> Please don't use Hacker News for political or ideological battle. That tramples curiosity.
From the hackernews guidelines
634 karma · joined March 17, 2015
From the hackernews guidelines
To give you an example of the type of metaphor you'll come across: a character navigates a pair of S-shaped train tracks in a V2 rocket bunker, which the author compares to both the SS double-lightning bolt and a double-integral. He later links that to the rockets' accelerometer-based integration over the force function to compute distance traveled, and ultimately trigger "brenschluss" (fuel cutoff). Here's a famous excerpt:
That is one meaning of the shape of the tunnels down here in the Mittelwerke. Another may be the ancient rune that stands for the yew tree, or Death. The double integral stood in Etzel Ölsch’s subconscious for the method of finding hidden centers, inertias unknown, as if monoliths had been left for him in the twilight, left behind by some corrupted idea of “Civilization,” in which eagles cast in concrete stand ten meters high at the corners of the stadiums where the people, a corrupted idea of “the People” are gathering, in which birds do not fly, in which imaginary centers far down inside the solid fatality of stone are thought of not as “heart,” “plexus,” “consciousness,” (the voice speaking here grows more ironic, closer to tears which are not all theatre, as the list goes on . . .) “Sanctuary,” “dream of motion,” “cyst of the eternal present,” or “Gravity’s gray eminence among the councils of the living stone.” No, as none of these, but instead a point in space, a point hung precise as the point where burning must end, never launched, never to fall. And what is the specific shape whose center of gravity is the Brennschluss Point? Don’t jump at an infinite number of possible shapes. There’s only one. It is most likely an interface between one order of things and another. There’s a Brennschluss point for every firing site. They still hang up there, all of them, a constellation waiting to have a 13th sign of the Zodiac named for it.
> Same day settlement
This one is outside our control for the moment - we partner with a 3rd party for clearing and settlement, and would depend on our subscribers also making the switch to same-day.
Once we get into other asset classes, fast settlement is definitely of interest. Some cool stuff we could do with incorporating settlement instructions and/or counterparty risk constraints as part of the expressive bidding language.
Thanks! And yep, similar but all the way down to the venue/match level, e.g. as opposed to a broker taking on some legging risk to shield the end investor.
> How do you think market makers are going to react to this? Expanding on Kelly's take - the big thing it does for market makers is allow them to manage momentary risk. When a market maker gets filled on an exchange, they are immediately looking to hedge/offload what they took on which involves a sequence of transactions.
Here, the hedge is baked in. So for example, they may enter an order that looks like "buy and/or sell any mix of these 200 securities, if and only if the net change in risk (e.g. change in exposure across several factors) is within some tolerable distance from 0". So that would look like a traditional bid-ask spread across a series of symbols, but with a global exposure constraint. The key outcome being they can quote larger sizes across symbols safely.
NB: the MM doesn't need to know anything about the composition of the complex order on the other side. On top of that, they may be filling one leg, and a natural or other LP filling another etc..
We raised a series A in 2019 led by Green Visor (who has been excellent btw, and with us from the start)
> it seems like you've been building for ~5 years ... i'm guessing it cost quite a bit to develop
Yep, you're spot on that it's a complex product. The biggest cost has been making it feel for the user like it's not. What that boils down to is an enormous amount of iterative feedback and development w/ the industry. Between that and the regulatory process, a lot of the "cost" has been more duration than cash burn. We've kept things lean from the start in anticipation of that.
> unless you built out all of the components yourself
We've developed the tech in house, with some hands on help from our friends at Imandra mentioned in the OP. On the research piece: that's been happening in the background for many years, and we're definitely building on the shoulders of giants in the worlds of mechanism design, algorithmic game theory, and deep learning. We're lucky to have some great academic advisors involved (like Kevin Leyton-Brown since the early days) as well.
On substitutability: if you want to sell $2m of some sector basket you wouldn't put in a limit order for $2m in every security (overfill risk). An expressive order can enforce a $2m global constraint across the basket but show full size in each security. When lots of people are doing this, it solves the "ships passing the night" problem where people are looking for offsetting exposure at a high level but can't express anything but single stock orders.
