HFT in the Banana land | Part 6


Here is the final episode of HFT in the Banana land – or The Case of the Small English Town vs Two Large HFT Towers. No happy end here for the “high-frequency trading”/network providers firms Vigilant Global and New Line Networks who seeked to erect two giant masts in Richborough to improve the Slough-Frankfurt microwave route. Last Thursday the Dover District councilors followed the planning officer’s recommendations and refused both the masts. An interesting moment (sorry for the typos when I was live-tweeting the meeting). It’s important to understand here that the debate about the mast was not about market structure, speed, arm race, the need to save a few microseconds to do arbitrage (or whatever), etc. A comment on Twitter said that “If only SEC and int’l regulators did similar diligence as Dover city council when exchanges want to sell speed” but the meeting in Dover was only about planning applications: the councilors had to decide about the erection of a 2-metre high boundary fence, the installation of a car park charging machine, the erection of a verandah, the formation of a “Juliette-style” balcony, and in the midst of all this, they had to decide about two heavy quasi-identical construction projects in Richborough. I was right to follow the more-than-one-year story of these masts as the most interesting here is the way HFT activities could have had consequences on the daily life of the people (living around the Banana land).



The Chairman (and his group) was at the centre of the scene, whereas the different councilors were around. On the left side you had chairs for the people who wanted to speak “against” an application, and on the right side you had (far less) chairs for those who wanted to speak “in favour”. For each application the DCC allows only one person to speak out against a project, and one person only to speak out for. Each of them had only 3 minutes to provide its views (that’s short). Unsurprisingly, when a person defended the erection of a 2-meter boundary fence, the nearest neighbor asked to speak against the fence. That said, expected when two women had an argument in the right corner of the room, the neighbourhood quarrels were peaceful. Everyone had precise arguments on each applications, and most of the time the councilors followed the officers recommendations. The meeting started at 6:00 pm and half an hour later the council decided to make a short break before discussing the Vigilant and NLN masts. Then the planning officer who was in charge came in the room with two large folders containing all the documents filed by the applicants (the documents I have been reading patiently for a year).


The officer started with the Vigilant mast, which was filed first on January 2016. The room was very quiet, the Vigilant team, the McKay Brothers guy, the New Line Networks guy, me, Bass de Banaan and other neighbors – everybody was silently listening to the officer’s speech.


The DDC officer described the Vigilant application (the banana land area, the need for an optical line-of-sight to transfer data between Slough and Frankfurt, the 322-meter mast, the fact other towers would deviate too far from the direct line between Slough and Frankfurt, etc.) and quickly raised issues about the consequences of such a giant tower. In short, the officer summarized what he wrote in its report: most of the people living there are against the mast; it would be an eyesore in the landscape; the fact a lot of administrations/institutions disagreed with Vigilant’s statements regarding the ecological issues, the impacts on the Roman Fort and on the possible reopening of the Manston airport, the new National Grid project, and so on. The officer also talked about the St Peter church in Sandwich. He didn’t detail but St Peter is a good story: “The Council’s heritage officer has considered in more detail the setting of St Peter’s Church in Sandwich. It is identified that the Dover District Heritage Strategy defines churches as being of outstanding significance, and notes that such buildings have value in their contribution to the aesthetics of the historic landscape and wider rural environment; it states ‘the spires of rural churches can often be seen over long- distances and are recognised and valued local landmarks’.” For a very long time the tallest buildings, in the Western World, were church towers, and they needed a line-of-sight network. The officer: “From the viewing platform of St Peter’s Church, there are far reaching views to the north towards the Church of Saint Mary in Minster. In this view the Proposed Development would draw the eye and detract from the inter-relationship between St Peter’s and Saint Mary.” Here we have a battle between two line-of-sight paths: one between two old churches, the other between two telecommunication towers: “there would be some harm, within the less than substantial range, to the significance of the setting of these churches” wrote the officer. Don’t touch God’s network.


