Big Ohh.

Did you know that if you replace an some code that (1) is frequently executed, (2) runs over a large data-set, and (3) implements an O(n^2) algorithm with some code that is implemented in terms of an O(n) algorithm that things will go quite a bit faster!? Yessirree, it is true!

Electronic Trading Marketplace Is In Need of a Fairness Algorithm

I found this article to be fascinating:

The slower traders began issuing buy orders. But rather than being shown to all potential sellers at the same time, some of those orders were most likely routed to a collection of high-frequency traders for just 30 milliseconds — 0.03 seconds — in what are known as flash orders. While markets are supposed to ensure transparency by showing orders to everyone simultaneously, a loophole in regulations allows marketplaces like Nasdaq to show traders some orders ahead of everyone else in exchange for a fee.

I guess I find this article to be interesting for three reasons. First, I predicted that this would start to occur nearly a decade ago (which begs the question: why am I still working at $DAYJOB? Ugh.) Second, I find this to be academically interesting, because whenever I see a large-scale system with this many transactions, I wonder to myself how well the system is designed and tested (in my day-to-day work, I continue to see....interesting...methods of ensuring synchronization and transaction-consistency). And third, I think that the people who run these electronic markets really need to put some thought into implementing some fairness algorithms....otherwise I can't see how this situation won't devolve into investment firms turning themselves into high-speed loops that run algorithms that MAKE MONEY FAST....much to the detriment to the actual electronic marketplace.

“Human beings are very quirky and individualistic, and wonderfully idiosyncratic,” Hastings says. “And while I love that about human beings, it makes it hard to figure out what they like.”

More here.