online gambling singapore online gambling singapore online slot malaysia online slot malaysia mega888 malaysia slot gacor live casino malaysia online betting malaysia mega888 mega888 mega888 mega888 mega888 mega888 mega888 mega888 mega888 Does Your Algorithm Contain A Ticking Time(r) Bomb?

摘要: I hesitated using the word “tick” in the title of this post, lest potential readers think I am writing yet another post on tick sizes.[1] But I assure you, this post has absolutely nothing to do with tick size.

 

 

I hesitated using the word “tick” in the title of this post, lest potential readers think I am writing yet another post on tick sizes.[1] But I assure you, this post has absolutely nothing to do with tick size.

Rather, this post covers a topic that is rarely discussed, but can have an outsized impact on performance, namely how the use of timers in sell-side algorithms can wreak havoc on passive trading performance.

......

Trading has become fast. Wicked fast.

A recent study by researchers from the UK FCA and the University of Chicago estimates that the “latency arbitrage tax” imposed by high frequency traders is approximately 0.42 bps. While small on a per trade basis, these costs are actually large when aggregated across trades. In fact, the others estimate that the total latency arbitrage tax paid across global equity markets could be upwards of 5 billion dollars per year.

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轉貼自: tradersmagazine

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