Then the officer went further in his remarks: the fact Vigilant and NLN did not agree on one mast is not a good sign, and all the benefits promised by the applicant “are minor benefits compared to issues involved by such a giant mast”. At this point it didn’t sound good for Vigilant. The officer concluded and the first speaker was invited to talk. As far as I understood, he is a local resident, a retired engineer, and he did a weird 3-minute speech against the Vigilant mast, saying that HFT is “computerized gambling only”, that this kind of activity could harm the market like the subprime crisis did, at some point he cited the Knight Capital debacle in 2012 – and that is ironic: the speaker said such a mast would improve speed and would have bad consequences (a new Knightmare) but he seemed to ignore that the Vigilant competitor here, New Line Networks, is a joint venture between Knight-Getco (known as KCG now) and another trading firm, Jump Trading. Anyway. After that, a Vigilant representative had his 3-minute speech and advocated for the mast (in short: “we have been working on this project for 18 months, we proposed NLN to share but they refused, there is no problem with the Fort, this mast would be temporary [20 years though], we offer a lot of contributions, we choose the area to mitigate the consequences [true], etc.”.

First reaction of the officer: “I don’t change my opinion”. Then a first councilor said: “Seriously, what does that look like?” (i.e. such a mast is ugly), another talked about the major impacts the tower would have on the landscape, another talked about the consequences  on the Manston airport, another talked about “layering” and, in short, all the councilors said they don’t get the real local (and national) benefits such a mast could provide to the community. “National benefit is minor, public benefit is more important than private [HFT] benefits” stated the DDC chairman. The ten councilors voted and the hammer dropped: 9 against the mast, and one abstention. Boom. Vigilant had the best case, they worked hard to comply with all the issues raised by the DDC, but it was not enough. End of the story. Harsh.

Then came the New Line Networks mast. I won’t detail as the officer made more or less the same statements. The best part was when he said NLN stated “The tower in Houtem is not enough to achieve a perfect route between Slough and Frankfurt” [at this point I thought: “so, why Jump spent $5,000,000 to buy the Houtem tower if it’s not that perfect?”]. Also (and this is an important legal point), the officer emphasized the fact NLN didn’t properly understand the purposes of an obscure thing named “S106” (Bass de Bannan was 100% right on that) and the legal issues about the Community Interest Company (which would collect the money from NLN before flowing it through the local institutions). What the officer was implying is that NLN didn‘t da good job (the way NLN filed a last 40-page document two days before the meeting, answering to questions raised over the last several months, proves that).

Then came what was probably the funniest moment of the meeting (at least for the councilors). Guess who asked to speak against the NLN mast? Vigilant of course, and the councilors had a good laugh as the Vigilant representative was now speaking from the left corner (against NLN) whereas he was sitting in the right corner minutes before (advocating for its own mast). In short, the Vigilant representative criticized the NLN mast with (sometimes) the same arguments the DDC officer had against the Vigilant mast minutes before. Weird moment, even if Vigilant had good points. Then the operations director of New Line Networks, who came from Chicago, had his 3-minute speech to defend its mast. I didn’t envy his position: the Vigilant mast was just wickedly refused by the DDC and he was trying to convince that a similar mast in Richborough would be important for the local and London/FinTech communities in a post-Brexit context. Trying to save a few microseconds in 3 minutes, in front of an angry crowd, is hard. Then the DDC chairman said “we refused the Vigilant application for these reasons, we should refuse this one too”, a Labour councilor had ironic words about the fact the two applications were not exactly the same (laughs in the room), the councilors voted and a new hammer dropped: 10 councilors against NLN, and not even one abstention. Zero.


The situation around the Channel, January 17

In a way, Vigilant won: they got at least one councilor who didn’t vote against their mast – one point for the better work they did. But overall the “HFT” firms got a slap. Vigilant Global and New Line Networks wanted to erect two giant dicks in the middle of nowhere to save microseconds, and the Dover District Council responded with a “Good bye” (I liked the smile the officer). They just don’t want this thing in their backyard. Landscape versus money. It was too much. Here is the end of the HFT in the banana land spin-off. I assume competitor McKay Brothers (and other HFT firms) are happy. Of course the firms can appeal. I don’t know if they will but with what happened in Dover last Thursday, making appeal for two masts would be indecent and they would certainly get another slap. Vigilant is now walking around Tilmanstone, other are improving their networks elsewhere – latency depends on lots of factors. It’s time to leave Lotus corniculatus alone. After the meeting I ended up in a McDonald’s restaurant (the only one around the DDC offices) with brother McKay and the Vigilant team. They are nice and smart people, I’m sure they’ll find solutions other than putting a 300-meter mast between two churches. Good luck.


