHipAI0
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Replying to @tqbf @matthew_d_green and
The argument about bid-ask spreads is EMPIRICALLY VERIFIABLE and intuitively simple (crossing the spread essentially involves paying a tax to trade). Here, check it, and note where the chart ends and guess where that line goes.pic.twitter.com/i0Ufsdx9c7
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Replying to @tqbf @kasey_junk and
But again. Is the latency arb fundamentally responsible for this? Market makers using their funds to buy shares and sell them is normal behavior. But building the infrastructure so that you can make those trades only when you *know* an order is coming seems different.
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In latency arb you largely aren’t adding to the book at exchanges B, C, D, etc, you’re pulling your orders from the book so you can tweak the price on them in view of supposition that a block is about to move. This is not unnatural: detect counterparty intent oldest game in MM.
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Yes but the question is whether the tools they use to do this are reasonable ones. Should people have the ability to keep their intent somewhat confidential until they complete a trade, or should they not? That’s a mechanism design question.
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Replying to @matthew_d_green @patio11 and
You keep asking this question and, respectfully, people keep directly responding to it: no, it is not a good idea to allow arbitrarily-sized trades (TRADES, not orders) to clear without price impact. That’s in fact a crazy idea.
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