Hacker News Reader

minimaxon Understanding ETF “Flash Crashes”

The NYSE is only one of 11 registered US equity exchanges. There are other exchanges that open earlier and close later (for example the NYSE owned Arca exchange trades from 4am to 8pm Eastern).

minimaxon Understanding ETF “Flash Crashes”

I know it's anecdotal, but I have heard from some of my human prop trader friends about guys who made a killing buying on Monday morning.

minimaxon Understanding ETF “Flash Crashes”

The US equity index futures opened for trading (as usual) at 5pm Chicago time on Sunday night. Two of the biggest US equity exchanges (NASDAQ and Arca) start trading in a pre-market session at 4am NYC time. The futures hit their own limit down band before the cash open, and I don't think the single-stock circuit breaker rules apply during the pre-market session for equities.

There was a ton of volume in both the futures and the pre-market, but it was still dwarfed by all the activity at and just after the open. Most people just don't want to trade until other people are trading, so there's this sort of feedback loop that drives volume to the open.

minimaxon Understanding ETF “Flash Crashes”

The morning of 8/24 was more complicated than that because lots of these stocks/etfs had hit their Reg SHO thresholds, which restricted the ability short sell into a resting bid.

https://www.sec.gov/divisions/marketreg/rule201faq.htm

minimaxon Understanding ETF “Flash Crashes”

He meant ban market orders rather than ban ETFs.

minimaxon Understanding ETF “Flash Crashes”

Also, Market Orders are ALWAYS executed before limit orders, even if the limit makes it executable.

In the continuous market time priority rules. If a marketable limit order arrives before a market order, the limit order executes first.

minimaxon Designing and Building Stockfighter, Our Programming Game

There are about 40 active registered ATSs for trading US equities. It's a high number but it's not thousands.

minimaxon Designing and Building Stockfighter, Our Programming Game

My order came back saying that I had bought 0 shares. And the quote from the exchange now read “500 shares available at $120.”

Maybe I don't get the full picture, but it sounds like you have to poll via REST API to query the book? Modern exchanges just give you a feed of updates (adds, deletes, trades), so you don't run into situations like this. You can just check the feed to see what happened.

minimaxon Linux Assembly How To: “Hello, World”

Alternatively you can cut/paste the GAS syntax and use gcc.

   gcc -nostdlib hello.S -o hello

This example uses the old 32-bit syscall invocation mechanism, which works fine under 64-bit Linux. It might be a useful exercise to try porting this program to the 64-bit syscall convention.

minimaxon Nine Charged in Insider Trading Case Tied to Hackers

But if you're a rogue trader, or god forbid a lone 30 year old in your parents basement, off to the big house for you.

What? No. They broke into servers at PR Newswire and Business Wire and used the stolen MNPI to make trades. There is nothing about rogue or lone traders here. This was sophisticated international group of hackers and traders engaged in obviously illegal behavior.

minimaxon Hand-Coded Assembly Beats Intrinsics in Speed and Simplicity

This also has the false dependency problem (using eax as the popcnt destination register three times), and neither one of your VC examples is using the 8 byte popcnt instruction.

minimaxon LLVM for Grad Students

LLVM was started by Chris Lattner while he was a graduate student at UIUC.

minimaxon The tech boom may get bumpy, but it will not end in a repeat of the dotcom crash

“First prize is a Cadillac Eldorado…Second prize is a set of steak knives. Third prize is you’re fired,” explains Stewart Butterfield, the boss of Slack, a two-year-old software company with a $2.8 billion valuation, quoting from David Mamet’s play “Glengarry Glen Ross”.

Except he isn't actually quoting from the play because that quote and the whole Alec Baldwin character don't exist in the play. They were added when Mamet converted Glengarry Glen Ross the play into Glengarry Glen Ross the movie. It's a really interesting story, actually.

http://www.avclub.com/article/why-iglengarry-glen-rossi-alec...

minimaxon Square Files Confidential IPO

Just remember all the terrible press Groupon got whenever the SEC didn't like the non-gaap gimickry in their original S-1.

http://www.cbsnews.com/news/groupon-tries-to-make-the-sec-ha...

minimaxon Starfighter, Summer 2015

What was your plan for 40,000 pounds of pork bellies is what I really meant to ask.

minimaxon Starfighter, Summer 2015

Stuff like when Tom called me and asked if he could have a truckload of pork bellies (CME ticker:GBP. And: I told him no.) delivered to our house.

Sadly frozen pork belly futures don't trade anymore and haven't for about 4 years (almost to the day), and the Globex contract was GPB not GBP. But whatever, that sounds like a cool story and you should tell the rest of it :)

minimaxon An unexpected benefit of open-sourcing our code

The CloudFlare x86-64 optimized version of the longest match algorithm is especially well documented.

https://github.com/cloudflare/zlib/blob/31043308c3d3edfb487d...

