[HN Gopher] An Intern's Guide to Trading
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An Intern's Guide to Trading
Author : 6502nerdface
Score : 203 points
Date : 2021-07-07 17:58 UTC (5 hours ago)
(HTM) web link (www.nasdaq.com)
(TXT) w3m dump (www.nasdaq.com)
| paveworld wrote:
| Not sure if this will help you but...
|
| https://web.archive.org/web/20210301042419/http://www.stockf...
| anonu wrote:
| First impression from a quick perusal: looks really good and
| complete. Touches on topics not normally discussed in trading or
| r/wsb
| frakkingcylons wrote:
| Indeed. This is a good resource to counter the nonsense that is
| spread about payment for order flow and market makers.
| anm89 wrote:
| Does anyone remember starfighter.io/stockfighter.io that
| Kalzumeus put up years ago? It was based around coding market
| making strategies based on the structures presented in this
| article.
|
| I still kick myself for not completing that when it was up. I'm
| always hoping that that will make it's way back up one day
| clusterhacks wrote:
| I sure do - I finished all the stockfighter levels and loved
| the experience.
|
| There were some people who reverse-engineered stockfighter and
| had at least some of the code on github. You might try looking
| around for it.
|
| I sometimes look around for companies that use hiring
| challenges like that now but haven't had much luck.
|
| I think fly.io is using some type of challenge in their hiring
| process which makes sense given tptacek, patio11, and elptacek
| were the stockfighter cofounders.
| tptacek wrote:
| We do exclusively use work-sample hiring at Fly.io right now,
| though it looks a lot different from Starfighter
| (Microcorruption, Starfighter's predecessor, also wasn't the
| work sample we used at Matasano; both Starfighter and
| Microcorruption were about outreach). It'd be neat to come up
| with something Starfighter-y/Microcorruption-y that meshed
| with what we're doing at Fly.io.
|
| (I don't want to get too far off on a tangent here, though,
| because I also nerd out about market structure stuff and
| that's what the thread is about.)
| distrill wrote:
| I swear every 2 years tptacek has a new company with some
| obscure name.
|
| I guess fly isn't that obscure, maybe he's turning over a new
| leaf.
| tptacek wrote:
| I didn't start Fly.io! That's why it has a normal name.
| idlewords wrote:
| You didn't start the Fly.io
|
| It was always burning, since the world's been turning
| Bootvis wrote:
| I think the ending was somewhat underwhelming but I sure had
| fun tinkering with C++.
|
| I know of a competition putting where students against each
| other. Competing with others seems more fun.
| catern wrote:
| I loved Stockfighter. I played through it as preparation for
| starting my first job out of college, at an HFT. No comment on
| whether it was good preparation. :)
| WA wrote:
| Why was stockfighter never open sourced? I played it, never
| finished it unfortunately.
| tptacek wrote:
| We were all super busy after we moved on from the business.
| AudienceFakeout wrote:
| >Access Denied
|
| >You don't have permission to access
| "http://www.nasdaq.com/articles/an-interns-guide-to-trading-2..."
| on this server.
|
| >Reference #18.e0745968.1625685764.2ef97a3a
|
| Why do sites do this? Yes, I'm using Tor Browser to protect my
| privacy and stop big companies from tracking me. But I can just
| plug the URL into an archive service and read it from there.
| unholythree wrote:
| Nasdaq.com will block you temporarily for the sin of not
| running all the JavaScript they want. It's pretty annoying but
| I guess it mostly affects users they don't care about. I don't
| visit enough to know the exact mix I'd have to allow in
| noscript to earn their trust.
| slownews45 wrote:
| Because the amount of abuse / scam / crap via Tor is
| incredible?
| AudienceFakeout wrote:
| I suspect it's just a passive aggressive way to punish people
| who value their privacy.
| anoncake wrote:
| This is a blog post.
| slownews45 wrote:
| This is nasdaq.com
|
| Any major player with an actual security dept is going to
| have evaluated just blocking Tor - or they are wildly
| irresponsible. It's a relative low effort way to get a win
| on security with minimal harm to customers and particularly
| paying customers.
|
| Their sec ops team will be subscribed to things like DHS
| CISA alerts.
|
| Alert (AA20-183A) Defending Against Malicious Cyber
| Activity Originating from Tor
|
| They will evaluate the least effort approach and
| potentially follow it.
| anoncake wrote:
| No. It's a blog post. End of story, I don't care who made
| it. Letting someone view a blog post is not a security
| risk, anyone who treats it as one is wildly incompetent.
| dsr_ wrote:
| It's a lot easier to have the consistent policy "we block
| Tor exit nodes" than "we block Tor exit nodes, except on
| this site".
|
| Then they have to make that decision about every site.
| And re-evaluate that decision every so often.
| anoncake wrote:
| Of course. If you aren't competent enough to make good
| decisions, you have to make easy ones.
| tekromancr wrote:
| Because if you set up something like fail2ban to automate
| blocking abusive traffic, it's going to quickly block tor exit
| nodes and public vpn servers
| H8crilA wrote:
| This is great, but remember that if you're interested in
| investing, and not the markets themselves and trading, then this
| whole landscape is already so over-optimized to the point of
| being irrelevant. You could've achieved everything you wanted in
| investing even in the pre-computer era, like for example Buffett
| did. In fact you could've done everything you wanted already in
| the 1600s Amsterdam - see the book "Confusion of Confusions", a
| pretty great read.