Find the HFTs




HFT in the Banana Land | Part 5

[This post is dedicated to Bass de Banaan]

A lot of microseconds after HFT in the Banana land, episode 4, here is episode 5. A lot of things has happened around the banana land since January 2016. Two months after episode 3 was posted, a new event occured in Richborough as another HFT-related company, New Line Networks (or NLN, a telco joint venture between HFT firms Jump Trading and KCG ex-Getco) filed an application to build another giant (305-meter) mast close to the Vigilant one. NLN filed the application on May 4 2016, four months after Vigilant arrived in the banana and. A lot has been said in newspaper about the frontral competition between two HFT-related firms in this quiet corner of the United Kingdom, so let’s do it will be as brief as possible. The two applications will be examined today at 6pm by the Dover District Council during the Planning Committee meeting, in Dover, where I just arrived.


Vigilant was the first firm to apply for a 325-meter mast in the so-called “banana land” of Richborough. The firm from Montreal decided to erect this tower there because the banana land is close to the straight line joining Slough and Richborouch (cf. the previous episodes). The Vigilant mast would be erected very close to the cooling towers of old the Richborough Power station (the towers were demolished in 2012 but in the picture below you can see them, with the Richborough Roman fort on the foreground). It seems Vigilant choose this area because it’s still industrial, meaning the firm tried to mitigate the impact of the mast on the landscape (old big towers replaced by one very thin tower – quite cleaver).

Then came New Line Networks with another tower, a bit smaller (305 meters), that would be erected in King Ends Farm (KEF), which is located at 1 kilometer from the old power station. That means two HFT firms want to erect two quasi-identical towers in the exact same area (one giant mast seemed a crazy project, two giant masts is obviously too much).




One of the meeting organized by NLN to convince the local residents © NLN Networks

With NLN applying for its own mast, here starts the “new Eiffel towers” battle in Richborough. It was quite interesting to read all the documents both the firms filed on the Dover District Council website (Vigilant and NLN) to defend their projects (and to attack the competitor) – a one-year battle, or so. The most interesting is the way the local residents/politicians/authorities/institutions have been thinking about the giant towers, and as expected most of the residents don’t want them in their backyards. There are a lot of interesting (sometimes fun) comments, such as: “Such a mast would be an eyesore”, “HFTs are parasite, leading to flash crashes”, and “there is also concern over the visual impact of such a large structure given the proximity of Richborough Roman Fort as well as possible future adverse implications if Manston was to resume as an airport” and so on. At the end, the Vigilant application received 124 public comments (Objections: 101; Supporting: 21), and NLN 202 comments (Objections: 182; Supporting: 14). (At some point I send an ironic comment about the NLN mast, when it showed up in March 2016, I just wrote “I love you!” and you know what? NLN decided that it was a “supporting comment”! Very funny.)

So, the vast majority of people don’t want one (or two) giant mast(s) in Richborough. The local parishes were asked to adopt a position too, some objected, other supported (but the ones who support also say: “However, the Dover District Council would urge any businesses planning to build telecommunication masts to work together, thus reducing the total number of masts”. Note that if this is the Dover District Council (DDC) councillors who will decide tonight about the mast(s), and they do not have to follow the opinions of the parish councils. Also, a lot of “institutions” (Historic England, Natural England, etc.) wrote comments too, saying that, for instance, the construction of the mast would affect a local plant named Lotus corniculatus. There are also some issues about the Richborough Roman Fort (“The Environmental Statement identifies a potential significant effect on tourists and visitors to Richborough Roman Fort”), other issues about the possible reopening of the Manston airport (the masts would hinder the pilots), other issues about the new National Grid project named Nemo (cf. previous episodes), etc., etc. In short, both the firms had to file a lot of documents to comply with the demands – for instance, on June 9, 2016, Vigilant filed dozens of new documents, answering to the first comments/questions, which was a considerable work, and they did it well – kudos.


One of the dozens of pages from one of the dozens of documents filed by Vigilant on the DDC website. At left, the landscape without HFT; at right, the landscape with a 325-meter mast.

