This offers no insight into HFT and is not an apology. Why is it here?
For people interested in HFT, start your exploring with a google search for "latency arbitrage".
For people interested in HFT, start your exploring with a google search for "latency arbitrage".
"2. a defense, excuse, or justification in speech or writing, as for a cause or doctrine."
Basically, apology as "explanation and defense of an idea".
Though, the article promises a defense in a later post, so perhaps it will turn into an apology then.
My apologies (in the sense of definition 1) to those who feel misled. I'll polish up the actual apology (in the sense of Hardy) post-haste.
The author might consider the word "apologia", which does not obviously mean saying sorry and has the additional benefit of sounding Greek, stirring up memories of Socrates' famous defense at his trial. But again, there isn't even a defense in the author's post, just the promise of one forthcoming.
Without looking, as it has been years since I did this professionally: is latency arbitrage looking at price moves out of sync with different ECNs and liquidity providers?
Latency arb was born out of the fragmentation that was introduced when the SEC passed Reg ATS.
For those unfamiliar with trading, there are many exchanges, not just one. All of those exchanges are obligated to trade at the same prices. To ensure this, Reg ATS establishes the NBBO: National Best Bid/Offer. If you're buying, and one exchange has an offer at $10.00 and another has an offer at $9.00, $9.00 is the best offer. If you send an order to the exchange that has a $10.00 offer, they are legally obligated to send that order to the exchange with the best price.
Latency arb is the process of keeping quotes/prices in sync by trading when a specific exchange's prices don't match NBBO. Many of the largest HFT players work on a very simple principle: they subscribe to all of the exchange feeds and construct their own NBBO that is faster than the best commercially available NBBO feed. With this, you know what direction stocks are moving as it happens.
Keep in mind that a "price movement" rarely occurs at a specific instance in time. It occurs over the horizon that it takes for the market to synchronize -- which happens as fast as possible and is based on the infrastructure investments of high frequency traders. If you can do it faster and you build the infrastructure the world is yours. Like Vanderbilt with railroads.