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Re: High-frequency trading

por FDPC » 11/5/2014 8:07

Pois já foi..........................ssssssssssssssssssssssssssssss foi vai hum não sei ,faster faster faster hummm

tem calma, vai de mota que vais bem, mesmo excelentemente bem, vem de boleia


https://www.youtube.com/watch?v=iRWp9rhfS_0
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Re: High-frequency trading

por FDPC » 11/4/2014 0:06

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Re: High-frequency trading

por FDPC » 8/4/2014 23:25

Na HFT hoje, há uma regulamentação total e aprovada por todos os mercados em mais alta instancia. Nas consultas anteriores há documentos oficiais que se farta.

Todos. Todos os mercados. Organiza-te ó mercado.

Aqui está o melhor exemplo do HFT Mundial. Nanex.

http://www.nanex.net/aqck2/4594.html
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Re: High-frequency trading

por VirtuaGod » 5/4/2014 4:55

High-Frequency Trading: How It’s Changing the Market - CFA's Enterprising Investor blog Linkfest
Artigos e estudos: Página repositório dos meus estudos e análises que vou fazendo. Regularmente actualizada. É costume pelo menos mais um estudo por semana. Inclui a análise e acompanhamento das carteiras 4 e 8Fundos.
Portfolio Analyser: Ferramenta para backtests de Fundos e ETFs Europeus

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Re: High-frequency trading

por FDPC » 5/4/2014 1:41

FDPC Escreveu:Vá deixa isso.

Porque o NASDAQ cai hoje, e foi em 2 segundos não foi, para quem esteve atrás do ecrã sentiu e observou.

Quando houver duvidas não duvide em consultar.

http://www.nanex.net/aqck2/4598.html

https://twitter.com/nanexllc



Continue assim Eric. Parabéns!
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Re: High-frequency trading

por FDPC » 5/4/2014 1:40

Vá deixa isso.

Porque o NASDAQ cai hoje, e foi em 2 segundos não foi, para quem esteve atrás do ecrã sentiu e observou.

Quando houver duvidas não duvide em consultar.

http://www.nanex.net/aqck2/4598.html

https://twitter.com/nanexllc
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Re: High-frequency trading

por FDPC » 2/4/2014 11:53

FDPC Escreveu:http://www.cybertradinguniversity.com/event/free-class-following-hft/

Vai haver um seminário on-line hoje.



O modelo algoritmo perfeito : - imagine cada pássaro é uma ordem no segundo 31 o arranque, podes pular até o minuto 4. 8-)


https://www.youtube.com/watch?v=UX-7kDh2MGE
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Re: High-frequency trading

por FDPC » 2/4/2014 11:48

http://www.cybertradinguniversity.com/e ... owing-hft/

Vai haver um seminário on-line hoje.
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Re: High-frequency trading

por arnie » 2/4/2014 10:51

Is the U.S. stock market rigged?

Michael Lewis explains his new book "Flash Boys"

http://www.cbsnews.com/news/michael-lew ... lash-boys/
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Re: High-frequency trading

por FDPC » 2/4/2014 1:46

FDPC Escreveu:There is a $500M a year fraud going on. People paying for real-time data they aren't getting. Obrien *clearly* states this on CNBC.

Quero ver a Bloomberg chama-lo ao cenário.

https://twitter.com/nanexllc



Será que a Bloomberg tem kabidal pra isso?
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Re: High-frequency trading

por FDPC » 2/4/2014 1:45

There is a $500M a year fraud going on. People paying for real-time data they aren't getting. Obrien *clearly* states this on CNBC.

Quero ver a Bloomberg chama-lo ao cenário.

https://twitter.com/nanexllc
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Re: High-frequency trading

por Automech » 11/3/2014 16:39

É incrível a luta permanente pela velocidade.

High-Speed Stock Traders Turn to Laser Beams

As high-speed stock traders push to trade ever faster, their newest move involves harnessing a technology that U.S. military jets use to communicate as they soar across the sky: lasers.

In March, a small Chicago communications company plans to switch on an array of laser devices linking the New York Stock Exchange's data center in Mahwah, N.J., with the Nasdaq Stock Market's data center in another New Jersey community, Carteret.

The lasers, perched atop high-rise apartment buildings, towers and office complexes along the 35-mile stretch between the communities, are the first phase of a grid intended to link nearly all U.S. stock exchanges this way, zipping market data and rapid-fire trades.

It is the latest salvo in the "race to zero," traders' term for their efforts to whittle away the difference between the speed their orders travel at and the speed of light. Zero, the point at which that difference would disappear, has become a kind of holy grail to computerized traders, for whom nanoseconds—billionths of a second—can spell the difference between profit and loss in their algorithm-driven trades.

