为'flash boys'作者Michael Lewis的一个急需的HFT底漆

当我在我的时期评论debate with Michael Lewis on Bloomberg TV上周，我举行了最新工作的朦胧看法，Flash Boys：华尔街反抗;对我来说，它是伪装成新闻曝光的小说。

在他的Oriwerian叙事中，通过使用计算机自动化肥胖的胖猫市场内部人员的工作的效果越来越多的创业公司，以自动化的是肥胖的猫市场内部人士的工作，是坏人，令人难以置信的是，肥胖的猫自己是好人。是的，这是正确的，那个练习竞争领域的初学者和谁为投资者大小的投资者而言，这是恶棍;和曾经在双层市场的低谷喂养的不安的人是英雄。在最大的荒谬中，高盛是迈克尔刘易斯小说的主角受害者之一。

他怀旧的令人怀旧的日子骗子的扑克has clearly messed with Lewis’s ability to see things clearly, and has exposed him as nothing more than a cheerleader for Wall Street who clearly misses the fun and glory of the trading floor during its years of excess when he was a trainee at Salomon Brothers. There is, in fact, very little that he gets right in this novel.(See also “在Michael Lewis高频交易大顶。”)

刘易斯虚构的虚构账户中最烦人和有害的信息是他们是某种方式“操纵”。作为这一点的证据，阴谋理论家最近指出了他们的集体吹口哨，并吹过他们的大型高频贸易公司Virtu财务披露，该公司在监管申请中透露，它已经运营多年，只有一个失去的一天。这是表示HFT公司不承诺资本或风险。相反，他们“撇去了寄生水蛭等每笔交易”撇掠“。

对于制造这些霸权索赔的人来说，即使在每次单一交易中采用风险也是可以建立非常稳定的业务的事实是不可能调和的。请允许我解释。我的公司is a mid-sized HFT firm that regularly trades over 1 percent of the daily market volume of the U.S. equity market. Our winning percentage, on a per-trade basis, is in the low 50s — in other words, barely better than a coin flip. That means we lose money on nearly half our trades. Does this sound like risk is being taken? We sure think it does!

However, because we make many trades per day, our daily winning percentage for the past four years is around 86 percent. How is that possible? It’s not my place to explain basic probability and statistics in this article, but here’s a hint for people who are confused by this: look at the维基百科关于大量法的文章那or read an introductory textbook on finance and learn about how diversification works.

Now, this is not quite the money machine that Virtu’s business is, but guess what: If you took three independent firms of the same size and scale as mine, and combined them, you’d have a daily winning percentage in excess of 99 percent, without doing anything extra at all. Here’s another way to state the same thing: If you look at how many winning weeks my firm has had, it is over 99 percent — all with a per-trade winning percentage barely north of 50 percent — funny how math works.

虽然我仍然有关于我公司交易策略的各种机密信息，但这是另一种美味的Tidbit。我公司的平均利润来自其HFT策略，每100股股份约为5美分。因此，这是一个有趣和信息丰富的情景：假设Chuck Schwab的客户提交了200次股票，并且某种方式最终被路由到证券交易所，由我公司填补。基于我刚刚披露的经济学，我希望在200股交易中制作一个标准10美分。并且甚至没有保证。有几乎50％的几率我会赔钱。相比之下，您是否知道Chuck的公司在同样确切的交易上获得了什么？九美元，保证。这比我公司在完全相同的交易所做的90倍高。所有他所做的就是无风险地将他的客户对交易所的命令路由到交易所，以便通过贸易的另一边来冒我的资本。 And for this, I get to be treated to Schwab’s comments in the press last week about how HFT is a “growing cancer” that has “undermined fairness.” Is risklessly routing a client’s order really worth 90 times as much in compensation as providing liquidity to the client by taking the other side of the order? And why is nobody complaining that Schwab is making money 100 percent of every hour of every day, without risking any capital?