On risk management: some constraints certainly are restrictive, e.g. conjunctive constraints like 'a' AND 'b' AND 'c'. It would be very unlikely that we find the exact opposite of that constraint, so the auction is multilateral: we can stitch together the contra with individual single orders for 'a', 'b', 'c'. Key to the liquidity aspect of this is our objective function: it rewards more aggressive pricing and larger quantities. So the principle here is that by gaining atomicity (and reducing uncertainty) people can be more aggressive on price and qty. This is especially important for liquidity provision: how much larger size could market makers quote if they could automatically hedge new positions they enter into?
All that said, bootstrapping liquidity is the hardest part of any venue launch. We're obsessively focused on making sure we have the right blend of participants trading on different horizons for a healthy pool.
The harder problem that large traders face is executing blocks and portfolio trades. How do you figure out what your total transaction cost (market impact / cost of liquidity) will be if you're buying 100x the displayed volume? Being able to express where you are flexible (e.g. individual security prices) and aren't flexible (aggregate price, atomicity) helps lock in the uncertainty pre-trade.
So we're actually mostly going after the large scale stuff, more than the small scale.
[0]: https://otctransparency.finra.org/otctransparency/AtsData
In stocks, A might be a company you invested in and B some ETF that you bought as a hedge for A. What if you sell out of A, and then the price of the ETF drops? There's value in being able to liquidate the full position - the single stock plus the hedge - at once.
That said, we'd love to get to the point where E-Trade etc. are offering combinatorial bidding to retail traders, with us on the back end.
I'm curious if you've come across OneChronos (upcoming US equities ATS - I'm a founder there along with @lpage; disclaimer). A lot of what you describe is baked in as a goal of our auction design. Most importantly, drawing out liquidity by incentivizing truthful bidding and allowing people to encode things like substitutability. We try to do that by giving people the tools to express their full intent to the venue[1]. Don't wanna get any more salesy than I already have here, but I always like to get points of view from other practitioners.
The more powerful and general version of this is: "Buy and sell any mix of products, subject to the total package being neutral across these 10 risk factors I care about."
> You might also want to do more complicated things, like pulling an order in one product if another product moves a lot
This is a key problem in US equities or any market with similar fragmentation. The way we're approaching that is to allow those package bids to also include constraints on "current" market conditions at the moment of the auction. A simple one would be "if the momentary spread between asset A and B is greater than X, don't trade."
[0]: https://www.forbes.com/sites/forbestechcouncil/2021/12/30/th...
[0] https://transnexus.com/whitepapers/understanding-stir-shaken...
Of course it matters. A bot can scale to appear as millions of people. So whoever wields the most compelling bots gets a massive force-multiplier for their opinions and objectives. Or more likely, grants that power to the highest bidder.
These hidden costs are almost identical in the world of independent freelance work. Similar for "gig" workers as well. An Uber/Lyft driver told me he aims for 10 hours per day, which usually takes an extra 4 hours (14 total) of unpaid relocating, waiting around, etc.
My hope is that people view this as the cost of autonomy, but I fear most people aren't pricing it in.
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If I'm reading correctly, that 2015 MR paper establishes that LDL and triglycerides play a role in heart disease by filtering populations used in prior studies for genetic blood lipid factors. But it doesn't make any claims about alcohol. Is there already a well established link between alcohol and LDL / triglycerides?
My impression is that the relationship between LDL, HDL, and triglycerides and what we eat/drink is not well understood. But I'm not involved in biology or medicine, so maybe you can help me understand this better?
With a headwind or tailwind, tacking could be used but the increased distance traveled may offset the gains from the Magnus sail.
What you've done with this comment is refreshing: you've overcome the enormous pressure to be the best version of yourself online. Well done!
1: https://www.ajpmonline.org/article/S0749-3797(17)30016-8/ful...
I had the same thought, but there may be more to it... they unfortunately left us speculating as to what findings about their admissions process led them to this change.
Trying on a slightly fringe hypothesis: engineering has surpassed finance as the perceived get-insanely-rich discipline. So the top engineering schools are now more vulnerable to those who will pretend their "heart is in the work" but really just want to get on track to becoming Lord Voldemort (take your pick of real-world unscrupulous CEO). I have nothing against financial success being a motivator. But as a university, or as a manager for that matter, I'd want to filter out anyone for whom it's the only motivator.
Put another way: a demonstrated interest requirement selects for intense drive/motivation of any kind. Maybe CMU is looking for a specific kind, e.g. intellectual curiosity.
As an aside, agreed there will always be admissions gaming. But if the game is going to be broken, changing the rules periodically at least prevents the hacks from becoming too commoditized.