Of course, both Vigilant and NLN have a major argument: “benefits for the local community” – mostly: money. The new masts would offer a lot of benefits to the community: broadcasting equipments for Academy FM; broadband connection to the Phoenix Centre; educational support for at the Sandwich Technology School; a £100,000 financial support to enhance the visitor experiences at the Roman Fort (in fact, the Roman Fort officials does not want any mast around the fort, but if the DDC allows one mast, they will take the money). Vigilant states than a minimum of £2 million would be “transferred” to the local community “for the life time of the project”, i.e. 20 years. That means £8333,33 a month, and that’s not that much if you think about it – of course, I assume the firms will also have to pay rents to the owners of spots where they seek to erect the masts – I found no data about that – but compare £8333,33 a month for a giant mast with the €20,000 (Vigilant) and the €40,000 (NLN) will pay per month in Oostduinerke, Belgium, to put dishes on an existing building. (If you want to know more about the economic benefits of the NLN mast, read this). That said, Vigilant already gave thousands of dollars to local schools, whatever the DDC councillors will decide (or not) tonight, a kind gesture.

If the residents, conservationists and pilots had to fight against the masts, Vigilant and NLN fought against each other too. For instance, on December 2, 2016, Vigilant sent a document to the DDC where they criticize the NLN mast, saying that NLN forget to propose aviation warning lights on their mast (in case the Manston airport reopens), that the location choose by NLN is not good for the migratory birds, that the NLN mast would be close to the Richborough Roman Fort, and bla bla bla. That’s the game: as we can expect that two quasi-identical masts would not be allowed in the exact same area, the better project is expected to win, so Vigilant and NLN had to fight. We’ll see later today who will win – if there is a winner.

Oh, and by the way: beyond the real local economic benefits, what would be the benefits for a trading firm to have mast in Richborough? Simple question, simple answer: 5 microseconds, or so. That means the DDC councillors will have to decide if, as a competitor said, “looking at a 320m mast for 20 years is worth helping a trading firm gain 5 microseconds”. Tough question. Let’s over simplify and say that the total cost of a mast in the banana land would be £5-6 millions (construction, community outreach and goodies, dishes, legal stuff, etc.); that would mean saving one millionth of a second costs ± £1 million. That’s a lot of money for such a short period of time… or not – it depends on the money you can spend on such a project, and of course it depends on the money you can make by saving 5 microseconds (a lot I suppose?). 


A lot of public and official comments urgently asked Vigilant and New Line Networks to work together on a single mast, as it’s totally stupid to erect two identical towers for two identical purposes. It appears that NLN and Vigilant talked together for a year, but there are still disagreements between the parties so they never never been able to agree on one project – even if the microwave provider firm McKay Brothers officially agreed to “work with” Vigilant (that means: Vigilant and McKay could share the mast, or even pay for it together), and even if Latent Networks (another microwave provider – let’s put it like that) seems to work with Vigilant now as they just asked for an Ofcom licence for a Richborough Power Station-Oostduinerke path. Too bad there is no agreement between Vigilant and New Line Networks, that’s probably not good for both of them (I think this point will be discussed in a moment).


Click to enlarge


Last week the DCC officer published its recommendations about both the masts. Not surprisingly, the officer recommended that the applications should be REFUSED. Here are the reasons:


The DDC officer about the NLN mast


The DDC officer about the Vigilant mast

We will see what is the opinion of the DDC councillors in one hour (they may decide otherwise). The only strange thing here is that the Vigilant application is clearly better than the NLN one (I still think NLN came in Richborough to annoy Vigilant so that no mast would be erected in the banana land)), and Vigilant (unlike NLN) has a competitive advantage: they are ready to work with McKay, Latent and other third parties. Again, all that will be discussed later today.


On May 18, 2016, McKay Brothers’ CEO Stéphane Tyc gave a talk at the Terrapinn Trading Show Chicago, Exchanges vs Networks: The Intensifying Competition Between Determinism and Speed (watch the video here if you are interested by the microwave business and the speed of light – by the ay, the most interesting part is the second one, not about microwave).