施瓦布的陈述是现实的歪曲。因为HFT公司use computers rather than overpaid human traders为了提供流动性，他们已经彻底改变了贸易股的业务，以较低的交易成本为社会带来了巨大的利益。这asset management行业 （对冲基金，共同基金和交易所交易基金）在美国，在这款廉价流动性的背面膨胀了记录大小。与此同时，施瓦巴的佣金几乎没有萌芽。

索具索赔，迈克尔刘易斯的书是依据速度的循环，关于市场速度的重要性。自市场的出现以来，速度始终很重要。但事实是，今天的速度比它更少，而且我们在很大程度上都有HFT来谢谢。这一陈述可能会对人们感到震惊，但事实是，这一技术革命已经成为贬义性的“HFT军备竞赛”在最终的围栏中几乎。延迟（从其放置的那一刻起的交易所需的时间）与它的透明交易者开创的高频交易员的技术一样接近于零，现在通过处理客户订单的经纪公司广泛地部署。结果，快速和慢速播放器之间的速度差异现在以微秒或纳秒为单位测量，而十或20年前它们以几秒钟或分钟计量。如果玩家之间的零差异代表总公平性，那么它应该清楚，那么仔细的这种差异为零，你将越近的整体公平。这就是今天的事态，是因为HFT公司已经推动了最先进的尽可能接近零。

作为一种实际问题，速度优势不是静态的，它们在平均水平周围具有大量随机变化。因此，较小的速度边缘得到，它是较少的确定性，并且越难以被货币化。在实践中，一秒的平均水平优势意味着您的订单每次都会击败竞争对手，但单纳秒平均优势意味着您的竞争对手将大约一半的时间击败您。换句话说，速度优势越小，它赋予的经济效益越少。这并不是说速度无关紧要 - 它仍然是这样的，它总是会。然而，它确实遵循今天的速度比它的速度更少，而且我们在很大程度上都有革命来感谢。

在所有速度优势来源中，讽刺的是，派对已经进入最大的批评。确实，靠近价格发现的中心对交易一直很重要。但是，人们曾经必须支付数百万美元以获得最大的邻近（或“本地”状态），并且在交易所上有一个小的有限供应。现在，相比之下，只要每月1000美元，希望获得交易所的现代相当于席位的现代等同物，并拥有昨天的内部人士常常拥有的所有优势。

Colocation represents the ultimate ideal in fairness when it comes to proximity, and we have high frequency traders to thank for this innovation. In fact, Dave Cummings of the pioneering HFT firm Tradebot deserves special recognition for inventing this concept nearly a decade ago.

One of the principal advantages conferred by colocation is the ability to consume the direct feeds of the exchanges without paying for expensive long-distance telecommunications to transport it. But these feeds have themselves been the subject of major controversy, with detractors arguing that they should be banned because they are faster than the consolidated feeds (known as SIPs) that are mandated to exist by规定。我和许多人同意这种速度差异是有问题的，但禁止直接饲料是错误的解决方案。存在更直接的解决方案，即迫使交换以使高度陈旧的啜饮变化。为什么批评者总是希望我们向后移动而不是前进？直接馈送不提供必须限制的速度优势;现实是啜饮赋予应该减轻的缺点。您不能禁止直接源 - 它们代表了市场的真正现状，并且没有其他关于每个交换机的订单预订的完整深度的信息来源。但是，您可以更快地提高SIP。如何首先选择简单而明显的解决方案，人们？

Even worse,Flash Boys添加到具有直接馈送的双曲线概念允许一个“法律前进的”普通交易员。这表明纯粹无知的市场如何运作。事实是，行情出现在直接饲料上的那一刻，这反映了相应的订单已经被接受到交换的订单簿中。一旦将该订单显示在书中，就无法跳到其前面的任何其他顺序。任何思考的人都非常困惑，也误解了。

And what of this magical term “latency arbitrage”? I call it magical because it has a habit of changing its meaning every time somebody seeks to debunk it, making it virtually immune to destruction, like a rapidly mutating virus. I can think of at least three definitions it’s taken on in the past — one related to dark pools pegging their orders to a stale price, another related to an artifact of how slower matching engines convey information about executions and another vague meaning that aims to be a catch-all for any putative ill effect of the speed advantage of direct feeds over consolidated feeds.