In recent years, so-called high-frequency trading firms, which account for about half of U.S. stock trading, have adopted first custom-built fiber-optic cables, then microwave and later millimeter-wave transmissions. Networks built on all three technologies operate today, tying together exchanges around the U.S. Internationally, fiber-optic cables laid across the oceans link America's markets with Europe's and Asia's.

Claudio Papapietro for The Wall Street Journal Devices Anova installed atop a senior housing facility in Elizabeth, N.J.
Now come lasers.

"This is a never-ending race," said Michael Persico, founder and chief executive of Anova Technologies LLC, the company behind the plan to link the NYSE and Nasdaq data centers in New Jersey by laser.

Computerized trading firms will be able to take advantage of this technology by placing their servers—the machines that spit out their buy and sell orders based on algorithms—at the exchanges' data centers.

Anova also is working on a deal with the New York Stock Exchange under which the NYSE would offer its technology to the exchange's trading clients, according to people familiar with plans of the exchange, which is owned by IntercontinentalExchange Group Inc. Nasdaq, part of Nasdaq OMX Group, already offers its clients a wireless network, one based on microwaves.

Some question whether Anova's lasers will provide a meaningful speed improvement over networks that are already in place, since microwave and millimeter-wave order transmissions also travel at near light speed. "The difference between networks is getting very small in the metro areas," said Stephane Tyc, co-founder of McKay Brothers LLC, an Oakland, Calif., company that provides fast trading networks. Still, firms such as Anova continue pushing to boost traders' speeds by increasingly tiny slivers of a second.

High-speed, computerized firms today trade everything from stocks to oil futures to government bonds, including securities whose prices move instantly when the government releases economic data such as jobs reports. To pare precious fractions of a second off the time it takes to transmit such data, Anova and other communications companies place networking equipment at a data center on 1275 K Street in Washington, physically close to government agencies.

In the latest tactic, some high-speed traders obtain news releases directly from distributors, avoiding the tiny time lag involved in going through the financial news media.

Federal regulators are wary of algorithmic traders' relentless push for speed, worried about the potential for future market shocks such as the "flash crash" of May 6, 2010—when heavy selling and waves of high-speed traders fleeing the market triggered wild stock swings—and the loss of more than $460 million in 45 minutes by electronic-trading firm Knight Capital Group Inc. in August 2012.

Claudio Papapietro for The Wall Street Journal Another device at the facility in Elizabeth, N.J.
"We must think about why this technological arms race is happening and whether it poses any threats to our markets," said Kara Stein, a commissioner of the Securities and Exchange Commission, in a speech in November. "And we should candidly assess the costs and benefits to both investors and businesses."

The Treasury Department's Office of Financial Research in December labeled high-speed trading a "key source of operational risk across all markets."

Defenders of high-frequency trading say the millions of orders its practitioners churn out support the overall financial markets by providing liquidity, meaning the ability to buy or sell without moving prices much.

And rapid-fire traders can serve this function better with greater speed, defenders say. The argument is that the ability to jump in and out of positions more rapidly enables high-speed traders to place more-aggressive bids and offers—and these, in turn, help all investors get the prices they want.

"Speed makes markets way more efficient," said Peter Nabicht, a former high-speed trader who is now a senior adviser to Modern Markets Initiative, a trade group.

As the push for speed grows, it is increasingly expensive for traders, banks and brokerage firms to keep pace. Market players world-wide spent about $1.5 billion in 2013 on technology to increase trading speeds, nearly double the amount spent in 2009, according to estimates by research firm Tabb Group.

What regulators could do if they wanted to slow the race isn't clear. The SEC is considering whether exchanges should set up "kill switches" that could shut down a rogue trading algorithm threatening market havoc.

The competition revved up several years ago when Spread Networks LLC, a company backed by former Netscape Chief Executive Jim Barksdale, spent an estimated $300 million to build a fiber-optic network to transmit orders between Chicago and New York markets. Fiber-optic networks already existed, but Spread's, by using more-direct routes, claimed to shave about three milliseconds—thousandths of a second—off an order's round trip between New York and Chicago. Trading firms ponied up millions of dollars a year to use the network.

Ordinary investors barely noticed the advent of Spread's network in August 2010, but it was a significant event for high-speed firms. Getco LLC, which used the network, saw its expenses shoot up, in part because of the fees charged by Spread, according to a regulatory filing.

Getco acquired Knight last year and now is called KCG Holdings Inc. KCG and Spread both declined to comment.

