Pinboard (jm) https://pinboard.in/u:jm/public/ recent bookmarks from jm Performance Testing at LMAX 2015-06-03T12:49:58+00:00 http://epickrram.blogspot.co.uk/2014/05/performance-testing-at-lmax-part-one.html jm performance testing tests simulation latency lmax trading sniffing packet-capture https://pinboard.in/ https://pinboard.in/u:jm/b:c962c123de77/ SEC vs April Fool's Day 2015-04-06T20:29:22+00:00 http://www.bloombergview.com/articles/2015-04-02/tesla-stockholders-can-t-take-a-joke jmI think that materiality means what it says, and if people or algorithms do dumb things with trivial information that's their problem. But markets are a lot faster and more literal than they were when the materiality standard was created, and I wonder whether regulators or courts will one day decide that materiality is too reasonable a standard for modern markets. The materiality standard depends on the reasonable investor, and in many important contexts the reasonable investor has been replaced by a computer.  ]]> algorithms trading stock stock-market sec materiality april-fools-day tesla investing jokes https://pinboard.in/ https://pinboard.in/u:jm/b:f96edf4070bb/ Nanex: "The stock market is rigged" [by HFTs] 2014-07-16T13:14:04+00:00 http://www.nanex.net/aqck2/4661.html jmAll this evidence points to one inescapable conclusion: the order cancellations and trade executions just before, and during the trader's order were not a coincidence. This is premeditated, programmed theft, plain and simple. Michael Lewis probably said it best when he told 60 Minutes that the stock market is rigged. Nanex have had enough, basically. Mad stuff.]]> hft stocks finance market trading nanex 60-minutes michael-lewis scams sec regulation low-latency exploits hacks https://pinboard.in/ https://pinboard.in/u:jm/b:8f00f85dfa2a/ How to lose $172,222 a second for 45 minutes 2013-10-22T12:27:50+00:00 http://pythonsweetness.tumblr.com/post/64740079543/how-to-lose-172-222-a-second-for-45-minutes jm trading programming coding software inept fail bitrot tech-debt ops incident-response https://pinboard.in/ https://pinboard.in/u:jm/b:35b102c3a492/ Online Algorithms in High-frequency Trading - ACM Queue 2013-10-19T20:38:52+00:00 http://queue.acm.org/detail.cfm?id=2534976 jm linear-regression variance mean variability volatility stream-processing online algorithms hft trading https://pinboard.in/ https://pinboard.in/u:jm/b:a346d6588063/ Groundbreaking Results for High Performance Trading with FPGA and x86 Technologies 2013-10-02T12:54:33+00:00 http://low-latency.com/article/groundbreaking-results-high-performance-trading-fpga-and-x86-technologies jmThe enhancement in performance was achieved by providing a fast-path where trades are executed directly by the FPGA under the control of trigger rules processed by the x86 based functions. The latency is reduced further by two additional techniques in the FPGA – inline parsing and pre-emption. As market data enters the switch, the Ethernet frame is parsed serially as bits arrive, allowing partial information to be extracted and matched before the whole frame has been received. Then, instead of waiting until the end of a potential triggering input packet, pre-emption is used to start sending the overhead part of a response which contains the Ethernet, IP, TCP and FIX headers. This allows completion of an outgoing order almost immediately after the end of the triggering market feed packet. Insane stuff. (Via Martin Thompson)]]> via:martin-thompson insane speed low-latency fpga fast-path trading stock-markets performance optimization ethernet https://pinboard.in/ https://pinboard.in/u:jm/b:e1e6cba06648/ Low-latency stock trading "jumps the gun" due to default NTP configuration settings 2013-06-05T20:40:42+00:00 http://www.nanex.net/aqck2/4306.html jmOn June 3, 2013, trading in SPY exploded at 09:59:59.985, which is 15 milliseconds before the ISM's Manufacturing number released at 10:00:00. Activity in the eMini (traded in Chicago), exploded at 09:59:59.992, which is 8 milliseconds before the news release, but 7 milliseconds after SPY. Note how SPY and the eMini traded within a millisecond for the Consumer Confidence release last week, but the eMini lagged SPY by about 7 milliseconds for the ISM Manufacturing release. The simultaneous trading on Consumer Confidence is because that number is released at the same time in both NYC and Chicago. The ISM Manufacturing number is probably released on a low latency feed in NYC, and then takes 5-7 milliseconds, due to the speed of light, to reach Chicago. Either the clock used to release the ISM number was 15 milliseconds fast, or someone (correctly) jumped the gun. Update: [...] The clock used to release the ISM was indeed, 15 milliseconds fast. This could be from using the default setting of many NTP clients, which allows the clock to drift up to about 16 milliseconds before adjusting time. ]]> ntp time synchronization spy trading stocks low-latency clocks internet https://pinboard.in/ https://pinboard.in/u:jm/b:c36c7599b498/ High-frequency trading: The fast and the furious | The Economist 2012-08-03T15:34:00+00:00 http://www.economist.com/node/21547988 jm "The NYMEX panel found that Infinium had finished writing the algorithm only the day before it introduced it to the market, and had tested it for only a couple of hours in a simulated trading environment to see how it would perform. The firm's normal testing processes take six to eight weeks. When the algorithm started its frenetic buying spree, the measures designed to shut it down automatically did not work. One was supposed to turn the system off if a maximum order size was breached, but because the machine was placing lots of small orders rather than a single big one the shutdown was not triggered. The other measure was meant to prevent Infinium from selling or buying more than a certain number of contracts, but because of an error in the way the rogue algorithm had been written, this, too, failed to spot a problem."
]]> hft automation trading markets stocks nymex bugs software https://pinboard.in/ https://pinboard.in/u:jm/b:647442de3e15/ How does LMAX's disruptor pattern work? - Stack Overflow 2011-11-23T09:52:35+00:00 http://stackoverflow.com/questions/6559308/how-does-lmaxs-disruptor-pattern-work jm via:filippo servers seda queueing concurrency disruptor patterns latency trading performance ring-buffers https://pinboard.in/ https://pinboard.in/u:jm/b:388ee9929e15/ Flash Crash - Norwegians Convicted for Outwitting 'Trading Robots' - CNBC 2010-10-14T21:51:38+00:00 http://www.cnbc.com/id/39664612 jm trading stocks automated-trading flash-crash high-frequency-trading https://pinboard.in/u:jm/b:e34401bd3a37/ Lone Sale of $4.1 Billion in Contracts Led to ‘Flash Crash’ in May 2010-10-04T11:32:46+00:00 http://www.nytimes.com/2010/10/02/business/02flash.html?_r=1&src=mv jm distributed-systems distcomp flash-crash stock-market trading automation via:nelson sec nyse high-frequency-trading https://pinboard.in/u:jm/b:b5c59d9d74e1/