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patio11's profile
Patrick McKenzie
Patrick McKenzie
Patrick McKenzie
@patio11

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Patrick McKenzie

@patio11

I work for the Internet, at @stripe, mostly on accelerating startups. Opinions here are my own.

東京都 Tokyo
kalzumeus.com
Joined February 2009

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    1. Thomas H. Ptacek‏ @tqbf 16 Apr 2019
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      Replying to @tqbf @matthew_d_green and

      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.

      2 replies 1 retweet 4 likes
    2. Matthew Green‏ @matthew_d_green 16 Apr 2019
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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.

      3 replies 0 retweets 3 likes
    3. Matthew Green‏ @matthew_d_green 16 Apr 2019
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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*.

      3 replies 0 retweets 1 like
    4. Matthew Green‏ @matthew_d_green 16 Apr 2019
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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.

      2 replies 0 retweets 3 likes
    5. Thomas H. Ptacek‏ @tqbf 16 Apr 2019
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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.

      1 reply 0 retweets 3 likes
    6. Thomas H. Ptacek‏ @tqbf 16 Apr 2019
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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.

      1 reply 0 retweets 4 likes
    7. Thomas H. Ptacek‏ @tqbf 16 Apr 2019
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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).

      2 replies 0 retweets 1 like
    8. Thomas H. Ptacek‏ @tqbf 16 Apr 2019
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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

      1 reply 0 retweets 4 likes
    9. Thomas H. Ptacek‏ @tqbf 16 Apr 2019
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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

      1 reply 0 retweets 2 likes
    10. Matthew Green‏ @matthew_d_green 16 Apr 2019
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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.

      4 replies 0 retweets 4 likes
      Patrick McKenzie‏ @patio11 16 Apr 2019
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      Replying to @matthew_d_green @tqbf and

      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.

      9:48 AM - 16 Apr 2019
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      • Albert Lunde Brett Levin
      1 reply 0 retweets 2 likes
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        2. Matthew Green‏ @matthew_d_green 17 Apr 2019
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          Replying to @patio11 @tqbf and

          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.

          3 replies 0 retweets 2 likes
        3. Thomas H. Ptacek‏ @tqbf 17 Apr 2019
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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.

          1 reply 0 retweets 1 like
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