Black Box Disasters

[rufus_4000]

Heh, this type of stuff happens often. The friday before labor day weekend, the volume was very thin, one blackbox I see tries to induce volume. With pretty much all the index arb and hedgers asleep, systems can easily pickoff the order book induce system, as it tries to flat out its position, pretty funny.

I didn't make that much money, as the volume was very thin (a few hands here and there and picked off a few ticks), but on review the data flow, it was very funny as the counter-party system doesn't have the usual book sizes to hide their orders.

Quote from master718:

I work at a black box firm. Thank god there were no disasters here accept for an occasional lose of connection or something of that nature. There was an interesting thing last year the Friday after Thanks Giving day. It was a half a day and everything was slow as hell. I think NASDAQ closed at 1pm and ECNs continued to trade till 3. Although the nasdaq was closed it still continued to display orders even though you could not trade against them. Well someone’s black box on a stock went crazy. From what I can guess it tried to trade against the nasdaq orders and was hitting both sides of the spread like crazy. The spread was a good 10 - 15 cents if not more. I jumped on it and apparently some other people who were still trading at this time. It must have lasted for at least 40 minutes, so there was obviously no one watching their system. I made a good piece of coin let me tell you. The black box that went crazy must have lost at least 1M but could have been as much as 5M. I guess they never factored in half day market days.

 

[Ricter]

The book on the keyboard reminded me of the classic "janitor effect" from engineering, lol.

Anyone else recall the janitor effect?

 

[FredBloggs]

Quote from Ricter:

The book on the keyboard reminded me of the classic "janitor effect" from engineering, lol.

Anyone else recall the janitor effect?

you mean the timein 95 when lehman bros in london lost their shirt after the janitor unplugged their sun starfire1000 server ups thinking the plug was for her vacume cleaner? lol

ouch!!

i dont know what was running on the server but i heard it cost them!!

 

[Ricter]

Hehe, janitor effect... he leans his mop against the wall and goes for a leak. The handle slides and falls, tripping a critical switch on the reactor cooling panel...

 

[aPismoClam]

Quote from mahras2:

Talk about a bad programming error. You would think someone given 100+MM would be able to put in risk parameters to counter that.

mechanical systems are self-defeating in proportion to their complexity.

 

[aPismoClam]

Quote from Ricter:

Hehe, janitor effect... he leans his mop against the wall and goes for a leak. The handle slides and falls, tripping a critical switch on the reactor cooling panel...

yeah. like someone didn't pay him to do it...

 

[mahras2]

mechanical systems are self-defeating in proportion to their complexity.

I wouldnt say so. If simple was the way to go, everyone and their uncles would be making money. But sadly they aren't.

And I was talking about risk parameters. Having risk parameters that take effect during adverse times by providing for example a possible downside floor, is not adding complexity to the system but making it more comprehensive.

 

[Runningbear]

The examples in this thread show that any automated system should have a built in fail-safe that reduces total exposure if net loses exceed a predetermined figure within a set period.

Runningbear

 

[nononsense]

Don't use any black boxes (or boxes of any other color).

Try to only use computer automated solutions that work.

nononsense

 

[Zastaber]

Quote from rufus_4000:

These systems are sufficiently large, with literally 20-30-40 components, not all of them are designed at the same time, often they are developed quite far apart.

Cluster Capital Management LLC