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Goshawk Trades
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Algorithmic trader | 7 years live | 10+ algos live
Turning every trader algorithmic.
Co-founder @AskEdgarIO (agents for funds).
Advisor to Long Ridge EP.
Turning every trader algorithmic.
Co-founder @AskEdgarIO (agents for funds).
Advisor to Long Ridge EP.
434 Following 80K Followers 18K Posts
Latest posts 5
michael isichenko, a former sac capital quant, describes an accidental 15 minute apple trade that cost an estimated $5m.
his trading system sent orders through lehman brothers. when no executions came back, it assumed the orders hadn't traded and sent them again.
the broker had a backlog. the orders were piling up, then executed in a batch.
the resulting price move was large enough for isichenko to study his own market impact.
an order with no reply still counts toward your possible exposure before your execution engine confirms it.
from the book "quantitative portfolio management".
his trading system sent orders through lehman brothers. when no executions came back, it assumed the orders hadn't traded and sent them again.
the broker had a backlog. the orders were piling up, then executed in a batch.
the resulting price move was large enough for isichenko to study his own market impact.
an order with no reply still counts toward your possible exposure before your execution engine confirms it.
from the book "quantitative portfolio management".
"Backtesting is useless, the market changes."
Right... Renaissance, AQR and Jane Street hire armies of PhDs to test ideas on historical data.
Clearly nobody told them the market changes.
Right... Renaissance, AQR and Jane Street hire armies of PhDs to test ideas on historical data.
Clearly nobody told them the market changes.
0:24
they are competing on all horizons.
2:30
“Jane Street only trades milliseconds, they don’t compete on the weekly chart!”View quoted post on X
Right. The greatest mathematical minds on earth trading 100% prop capital with zero LP mandates looked at your multi-week swing setup, realized it was an infinite money glitch, and said: “No thanks, we’d rather spend $500M on fiber optic cables to scrape pennies.”
7 years as a trader and 1 takeaway:
Automate more.
Automate more.