At some point Stéphane started a discussion about the “new Eiffel towers” Vigilant and NLN seek to build in Richborough. After explaining the Oostduinkerke-Richborough path would be 100 km (versus 70 km for the McKay path between Dunkerque and Dover), and after two seconds of silence (this is a really long time for a microwave provider ;), he said about the Eiffel towers: “It’s crazy, of course… if you ask me”. Of course it’s crazy, as if NLN (as a provider) are allowed to build a mast there, they should be faster than Mckay, and that’s not good for McKay’s clients. He added that he wishes the local community/politicians would force Vigilant and NLN (and their competitors, including McKay) to work together to find a solution with one mast (now we know that will not happen). “Vigilant, they are very good” said Stéphane about the way the Montreal firm managed their project in Richborough. “They say, ‘look, it looked like shit before [the old Richborough power station area]… so we are not doing anything bad’” – I wouldn’t have used these words, but that’s a good summary. Then Oostduinkerke and this blog arrived on the screen:



Thank you bro

What Stéphane didn’t know when he spoke in Chicago is that Mr. Eric Bellerive, Vigilant’s Director of Global Networks, was in the room, listening to him, and Eric was amused to see some attendees looked at him whereas Stéphane was saying the Vigilant project in Richborough was “crazy”. A funny moment between two fierce (but fair) competitors.


The picture above is the building in Oostduinkerke named “21” where both Vigilant and NLN are fighting to put dishes on the rooftop (read again episode 3 where I explained the Vigilant small mast on section 4’s rooftop would be erected just above an apartment owned by a family whose member is working at Optiver – a pure coincidence Vigilant didn’t know about, they probably had a real laugh when they read that on this blog). NLN is discussing with Section 1 and Vigilant with section 4. Both Vigilant and NLN filed planning applications; it seems like Section 4 is still reviewing the contract with Vigilant (through a law firm) while NLN was granted approval by the local authorities to put 2 microwaves dishes on Section 1’s rooftop on 12/21/2016 (a Christmas gift sent to the residents of this Section):


Amazingly, a local TV covered the Richborough-Oostduinkerke story (video in Dutch) and conducted an interview with the mayor, who basically said that the first Vigilant application was refused because the mast would have been too tall, so Vigilant proposed a smaller tower, and the mayor also said he’ll not tax the HFT dishes more than usual – Belgian people are cool. Here is the mayor in front of the “21” building:

The more interesting in Oostduinkerke is that Section 4 (the Vigilant one) received in February 2016 a call from a guy “with an inimitable Nordic accent” who wanted to know about the situation there and sent these words shortly after: “I understand that you have signed a lease option with Vigilant, and I was wondering if you and your lawyer would like to speak to us about the terms of your lease option and what value we might be able to add, if any to your association and others in the building. Let me be very straightforward with you: our outlook on the building is to attempt to lease all available footprint from every association. For the next two years we don’t want to place any equipment on the building, or make any changes. We simply want to pay you and the other associations a fee for this rental commiserate.”. Well. In March 2016 Section 4 received another call, from a Belgian contractor who said he was calling on behalf of a Polish guy working for a company “affiliated to an american firm”, and asked this question: “Do you think we could ask the Canadian firm if they allow us to put our dishes on their mast?”, which is a little bit strange (why they didn’t call Vigilant directly?). The other odd thing is that Section 3 (not involved in the story until this moment) sent a registered letter to Section 4, signed by a lawyer, saying that Section 3 wants to prevent Section 4 to accept the Vigilant dishes. The Oostduinkerke quarrel looked like Dallas at the beginning, now it looks more like a western movie.


Amazingly, the day after the DDC officer recommended to refuse both the Vigilant and NLN masts on January 17, 2017, a new planning application was granted – not in Richborough but in Tilmanstone, between Swingate and Richborough. The application was filed on November 22, 2016 on behalf of Arquiva (a telco company who owns a lot of towers in UK, including the Swingate ones). Arquiva asked for a “5m extension to the existing lattice tower and the installation of 2 transmission dishes on the extended tower”. 


