The sad thing about any thread including the term "High-Frequency Trading" is that we won't be able to talk about the technology, and instead will need to relitigate automated trading.<p>I think we'd have been better off if the title of this thread had been "Online Algorithms in Automated Trading Systems". As far as I understand, that title has exactly the same meaning, but doesn't set off a crowd of HN commenters who have never placed a limit order jumping in to crow about _Flash Boys_.<p>I'm a little frustrated, since this is a technical topic that happens to be very relevant to me right now (I'm not a trader, FWIW).
The first section of this which relates HFT to one-pass algorithms is kind of useless. Online estimation algorithms are much more broadly applicable than that, and I'd expect that their relevance to HFT would be immediately obvious. I've never worked in HFT, but I've probably written the online variance algorithm at 3 of 4 companies I've worked. If you care about metrics such as "how quickly are each of my customers sending me requests?", then this stuff is relevant to you.<p>But more to the point, is there anyone in these fields who <i>doesn't</i> know this stuff? At a basic level, the things that you can do a really good job estimating in an online way are closely related to sufficient statistics, which every undergrad stats course should cover. And hopefully anyone actually involved in writing HFT systems has way more stats background than that -- right?
Anyone who thinks HFT is something needed should go read Flash Boys. HFT is basically front running with some variations. There is a small amount that is necessary arbitration that will have to be done at some speed, but by and large it is not performing any sort of a service, it is taking advantage of the people trying to buy and trade stock by being a manipulative middle man.