关于变迟更愚蠢的论点之一cy arbitrage is that it allows its beneficiaries to see the future. Perhaps, but only if your brain has been addled by too much time travel. You see, the SIP does not reflect the current state of the market, it is delayed. The direct feeds are the most current reflection of the state of the order book. It is in fact true that the present allows you to predict the past, much in the same way that the SIP allows you to predict the 20-minute delayed quotes you can get for free over the Internet. However, it must be said that neither activity entails any economic benefit, because you can’t make money by predicting the past.

值得注意的是，无论他们如何努力，监管机构和决策者都无法消除市场的速度优势。他们可以，并且应该消除不公平的优势，例如在公平基础上没有提供的私人或商业数据产品。例如，我认为，政府对政府数据的早期版本或分析师建议进行了纠正。在我看来，政府数据应遵守类似于帝国FD（公平披露）的规则，管辖公司公告的传播。

但是，直接数据馈送甚至不是在同一类别中的远程。它们非常广泛使用，它们包含市场中某些玩家所必需的信息，即订单簿的全部深度，该票据未包含在SIP中。

What if regulators forced exchanges to deliver their direct feeds for free? Believe it or not, this used to be the case for several exchanges not long ago. Would this result in an elimination of the speed advantage of having direct feeds? Not even close. The reason is that a tremendous amount of skill is required to process this information and use it to generate trading signals. People who can do it faster will be rewarded, and there is not a thing regulators can do about this. Nor should they seek to. When you are taking an exam, speed and correctness both count. The same thing applies in the market.

阴谋理论家和世界的自欺欺人鼓风机将利用我的言论得出结论，我是目前市场结构的辩护人员，我是股票市场现状的倡导者。这不能从真相中进一步。像他们一样，我认为市场太复杂，太空了。但是，与他们不同，我实际上了解破坏了什么以及应该如何修复。我们2007年我们所拥有的排序的另一个监管动荡不是答案。最后一次动荡的主要受益者是HFT公司，同样的事情是第二次。相反，我提供以下相对谦虚而有效的提案：

改革SIP。可靠性很重要，但关闭速度差距与直接馈送更为重要。关于市场的无数阴谋理论仅仅是因为这种差异，导致投资者信心的侵蚀。逾期，这种差距可以在最大程度上关闭。

改革秩序保护规则。Reg NMS规则611的禁用市场对市场极大危害，是我们所面临的所有不必要复杂性的主要来源。如果被提升，引用填料几乎消失，市场中心之间的快速路线将被大幅缩减，异国情调的订单类型将是完全无用的，交易规则将被大多数人逐步简化和理解。，传播将收紧，音量将从黑暗池中返回LIT市场。即使支付订单流量也会受到压力。换句话说，几乎，今天市场的每个负面方面都会改善或彻底治愈。原因很复杂但很简单，而且我写了他们亚博赞助欧冠之前。如果有读者需求，我很高兴提供更详细的解释。

改革分层折扣。允许交易所的交易所与小型交易者提供更高的折扣是平息的。我这么说这是一个在每次交流中从最高折扣中受益的人，所以我不是在谈论我的书。每个人都应该有一个汇率，这就是公平的。

检查零售经纪佣金和实践。Brokerage commissions for亚博赞助欧冠机构投资者have plummeted by an order of magnitude since the advent of HFT. However, retail investors are still paying basically the same thing as they were in 2007. What’s the deal with that, Chuck Schwab? How about passing on some of your savings to the little guy? And while we’re at it, the fairness of paying brokers for their order flow should be revisited.

Manoj Narang是创始人兼首席执行官Tradeworx.。