The tower in Tilmanstone

Given the bearings of the dishes documented in the application, that really smelled HFT as one dish is watching to Dunkerque, and the other one to Slough (the only firms working on such paths around the Channel are HFT-related). Unfortunately, the documents filed in November 2016 mentioned “A new customer”, no name there – while most of the time it’s possible to find the name of the HFT firm asking for new dishes. I think the firm wanted to remain discrete – or they didn’t want a guy like me to find what was going on in Tilmanstone. But, on December 5, the Safety Compliance Certificate was downloaded on the DDC website and…


© Dover District Council

… a name showed up, Nova Scotia, and Nova Scotia is an alias for Vigilant. I got you ;) Now I could add a new location, Tilmanstone, on my map.


Click to enlarge

So, it looks like Vigilant has a Plan B to cross the Channel in case the mast Richborough is refused by the DDC councillors tonight. It’s certainly more difficult (technically speaking) to cross the Channel with two small towers (that’s the reason Vigilant wanted a 5m extension to the tower) compared to the 322-meter mast they hope in Richborough, but at least they can be sure that the residents won’t complain, and nobody will ask for Lotus corniculatus’ opinion there. Tilmanstone is not as close to the straight line as Richborough is, but compared to the Dunkerque/Doudekerque-Swingate path Vigilant built to cross the Channel, it’s a little bit better (are they saving 1 microsecond? or half a microsecond?). Looks like a consolation prize if the mast in Richborough is refused.


On January 24, 2017, two days before today’s vote, New Line Networks filed two last documents. One is attacking Vigilant’s application on several points:


Beyond the technical battle about the stay blocks and bla bla bla, the most interesting part is this one:


First, it’s an answer to Vigilant who stated last year that a 305-meter mast would be too small. This is a fair point as there is no such difference between 305 meters and 322 meters, both the masts should be able to welcome the different dishes (after all, most of the competitors cross the Channel with smaller towers, except for NLN who has the 243-meter tower in Houtem); that’s said, NLN also says they are ready to extend their mast so that it would be 325-meter too. However, the argument about McKay Brothers is a bit facetious : 1/ if the Ofcom licence asked by McKay is indeed for a path from the NLN mast in Kind Ends Farm to Oostduinkerke, the licence can easily be changed to accomodate the Vigilant mast, and 2/ saying that both McKay and Latent want to put their dishes at 250 meters is a bit excessive because when operators ask for an Ofcom licence, the exact location of the dishes on a mast are most of the time approximative until the dishes are physically installed.

The other last file NLN submitted to the DDC is a 40-page (!) document defending their mast in Kings End Farm and the way they would create a “Community Interest Company” (CIC), a is a limited company which is created for community benefit.


NLN “propose that 50% of the net revenue generated from the lease will be made available to the local communities”. “As a minimum, we would guarantee £100,000 per annum being made available through the CIC, to the benefit of local people” and “if, for example, two additional financial network providers were to take up space on the mast, we estimate that the fund would provide an annual sum of £244,534 to the local community”. “After a lengthy discussion”, NLN “agreed that the six parish councils [impacted by the mast] would each receive a fixed proportion of net revenue, with the remaining funds allocated according to parish population. Specifically: – 5% of the net revenue allocated as a fixed sum to each Town/Parish Council; – the remaining 70% divided amongst them according to population size”, as shown in this slide:


Should the application for the KEF Mast be successful, the Community Interest Company will enter into a collaboration agreement with the operator of the Mast [NLN] which will regulate the distribution of funds, embed the agreed commercial terms to provide income for the CIC, and distribute income for the benefit of the community”. But that’s not sure money will be enough to convince people and the DDC councillors. NLN requests that a verbal update is made at the committee meeting today. We will see.


I came from Brussels to Dover first by car (so I visited for the last time the HFT towers in Flanders, including the Houtem tower where all this story started), then I took a ferry from Calais to Dover and I arrived at the Ramada hotel which is near the DDC offices where the meeting will start in 45 minutes. This is the only hotel in the surrounding area, so I guess other people involved in the HFT world are there too. Perhaps I’m surrounded by an army of HFTs, who knows? Now it’s time to walk to the DDC offices. I’ll try to live-tweet the meeting if I can.


HFT dishes in Houtem, Flanders, Belgium. 01.26.2017


The Dover District Council refused both the masts. Vigilant: nine councilors against, one for. New Line Networks: ten councillors against, ZERO for. Crazy end for the HFT in the Banana Land story. More in a last episode soon.