Spread's lead didn't last. Several companies set up chains of microwave dishes between financial-market data centers in Chicago and New Jersey. These could send orders slightly faster than signals sent through fiber-optic cables, which fly at about two-thirds the speed of light.

Next, several companies, including Anova, started to use millimeter waves, with shorter wavelengths. They can carry more information than standard microwave transmissions. But they don't travel as far, so they have to be reinforced with relay devices at more points.

In all, about a dozen microwave networks, some owned by trading firms, have been set up between the New Jersey data centers and Chicago.

Nasdaq offers one such network to its trading clients, from Strike Technologies LLC, a company whose ranks include former U.S. and Israeli military engineers. Strike says the network can send data between Nasdaq's New Jersey data center and CME Group Inc.'s in Aurora, Ill., in 4.13 milliseconds. The NYSE's possible arrangement to offer Anova's laser technology to clients would be similar, said the people familiar with the exchange's plans, who said they expect a deal in the coming weeks.

While faster than fiber-optic cable, microwave and millimeter-wave systems are vulnerable to rain, wind, solar activity and even flocks of birds, which can disrupt signals. That matters to firms that are trying to execute thousands of trades a minute on dozens of different markets.

At Anova, a major provider of millimeter-wave technology, Mr. Persico worried that some system could come along with better speed or reliability. He looked for a technology with a level of consistency telecom insiders call "five nines"—signal transmissions that are up and running 99.999% of the time.

In 2011, Mr. Persico read an article in a trade journal describing how a Silicon Valley company called AOptix Technologies Inc. had designed military technology using lasers to communicate in battlefield conditions. His first thought: "I wonder if they can put those on a tower?"

The technology traced back to the 1990s, when two scientists designed a method to gather images from outer space that corrected for atmospheric distortions. They developed technology for telescopes with flexible mirrors that could adjust thousands of times a second.

Soon, they realized the technology could also be used to transmit data using lasers. They formed AOptix and contracted with the U.S. government to provide communication devices for military aircraft.

Mr. Persico asked AOptix whether its laser system could be used to send stock-market data. The company was confident it could, because stock data would only have to move from one fixed spot to another.

"Finding a tower isn't hard for us, because we can find airplanes" with the lasers, said the CEO of AOptix, Dean Senner.

Mr. Persico wasn't the only one who thought of adapting the lasers for stock orders. Several Wall Street firms also reached out to AOptix. After weighing offers, AOptix signed a deal with Anova in December 2012, partly, it says, because Anova had backing from a large Wall Street bank. The bank's identity couldn't be learned.

Mr. Persico set about securing rooftops and other spots to place his lasers between the New Jersey communities housing the NYSE and Nasdaq data centers. Anova said it has dozens of trading firms waiting to try the lasers when they go live.

He said the technology is expected to be largely free of weather-related consistency issues. The flexible mirror system weeds out atmospheric distortions, and a stabilizing system—first designed to let planes use the lasers while in flight—helps keep the devices in contact.

The stabilizing system also means the devices can be put in spots where other technology, such as microwave dishes, can't go. That lets the lasers send signals along a straighter path and thus speeds up transmissions, Mr. Persico said.

One firm that plans to use the system is XR Trading LLC of Chicago. It is a "very compelling technology," said XR's president, Matthew Haraburda. He said if it behaves as intended, it could be "a huge development" in trading technology.

Not that it will be the end of the race for speed, though, or will stop traders from trying to think up new ways to move their orders along quickly. Some dream of a replacement for the fiber-optic cables across the Atlantic and Pacific. The idea: Turbocharge intercontinental trading by floating balloons carrying microwave dishes over the ocean.

http://finance.yahoo.com/news/high-spee ... 00567.html
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Re: High-frequency trading

por FDPC » 18/1/2014 17:50

Faltou dizer que o demo da Nanex levou mais de 3 horas a descarregar.
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Re: High-frequency trading

por FDPC » 18/1/2014 17:49

Boas

Em set/out 2013 debruçei-me sobre o HTF.
Encontrei tanta polemica sobre o assunto que meu interesse ficou redobrado.
E a polemica troxeu-me até a comissão européia, com essas palavras no motor de busca.
É mais prático assim:

http://scholar.google.pt/scholar?q=euro ... CCkQgQMwAA,

com todos esses documentos, do dbresearch.de, deutsche-bourse , etc e pareceres,
auditoria e estudos da união européia e regulação e normalização.