It's great material for anyone interested in these types of low level optimizations.

minimaxon NYSE/NYSE MKT has temporarily suspended trading in all symbols

This doesn't mean all trading is suspended, it just means you can't trade specifically on NYSE or NYSE MKT (formerly Amex). You can still trade NYSE listed stocks at all the other exchanges (BATS, NASDAQ, NYSE Arca, etc). Obviously a black eye for NYSE but it's not as big a deal as the media are making out.

minimaxon A Profitable and Legal Way to Game the Stock Market

Was The Ugly Americans good? I really enjoyed Bringing Down the House.

minimaxon Coinbase is indefinitely suspending its business in Wyoming

Wyoming has something like 0.2% of the US population. I wonder if the number of Wyoming-based active accounts at Coinbase even reaches into the triple digits.

minimaxon High Frequency Trading Strategies

This one is relatively new, but it's the most insightful (and candid) that I have come across: https://mechanicalmarkets.wordpress.com

minimaxon Why do buses bunch?

I'm not sure how often you're on the CTA but I've found trains running express during rush hour to be a pretty common occurrence.

minimaxon Fast Approximate Logarithms, Part I: The Basics

The author of this post, David Goldberg, is the same guy that wrote "What Every Computer Scientist Should Know About Floating-Point Arithmetic."

http://docs.oracle.com/cd/E19957-01/806-3568/ncg_goldberg.ht...

minimaxon Twitter Reports Weak Earnings and the Stock Is Crashing

Another way to look at it is that Twitter's first trade on the NYSE in November 2013 was at $45.10, and today, almost a year and a half later, it closed at around $42. That is not a whole lot of return for what is supposed to be a growth stock. It's also not a particularly great story to tell prospective employees if you're trying to attract them with stock-based compensation.

minimaxon Why the Flash Crash Really Matters

I'm curious whether you have seen this speech from last year given by Gregg Berman who was, until recently, an associate director in the division of Trading and Markets at the SEC.

http://www.sec.gov/News/Speech/Detail/Speech/1370541505819

I think it shows that the regulators (at least some of them) do want to have a better understanding of the dynamics of the US equity market, and that they are trying to build the tooling that will give them the right sorts of insights. Berman's suggestion that policy changes ought to be driven by data are, I think, something that most technologists would agree with. For whatever it's worth, Berman also has a physics Ph.D. from Princeton. So if your insinuation is just that the regulators are more lawyer than scientist I don't think that's completely true.

edit: Also wanted to add that there has been a lot written about the flash crash and I think this article is definitely one of the better ones.

minimaxon Why the Flash Crash Really Matters

Yes, they are and they did. There are now circuit breakers in the US equities market that didn't exist in 2010. It would be basically impossible to get executions at $0.01 or $199,999.99 or large caps instantly trading at a 20% discount. Trading would be paused for 5 minutes in any symbol where the price got stuck against the LULD band for 15 seconds.

minimaxon Guy trading at home caused the flash crash of 2010

Dude the front month S&P e-mini is one of the most liquid products on the planet. You are looking at a crappy chart. Look here: http://www.cmegroup.com/trading/equity-index/us-index/e-mini...

minimaxon UK trader in fraud arrest over US 'flash crash'

I think what he will claim is that his orders were not "virtually impossible" to trade with. The so-called "layer" orders were in the book for a reasonable length of time. His trading program was modifying the orders to keep them a few ticks from the inside, but they could have been hit by any contra side order that was big enough to trade through all of the orders in front of his. It's not unheard of for big trades to sweep multiple price levels in the ES book.

They will have to prove that his intent was to use the spoof orders to signal other participants to trade and I'm not sure that is as much of a slam dunk as all these news articles are claiming. I.e. there is no email where he just comes right out and says "these here are the spoof orders meant to move the price etc etc etc."

minimaxon Once-In-a-3B-year Statistical Move – Jamie Dimon on the US Bond Market

This is classic Business Insider. They explicitly ignore the context and try to shake you up with a cherry picked quote. Jamie Dimon doesn't think, and doesn't want his reader to think, that October 15th was a once in a 3B year move. Specifically, in the letter, Jamie Dimon 1) never uses the term "flash crash" and 2) spends the previous five paragraphs explaining exactly how and why liquidity dynamics in the fixed income markets have changed.

What he is saying is that the Oct 15th move looks really strange, but not if you actually understand how fixed income market makers are reacting to the Volker rule. Quoting Dimon:

For instance, the total inventory of Treasuries readily available to market-makers today is $1.7 trillion, down from $2.7 trillion at its peak in 2007. Meanwhile, the Treasury market is $12.5 trillion; it was $4.4 trillion in 2007.

What he's saying is that market makers have smaller inventories on absolute terms, and much smaller inventories on relative terms, so when multiple big market participants try to move in the same direction at the same time, there is much less inventory available to soak up demand.

minimaxon Why TCP Over TCP Is a Bad Idea (2001)

I have come across networks that filter everything but a few TCP ports (like 80 and 443)

Another point scored for TCP in TCP with an SSL VPN. :-)