[Beowulf] propagation velocity in cables
Douglas J. Trainor
trainor at presciencetrust.org
Tue Oct 9 12:57:17 PDT 2012
"The scariest part of this single program was that its millions of quotes accounted for 10 percent of the bandwidth that is allowed for trading on any given day, according to Nanex." -- John Melloy, Executive Producer, Fast Money & Halftime.
Mysterious Algorithm Was 4% of Trading Activity Last Week
On Sep 10, 2012, at 12:52 PM, Andrew Piskorski <atp at piskorski.com> wrote:
> On Mon, Sep 10, 2012 at 11:21:17AM -0400, Prentice Bisbal wrote:
>> It sounds to me like they're talking about the practice of "quote
>> stuffing", which is essentially a denial-of-service attack on the
>> trading system.
> I don't think so. Quote stuffing is certainly quote spam, but from
> the Nanex reports it sounds like most of the quote spam doesn't
> perform DOS (and isn't intended to), and thus isn't quote stuffing per
> se. Answering that definitively though would require understanding
> all the reasons HFT algorithms use quote spam. The Nanex guys might
> know that, but I certainly don't.
> Andrew Piskorski <atp at piskorski.com>
More information about the Beowulf