HFT in my backyard | S02E00



“Life is not only HFT, and it goes by even faster”. I totally agree with this statement by @MarcosCarreira, made in his review of the last Market Microstructure – Confronting Many Viewpoints organized in Paris two weeks ago. As I attended the conference two years ago (I even gave a little speech at the speakers’ dinner, I was honored to be invited to talk about “market microstructure in the Middle Ages” – this year the speakers’ dinner speech was by Donald MacKenzie), I came back in the French capital for two days to listen to some interesting (but a little bit complex) talks about “Instability from Information Efficiency” or “High-Frequency Trading and Extreme Price Movements” or “Dissecting Cross-Impact on Stock Markets: An Empirical Analysis” and so on. If you like finance, market structure and mathematics, this conference is the place to be; if you don’t get the extra-long mathematical formulas (like me), this is the place to be too since there are opportunities to meet people involved in the market (structure) industry (read Marcos’ review to learn more about what happened in Paris this year).

Two years ago the best moment I had was a coffee I had with microwave provider McKay Brothers’ CEO Stéphane Tyc (one of the best players in the HFT “arm race”) and Eric Budish (an academic from Chicago who wants to slow down the market with auctions) – the two obviously totally disagree on HF, but the chat was quite challenging. This year I met Sebastian, who works for Deutsche Börse/Eurex as an engineer, in charge of the matching engine of the exchanges (the matching engines are like the old pits: a place where buyers and sellers meet, collocated as close as possible to the engine). It’s always good to see the face behind a Twitter account. We had a lunch and discussed about the design of such engines – to me the main issue here is information dissemination: when a trades occur, most often the buyer and the seller know about the trade (sometimes far) before the transaction is publicly disseminated to the other participants. It seems like Eurex want to reduce this gap (check out this technical document). (This issue is not a small one: I recently learnt that because of a software upgrade, an exchange having a matching engine in UK allow the buyer and the seller involved in a trade to know about it 70 microseconds before the other participants, and this is a lot, such a thing should not exist). Sebastian also introduced me to two of his colleagues who work for the CME Group, on the matching engines (it seems like they were in Paris quite incognito), so the next day I had a lunch with three guys with whom I had the opportunity to know more about the way they design this critical and technical piece at the center of capitalism – the matching engine). Very interesting. Nice guys, nice lunch.

More important: by listening to the various talks about HFT, the engineers realized (one more time) how serious is the problem of data. Lots of academics complain because they can’t get recent data from the exchanges (given the scandalous amounts of money the exchanges earn by selling data to the ones who generate it, they obviously don’t offer it for free to other people); we even joked about the fact some academics still rely on a (now un)famous data set from Nasdaq, for the years 2008 and 2009, to analyze HFT activity (this is a non sense). The very good news is (at least this is their personal view) they are willing to give more data to the academics (“we’ll see what we can do in terms of better providing data sets to academics and guidance on how to use them”). Hurray. The most important would be to get data from more than one exchange, as it’s nearly impossible to learn about what’s going on in the markets with data coming from one venue (a trader may remove liquidity here and add liquidity there, etc.). Data is everything, for both the traders and the academics.


Speaking of mathematics, people reading French  maybe interested by this book whose the English title would be Imaginary numbers in Geometry: Les Imaginaires en géométrie. Extension du domaine des images géométriques à deux dimensions (Essai d’une nouvelle concrétisation des imaginaires) by Pavel Florensky (1882-1937). Florensky was quite a fascinating Russian mathematician and an Orthodox priest (check out Wiki) who wrote the most part of this book when he was studying mathematics in Moscow, but the last part was done 20 years later when Moscow celebrated the five hundredth anniversary of Italian poet Dante’s death. The book is full of mathematical formulas I don’t understand, but in short, as Wiki rightly pointed out, “it’s devoted to the geometrical interpretation of Albert Einstein’s theory of relativity. Among other things, he proclaimed that the geometry of imaginary numbers predicted by the theory of relativity for a body moving faster than light is the geometry of the Kingdom of God. For mentioning the Kingdom of God in that work, he was accused of agitation by Soviet authorities.” – this is worst: this book was one of the reasons Florensky was sent to a gulag, where he lived for years before being executed with a single bullet to the head. A sad story. 