|
| Read the 10-Ks, think about what people (will) need, what kind of
| margin pressures and competition dynamics will play out across
| the economy, read finance history books, play with pricing
| models. Focusing on market structure is kind of like focusing on
| network adapters and packet switching details, focusing on
| valuations/pricing/finance is like building deep ML models. Of
| course you need the damn networks to work, but guess what - some
| pretty clever people have already solved that for you.
| kachnuv_ocasek wrote:
| You seem to be implicitly assuming that financial markets are
| efficient and that market makers and high-frequency trading
| firms are the ones making that happen. Both of these
| assumptions are demonstrably false.
| H8crilA wrote:
| I'm making neither of those assumptions. Also, HFT is pretty
| much as far from making markets "efficient" prediction
| mechanisms as you can. HFT is a part of the plumbing of
| financial markets, they arb out the tiny but obvious things.
| For example they're the people that make ETFs possible -
| Vanguard or what have you doesn't actually go and buy all the
| thousands of securities that they have in their products,
| they outsource it to so called Authorized Participant (read:
| some org with HFT skills).
| whimsicalism wrote:
| > HFT is pretty much as far from making markets "efficient"
| prediction mechanisms as you can
|
| ? HFT facilitates liquidity, liquidity facilitates
| efficiency.
| H8crilA wrote:
| Yes of course, but i meant as far as you _can_ [while
| still being a market participant].
|
| Nobody really cares (except for traders) if the US 10
| year note is at 1.54% or 1.52%, but rather if it's at
| 1.5%, or 2.5%, or 3.5%. Or even 10%.
| smabie wrote:
| I wouldn't say that HFT arbs out only the "obvious" things.
| We try to arb the non obvious things as well, with more or
| less success.
|
| HFT just means you trade a lot and you have low tick to
| trade latency. It doesn't say much about why you are
| trading.
|
| For example you could have a HFT stat arb strategy in which
| you are arbing higher dimensional factors that are pretty
| far from obvious.
|
| In general, the speed wars are over and everyone is
| reaching deep to become as smart as possible. Or in the
| other words, just being fast is no longer an edge, it's a
| commodity.
| qorrect wrote:
| > For example you could have a HFT stat arb strategy in
| which you are arbing higher dimensional factors that are
| pretty far from obvious.
|
| What does this mean (HFT stat arb strategy)? What higher
| dimensional factors ? Ty!
| whimsicalism wrote:
| > In general, the speed wars are over and everyone is
| reaching deep to become as smart as possible. Or in the
| other words, just being fast is no longer an edge, it's a
| commodity.
|
| I'm curious what the best techniques for being "smart"
| are when you have to have such quick turnaround. Are
| these rules-based techniques, statistical but
| interpretable, or black box?
| smabie wrote:
| I would say all of the above, with a general transition
| from rules -> statistical -> black box as time goes on.
|
| But you're right that being fast and smart is pretty
| hard. You almost always have to sacrifice one for the
| other. Different firms operate on different spectrums of
| this speed vs smarts divide: some are faster and dumber
| (relatively), some are slower and smarter. But everyone
| is trying to up skill (analogous to moving up on the
| value chain), because the markets have gotten _fiercely_
| competitive at the nanosecond to millisecond scale,
| especially on american venues (CME for example is a
| straight shark tank).
| gruez wrote:
| >Both of these assumptions are demonstrably false.
|
| Can you demonstrate?
| whatever1 wrote:
| Yes solve any market equilibrium model and compare to the
| real deal.
| [deleted]
| tptacek wrote:
| I'm not so much interested in investing at all, but I'm
| _fascinated_ by market structure details like these; it 's like
| an Internet of money. It has extreme nerd value, regardless of
| its utility for profit seeking. :)
|
| Also, the details in this article are implicated in all sorts
| of HN threads, so it's useful to have a place to link to when
| people start debating how market makers work or things like
| that.
| H8crilA wrote:
| Yeah, it's a heavily optimized technical system, it simply
| has to attract nerds :)
| SkyMarshal wrote:
| _> (see the book "Confusion of Confusions", a pretty great
| read)._
|
| Out of print, but gwern has a pdf:
| https://www.gwern.net/docs/economics/1688-delavega-confusion...
| bambataa wrote:
| This looks really interesting! I am relatively new to a tech role
| in finance and am still learning all the terminology. Does anyone
| know of a book that teaches markets from a historical, narrative
| perspective? I have found textbooks explaining the main asset
| classes and so on, but I think it would be really interesting to
| see an explanation of eg the repo market, invoice swaps etc as
| the evolution of solutions to problems.
| smabie wrote:
| Not exactly what you are looking for but this is pretty good:
|
| https://www.amazon.com/Devil-Take-Hindmost-Financial-Specula...
| 9214 wrote:
| https://archive.org/details/deviltakehindmos00chan
| drdrey wrote:
| I think "The Complete Guide to Capital Markets for Quantitative
| Professionals" comes close to what you're asking.
| ra7 wrote:
| Economics of Money and Banking [1] is what you're looking for,
| especially if you're interested in a historical narrative of
| the monetary system.
|
| [1] https://www.coursera.org/learn/money-banking
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