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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. Patrick McKenzie‏ @patio11 25 May 2019
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      HN commenter, paraphrased: "HFTs pay brokerages money to see non-executed limit orders! That's outrageous." Literally anyone can pay a trivial amount of money to see non-executed limit orders on the order book at a stock exchange, which exists in large part to do exactly this.

      4 replies 3 retweets 44 likes
      Show this thread
    2. Patrick McKenzie‏ @patio11 25 May 2019
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      Not dunking on the commenter here; this feels like a good encapsulation of something which is easy for a technologist to believe so good to correct publicly.

      2 replies 1 retweet 18 likes
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      Patrick McKenzie‏ @patio11 25 May 2019
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      The purpose of a limit order is to ask an exchange to advertise your willingness to buy or sell a defined quantity of stock at a defined price, so if you do not want market participants to learn you wish to buy a defined quantity of stock at a defined price, perhaps don't do that

      12:20 PM - 25 May 2019
      • 1 Retweet
      • 46 Likes
      • strangeattractor Mike Weatherford🎃 Stephen Weeks Jake Ro 🐋 brian Chet Ivan Erceg Alan Forrester 🇺🇸Elliot Temple🤔
      6 replies 1 retweet 46 likes
        1. New conversation
        2. Anthony Fiedler‏ @FAfied32 25 May 2019
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          Replying to @patio11

          Do people not understand that bids / asks are there as placeholders and not just arbitrary? Hmmm

          1 reply 0 retweets 0 likes
        3. Patrick McKenzie‏ @patio11 25 May 2019
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          Replying to @FAfied32

          I think that almost no generalist technologist, informed member of the public, or financial journalist will succeed on the challenge "Draw an example order book. Any order book."

          1 reply 1 retweet 3 likes
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        2. shachaf‏ @shachaf 25 May 2019
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          Replying to @patio11

          People's objection isn't to internalizers seeing your never-executed limit order, but to them seeing your (limit, or market/marketable) order *first*, and being able to trade with it at the expense of the rest of the market.

          1 reply 0 retweets 0 likes
        3. Patrick McKenzie‏ @patio11 25 May 2019
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          Replying to @shachaf

          The commenter very clearly said that they were worried that HFTs would see resting orders, though they did not use that word.

          0 replies 0 retweets 0 likes
        4. End of conversation
        1. $KERMAN‏ @kermankohli 25 May 2019
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          Replying to @patio11

          Hackernews tends to attract arrogant technologists. You’ll get even more harsher responses with anything to do with crypto.

          0 replies 0 retweets 2 likes
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        1. New conversation
        2. kasey_junk‏ @kasey_junk 25 May 2019
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          Replying to @patio11

          There are, in fact, special order types that look a lot like limit orders that do not signal to the market this way. This level of customization is _also_ something people rail against.

          2 replies 0 retweets 0 likes
        3. d‏ @da4089 25 May 2019
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          Replying to @kasey_junk @patio11

          Do you mean Icebergs?

          1 reply 0 retweets 1 like
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        2. A Ch0w, sneeze‏ @ach0w 26 May 2019
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          Replying to @patio11

          Hmmm. When I place a limit order, my expectation is that my limit is secret, and I expect the machine to find the best deal within my limit. I certainly don't expect that some people can see the maximum price I have set, at least not without repeatedly incremental offers.

          1 reply 0 retweets 0 likes
        3. coolassdude 🌲‏ @coolassdude1337 26 May 2019
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          Replying to @ach0w @patio11

          You don't know what "limit order" means

          0 replies 0 retweets 1 like
        4. End of conversation
        1. New conversation
        2. Sid‏ @sidmvenkat 26 May 2019
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          Replying to @patio11

          While you're still right about how anyone can feasibly access non-executed limit book order data, HFT's still get that information faster than you do because they pay extra for high-performance data feeds with subtle market signals that most investors can't feasibly access.

          1 reply 0 retweets 0 likes
        3. Sid‏ @sidmvenkat 26 May 2019
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          Replying to @sidmvenkat @patio11

          Sure they only get it faster by a couple micro-seconds but that's plenty of time for HFT's to (1) Cancel their live orders that are likely be hurt by the market moving and (2) Quickly trading with other live orders in which the counterparty suffers "adverse selection"

          1 reply 0 retweets 0 likes
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