By Sniper in Mahwah
HFTs In My Backyard
The Intro
Paris
“Life is not only HFT, and it goes by even faster”. I totally agree with this statement by @MarcosCarreira, made in his review of the last Market Microstructure – Confronting Many Viewpoints organized in Paris two weeks ago. As I attended the conference two years ago (I even gave a little speech at the speakers’ dinner, I was honored to be invited to talk about “market microstructure in the Middle Ages” – this year the speakers’ dinner speech was by Donald MacKenzie), I came back in the French capital for two days to listen to some interesting (but a little bit complex) talks about “Instability from Information Efficiency” or “High-Frequency Trading and Extreme Price Movements” or “Dissecting Cross-Impact on Stock Markets: An Empirical Analysis” and so on. If you like finance, market structure and mathematics, this conference is the place to be; if you don’t get the extra-long mathematical formulas (like me), this is the place to be too since there are opportunities to meet people involved in the market (structure) industry (read Marcos’ review to learn more about what happened in Paris this year).
Two years ago the best moment I had was a coffee I had with microwave provider McKay Brothers’ CEO Stéphane Tyc (one of the best players in the HFT “arm race”) and Eric Budish (an academic from Chicago who wants to slow down the market with auctions) – the two obviously totally disagree on HF, but the chat was quite challenging. This year I met Sebastian, who works for Deutsche Börse/Eurex as an engineer, in charge of the matching engine of the exchanges (the matching engines are like the old pits: a place where buyers and sellers meet, collocated as close as possible to the engine). It’s always good to see the face behind a Twitter account. We had a lunch and discussed about the design of such engines – to me the main issue here is information dissemination: when a trades occur, most often the buyer and the seller know about the trade (sometimes far) before the transaction is publicly disseminated to the other participants. It seems like Eurex want to reduce this gap (check out this technical document). (This issue is not a small one: I recently learnt that because of a software upgrade, an exchange having a matching engine in UK allow the buyer and the seller involved in a trade to know about it 70 microseconds before the other participants, and this is a lot, such a thing should not exist). Sebastian also introduced me to two of his colleagues who work for the CME Group, on the matching engines (it seems like they were in Paris quite incognito), so the next day I had a lunch with three guys with whom I had the opportunity to know more about the way they design this critical and technical piece at the center of capitalism – the matching engine). Very interesting. Nice guys, nice lunch.....................................
http://www.zerohedge.com/news/2016-12-27/hft-my-backyard-intro?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+zerohedge%2Ffeed+%28zero+hedge+-+on+a+long+enough+timeline%2C+the+survival+rate+for+everyone+drops+to+zero%29
Realist - Everybody in America is soft, and hates conflict. The cure for this, both in politics and social life, is the same -- hardihood. Give them raw truth.
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