Procurei identificar as bases e fundamentos, história e a Nanex é a natural eleita para
os EUA.
Também identifiquei que a Nanex com seu potente banco de dados até ultima notícia
possui parceira com a http://www.iqfeed.net/ ,http://about.dtnpf.com/ag/products/.
Encontrei também parceria com o fornecer do banco de dados para a http://www.ninjatrader.com/.
Porém convém salientar que eles , o SECTOR HTF querem fazer o HTF por ondas de rádio e já estão avançando com os projetos de antenas saindo da linha fisíca ótica, devido ao delay de nanosegundos entre Nova York e Chicago.
Aqui na Europa estão em força e em peso, França, Alemanha ,Inglaterra e recentemente a Nanex invadiu Oslo. O que isso poderá implicar? Mais liquidez em Oslo? Em leitura identifiquei que as Europeans Exchanges reformularam as medidas de segurança do mercado (servers, controler, inspeções). Na Holanda um operador levou com 2 anos de pena e uma pesada multa por manipulação de mercados com o HTF.
A Nanex não se dá ao trabalho de divulgação e publicidade de vendas de seus serviços de HTF.
O Eric Scott Hunsader fundador da Nanex diz que não é necessário. Um web, videos e já está,
que uns vão falando com os outros.
A melhor maneira de se acompanhar a Nanex é no https://twitter.com/nanexllc.

http://www.europarl.europa.eu/news/en/n ... cy-trading

Aqui na Europa há este http://www.eurexchange.com/exchange-en/ ... y_trading/

Os custos da Nanex são: tom@nanex.net
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1 exchange $175 per month
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7 exchanges $450 per month
custom package $670 per month
Discounts of 20% apply to all purchases of 1 year or more.
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Data samples and sample applications are provided by request!
Nanex offers the following exchanges:


NASDAQ
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Best Bid/Ask Quotes Pink Sheets
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All Quotes or NBBO only
CME
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Depth of Market CBOT
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Depth of Market NYMEX
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COMEX
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Best Bid/Ask Quotes NYSE LIFFE
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Best Bid/Ask Quotes CFE - CBOE Futures
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ICE Futures US
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Futures - Level 2 SGX - Singapore
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Barclays
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CBOE
Dow Jones
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Please let me know if your team has any questions in terms of the data, API, or pricing!

E ficamos por aqui, são custos demasiados para este marinheiro de primeira viagem.
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Re: High-frequency trading

por Quico » 17/1/2014 21:55

"People want to be told what to do so badly that they'll listen to anyone." - Don Draper, Mad Men
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HFT good bad regulation

por LTCM » 17/12/2012 15:09

<iframe class="scribd_iframe_embed" src="http://www.scribd.com/embeds/116950284/content?start_page=1&view_mode=scroll" data-auto-height="true" data-aspect-ratio="" scrolling="no" id="doc_58088" width="100%" height="600" frameborder="0"></iframe>
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por LTCM » 26/10/2012 14:55

Imagem

8-)
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por LTCM » 26/10/2012 14:53

Remember the Golden Rule: Those who have the gold make the rules.
***
"A soberania e o respeito de Portugal impõem que neste lugar se erga um Forte, e isso é obra e serviço dos homens de El-Rei nosso senhor e, como tal, por mais duro, por mais difícil e por mais trabalhoso que isso dê, (...) é serviço de Portugal. E tem que se cumprir."
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por LTCM » 23/10/2012 15:07

Remember the Golden Rule: Those who have the gold make the rules.
***
"A soberania e o respeito de Portugal impõem que neste lugar se erga um Forte, e isso é obra e serviço dos homens de El-Rei nosso senhor e, como tal, por mais duro, por mais difícil e por mais trabalhoso que isso dê, (...) é serviço de Portugal. E tem que se cumprir."
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por LTCM » 7/10/2012 13:10

But if you look at what’s happened over the past five years, since 2007, the benefits of high-frequency trading have pretty much plateaued. And the downsides are becoming more and more obvious. There was the flash crash, of course, and then there was the implosion of Knight Capital, one of the biggest and most respected high-frequency trading shops, which released a faulty algorithm one morning and was almost bankrupt an hour later, after losing somewhere in the region of $10 million per minute. If that could happen to Knight, it could happen to anybody. Then there was the botched flotation of one of the stock exchanges, BATS. Once again, its algorithms turned out to be not up to the task. And this was in an expected, rather than an unexpected, situation.

There are more subtle signs, too, which are if anything even more worrying. For instance, look at stock-market volume — the amount of money which changes hands every day. That’s going nowhere: if anything, it’s going down, even as high-frequency traders get bigger and bigger. That says two things.

