Warning: Don’t do HFT on the Oslo stock exchange!
On my way home from work today, the front page on the news paper Dagens Næringsliv caught my attention. It says "Tiltalt for å ha lurt aksjerobot", which translates to something like "Prosecuted for having fooled shares robot".
According to the paper, the core details are:
- Two people, a day trader (Svend Egil Larsen) and a student (Peder Veiby) have both been prosecuted with stock price manipulations. According to the article they have not known each other or cooperated.
- There are around or over 2200 transactions in total, and their counterpart have been a trading bot operated by Timber Hill.
- Both traders have made a profit on their trades, performed in relatively illiquid shares, listed on the Oslo stock exchange.
- Between November 2007 and March 2008, on several occasions, ranging from 30-40 to under 200 transactions have been performed over a few minutes to a few hours (less than a day).
So what is this? Socialism on a stock exchange? Poor bot owner, who had a non-optimal sub-performing algorithm that lost them money? Or are the people at Oslo stock exchange just not getting high frequency trading, or not liking it? Or are they loving the high volume that algorithmic trading might bring them so much that they try to protect the big fishes?
This whole thing sounds a bit strange to me.. I guess you can say that the two people being prosecuted here don't fit under the typical HFT definition. But I ask; what's the actual difference between what they have figured out and performed manually, and what you have figured out and made an application/automated strategy perform on your behalf? And for all I know, they might have had automated routines helping them out. Unless there are some key elements left out in the article, the behavior of the Oslo stock exchange is both strange and unpredictable as far as I can tell.
I guess the moral of the story is: If your doing HFT, think again before you bring your money/liquidity to the Oslo stock exchange. That is, unless you're loosing money, because then maybe the Norwegian authorities will fight your "case" for you.
Rebooting my life
Scott Addison sums it up quite well with two words: trepidation and optimism.
As I'm preparing for London, selling my apartment, giving away or selling most of my stuff, my car. Packing up my beloved stereo; I'm addicted to music, and good music requires a great stereo. It's close to complete now, just about a month before I head over to London. I've always said that I only move from one city to a bigger one. That's true ones more, as I move from Oslo, Norway, to London. I sure also hope it's a greater one..?
None the less, it feels good. Finally moving on again. I've always "rebooted", started on something new, leaving things behind every 3-5 year the last 10-15 years. That's basically half my life, and it has always turned out to be a good decision.
I expect this to be the same, as I'm leaving for Cass, starting on something that has been a keen interest of mine for quite some time now. But the stakes are higher this time. I'm older, and I'm leaving a good paying job with an offer for an even better paying job. I'm actually not expecting to earn as much as I currently could just after finishing Cass, but I do expect to make that up again after a few years. Also, some times passion must prevail 
Looking forward to one intense and interesting year, meeting new friends, extending my network. And let's not forget, it's only about a 2-3 hour flight between London and Oslo, so all my good old friends will not be forgotten!
Node.js, is this the next big thing?
Although I did briefly notice node.js a few months back, it didn't really catch my interest until I saw this video; Node.js: JavaScript on the Server.
I've been developing JavaScript on the client (browser) side more or less for the last 5 years. And I didn't enjoy it too much right away, but with libraries like jQuery, Prototype, Scriptaculous, Ext JS, GWT, etc + continued performance improvements in the JS engines this has changed.
It's now at the point that I feel a lot more productive creating "business apps" with HTML, JavaScript and CSS within a browser then I ever felt using things like Swing or the equivalent in the .NET world.
A few years ago (during my first attempted venture) I was creating a Microsoft MSN Messenger client for regular feature phones (with Java ME.) And part of what we did was to create a proxy that we ran on a server. This proxy basically translated the MSN Messenger protocol into a purpose built protocol for the client we were developing. There's a ton of good reasons to do this; The phones at the time didn't handle many simultaneous connections very well, and connections were also often dropped. So we needed something that would take all the MSN Messenger connections pr client, merge them into one optimized connection and also tolerate a few seconds of disconnection/reconnection every now and then.
The other horrible thing about developing for feature phones back then was the crappy support for socket connections. Often, the network operator would only allow a HTTP connection through their own proxy, so we also needed to support long pooling over an infrastructure that didn't really support it.
Anyway, the point that started making me feel that good cozy warm feeling when watching the video was when I started thinking about how much easier it would have been to create that proxy using node.js.
Sure, we could have used blocking IO, and dealt with the scalability issues later on. But as sure as we were about the coming success of our client, non-blocking IO was the way to go. Dealing with partal reads, thread pools, sessions (remember, we needed to tolerate dropped connections) and all that was not very fun. Far from as fun as it is creating web apps with modern JS libraries.
And, this is where node.js might come to the rescue. Sure, it might be very early right now, but give it some time and a few killer frameworks, and maybe even back-end server programming will become just as fun as front-end browser programming. And looking at the future trend of web apps, with long pooled HTTP connections and WebSockets, tools like node.js is essential.