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Comment by polskibus | Hacker News Reader

This is great, I wonder what is such a talented developer doing these years? Has tech moved so much that there are less and less HFT jobs? Or is it the opposite?

On a side note - can anyone recommend a book with similar stories? Ie. from the trenches of development, finance + software?

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Not so talented, just persistent I think. One foot in front of the other helps the journey.

I've taken a year or so off. My aged mother had cancer and subsequent health issues. Doodling with thinking about HFT again, working on some transport IP stuff...

Id recommend "Dark Pools" and "The Quants" both by Scott Patterson.

"Flash Boys" is a fun read since its written by Michael Lewis(good storyteller) but Ive heard have claim it isnt very accurate.

Yes HFT is dying, just check out how many HFT firms either closed down or sold themselves in recent year.

You might want to read book "Flash Boys" by Michael Lewis.

Why is that? Did someone won and took it all ? What happened?

I think it has become more polarised as jitter (as a consequence of latency) has come down. Also more democratised and many vendors provide good solutions.

Still, quite good profits in the system. See: https://meanderful.blogspot.com.au/2018/01/australian-popula...

Could you explain the information edge that asset managers have? I always thought the big guys were the easiest targets.

What kind of algos (you mention that in the article) can they employ to defend or just perform better? I'd love to read more about it, it's very interesting - can you point me towards some resources ? I'm not in finance but this "war" has always fascinated me.

The primary information edge an asset manager has is that they have large enough order that it is not immediately consumable. This will have a price impact. So, if they take the HFT price on offer at a market, the HFT will lose money as the price will go against them.

Most of the algos I'm thinking about there are designed to minimise market impact. They do this by spreading the order over time and/or space (venues) as well as by balancing passivity and aggressiveness.

There is not a terrible lot that is written that is unbiased as most have a particular POV. Market microstructure textbooks are perhaps the healthiest place to start ;-)

Thanks a lot for sharing those bits of knowledge! I'll look into that, have you ever considered writing a book? ;) I added your blog to my long must read!

I love HN for such moments, out of a blue a post on a superinteresting topic AND a knowledgeable person who doesn't mind answering some questions.

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