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Comment by rickette | Hacker News Reader

Over 500PB of data, wow. Would love to know how and why "statistical models that produce price forecasts for over 50,000 financial instruments worldwide" require that much storage.

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If you keep all order book changes for a large number of financial instruments volume adds up quickly.

Would that kind of data not compress like crazy? Or would they need to keep all that data hot and fast.

From just a single exchange you can reach up to 1 million messages of order book change per second

https://www.nasdaqtrader.com/snippets/inet2.html

   Message Volume  1,684,103,265
   Messages per Second  1,134,640
   Order Volume  871,875,595
   Orders per Second  581,696
   Share Volume  12,814,454,760
   Executions per Second  193,350

Also if you look at equity derivative products which have parameters like type call/put, strike, maturity can be hundreds of financial products for one underlying stock.

I worked in this sector and volume of data is a real challenge, no wonder you often get custom software to handle that :)

Thanks for the insight!

How do you propose lossless compression for all orderbook data? Of course if you are willing to lose granularity/information, it can be compressed a lot

I would imagine to lesser extent government policy changes and news articles, and to larger extent online discussions on topics relevant to these instruments. Models then attempt to extract signals with predictive value from all the noise. Probably contains non-trivial amount of history to correlate words to market performance in the past, say 20 years or more.

But it's really just a guess, I haven't worked in this domain.

Me too. Is is really hard for me to understand, what XTX is actually doing. Trading? VC? AI/ML?

Have you seen their portfolio?

PS: Company seems legit. Impressive growth. But I still don't understand what they are doing. Provide "electronic liquidity". Well....

computing correlations between 50.000 financial instruments (X^T X) and doing linear regression ;).

High frequency trading.

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