The foreword of the book is by mathematician Cédric Villani (Fields Medal in 2010) (“À travers sa tentative de synthèse entre science et spiritualité, saluons le courage d’une pensée ardente qui refusa d’être une brique sagement rangée dans un édifice, si magnifique soit-il” Cédric writes) and there is a long introduction by physicist Pierre Vanhove (who works on perturbative and non-perturbative string theory, among other topics). Pierre was the last people to be involved in the translation of the book from Russian to French – the amazing story is that this translation was first started in 1926 by a friend of Florensky, so it took nearly one century to finish it! This is a fascinating book, even if you don’t understand all the formulas. If some Russian-speaking quants are interested, here a link for the Russian text. A world where it would be possible to be faster than the speed of light c cannot but interest high-frequency traders…



I don’t forget I also have to finish the “HFT in the banana land spin-off. I have been quite silent here about the ongoing battle between Vigilant Global and Jump/KCG/New Line Networks who seek to erect giant 305-mteer (or 322-meter – it’s a big difference as you’ll see later) in Richborough, UK, where the majority of the residents and the majority of the local public bodies don’t want such masts in their backyard. But the final verdict will be given by the Dover District Council, and the council is not required to follow the opinion coming from the different parishes. I have been following what’s going there for months now, obviously I read all planning application documents (here and there), I have exchanged dozens of emails with a local activist, Bass de Banaan, who is against the masts and worked hard to understand what’s going on there, and so on. As soon as the Dover District Council confirms the date of the meeting where the masts will be discussed (decided?) I’ll post the penultimate episode of “HFT in the banana land”. In the meantime, an article about this battle should appear in Square Mile magazine (UK), and a multimedia article should be online soon on the Het Financieele Dagblad website (Netherlands).


From Richborough Fort – inside the fort. The landscape with no mast.


Cumulative photomontage from Richborough Fort – inside the fort. The landscape with the New Line Networks (left) and Vigilant Global (right) masts.

My backyard

The problem with the “HFT in my backyard” series is: I have too much data but not enough time to write the complete story of the microwave networks linking London and Frankufrt. Another problem is new networks showed up (or will show up soon), so it’s a never ending story. Life is short, I’m working on more interesting stuff and from February 2017 I’ll be busier, so I won’t have the time for a long season 2—I’ll just try to summarize some interesting/amazing/serious/fun/weird/not cool stuff, 10 episodes at most. But I decided to write a book (or half a book) about this saga—I’ll detail in an upcoming episode. One of the reasons I got too much data is I have new friends—people working in the telco area—who helped me to spot new HFT dishes in France (human intel and field work are good). One even downloaded the (UK regulator) Ofcom data base to generate a map with allll the wireless networks in UK; if you keep only the HFT microwave links, it looks like that:


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(The long green Aviat network going from Slough to Cork is of particular interest ;) but that’s for an other episode). One of these new friends is in touch with @russss, who “likes infrastructure”, and Russ “added an experimental microwave (HFT) layer, showing microwave links in the UK operated by trading firms” on his Open Infrastructure Map; here is the Channel area:


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A lot of people are working to map these networks, and that’s good, I’m not alone anymore. As for me, I’ll start “HFT in my backyard” season 2 with a first episode about a new network who showed up recently; it’s not about Frankfurt-London anymore, it’s about London-Zurich (and/or Milan?). Seems like two Dutch trading firms are on this new path (at least for now): one (whose name starts with a F) has a full network, the other (whose name starts with a O) is just starting it. Moving towards new horizons (be they 2, 6 or 12) is interesting. 


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I’ll start the season 2 early January and I’ll try to finish it at the end of January, so that I’ll be able to move on. This has been quite a busy and tiring year, now it’s time to have a break. Merry Christmas to all.

A Christmas gift from Yale

Thanks a lot to Greg Laughlin for this very kind blog post; linking Opicino de Canistris’ map and  James Lovelock’s Gaia hypothesis is quite a excellent and feeling intuition.


Hanc blogis exiguitas non caperet is so true… As writer Jose Luis Borges wrote once, “the idea of the definitive text belongs only to religion or exhaustion”. That’s why it’s really time to rest.