The first is that real-money investors, the people who the market needs the most, are being scared away by the algobots, because even if the bots are good for the little guy, they’re really bad for big, institutional investors. For big investors, the stock market is more of a rigged game now than it has been in a long time – and they’re taking their ball and they’re going home.

The second reason that volumes are dropping is that the algobots are getting so sophisticated at sparring with each other that they’re not even trading with each other any more. They’re called high-frequency traders, but maybe that’s a misnomer: a better name might be high-frequency spambots. Because what they’re doing, most of the time, is putting buy or sell orders out there on the stock market, only to take those orders back a fraction of a second later, and replace them with new ones. The result is millions of orders, but almost no trades.
Remember the Golden Rule: Those who have the gold make the rules.
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por LTCM » 3/10/2012 13:48

FrancRap Escreveu:http://www.nytimes.com/2012/10/02/opinion/putting-the-brakes-on-high-frequency-trading.html?smid=pl-share

Mais umas achas para a fogueira, parece que cada vez mais gente se insurge contra o HFT, a minha pergunta é no mundo globalizado em que vivemos será mesmo possivel parar ou sequer abrandar isto?


Intraday trades should be taxed at 50 percent. And “investments” that mature in 60 seconds should be regarded as, in effect, electronic errors — with any profit going to the government. This will greatly reduce high-speed trading and divert its remaining gains to the public.
:twisted: :twisted: :twisted: :twisted:
Remember the Golden Rule: Those who have the gold make the rules.
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"A soberania e o respeito de Portugal impõem que neste lugar se erga um Forte, e isso é obra e serviço dos homens de El-Rei nosso senhor e, como tal, por mais duro, por mais difícil e por mais trabalhoso que isso dê, (...) é serviço de Portugal. E tem que se cumprir."
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por FrancRap » 3/10/2012 11:11

http://www.nytimes.com/2012/10/02/opini ... d=pl-share

Mais umas achas para a fogueira, parece que cada vez mais gente se insurge contra o HFT, a minha pergunta é no mundo globalizado em que vivemos será mesmo possivel parar ou sequer abrandar isto?
 
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por PMACS » 19/9/2012 21:20

“When it is obvious that the goals cannot be reached, don't adjust the goals, adjust the action steps.”
― Confucius
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por LTCM » 3/9/2012 14:21

You title one of the later chapters of your book “Wall Street Versus Silicon Valley” Explain.

It’s incredible; people don’t realize how many software engineers Wall Street takes off the market. And in the past, when Silicon Valley companies went head to head with Wall Street firms, it was very hard to compete for the best engineers because the salary packages were so dissimilar, including the bonuses. And there was a prestige in working for a company like Goldman Sachs. So, I’ll just say, luckily for the economy, some of that prestige has worn off. And I think that’s better all in all because the utility that someone with that kind of skill brings to the economy when they go to a place like Morgan is minimal--or even negative in the worst cases. Whereas if they go to a startup, they’re actually building the economy. They’re building GDP by affecting the most dynamic and growing segments of our economy. At Wall Street, they’re just moving money around.

It wasn’t always like that.

Yes, there were good things that happened within the algorithmic trading industry 10, fifteen years ago that changed the game for all of us. Like letting you and me trade stocks from our house for six bucks, which gave the normal guy liquidity, essentially democratizing the markets. But we’ve long since passed that type of utility. Now we are just moving around decimal points and in fact, building up the risk profile for everyone else. This is what we saw with the Flash Crash and at Knight Capital a few weeks back.

What went wrong?

It’s a software problem. Anytime you have so many layers of software--algorithms, really--nobody knows how one new layer will affect the other layers. That’s why good programmers and algorithm writers will create tests as they work. Google, for example, tests their algorithms a hundred million times before they ever hit the market. But at Knight, they wrote the program and sent it out. Apparently there were no tests because their algorithm just went bananas from the moment it was turned on. The danger with Wall Street, is that the whole thing’s so focused now on speed that there’s no time to write tests. This stuff literally happens every two weeks. Usually it’s not a $440 million loss, but there’s just so much risk built into the market right now that doesn’t have to be there.

And algorithms are doing a lot more than automating stock trades.

Most people don’t know that there are algorithms that decide how customer service calls get routed or how customer service requests will be treated. When people call these big companies like their health insurer or telecom company, they’re actually being categorized, sliced, diced and parsed by a bot. It’s incredible to think that the words someone chooses on a given morning will forever change how that company treats him or her. These algorithms don’t just affect people involved in computer science.
Remember the Golden Rule: Those who have the gold make the rules.
***
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