FT’s Alphaville published the resume of Serge Alevenkov, the indicted Goldman programmer:
VP, Equity Strategy Goldman Sachs (Public Company; GS; Investment Banking industry)
May 2007 — Present (2 years 3 months)
• Lead development of a distributed real-time co-located high-frequency trading (HFT) platform. The main objective was to engineer a very low latency (microseconds) event-driven market data processing, strategy, and order submission engine. The system was obtaining multicast market data from Nasdaq, Arca/NYSE, CME and running trading algorithms with low latency requirements responsive to changes in market conditions.
• Implemented a real-time monitoring solution for the distributed trading system using a combination of technologies (SNMP, Erlang/OTP, boost, ACE, TibcoRV, real-time distributed replicated database, etc) to monitor load and health of trading processes in the mother-ship and co-located sites so that trading decisions can be prioritized based on congestion and queuing delays.
• Responsible for development of real-time market feed handlers, order processing engines and trading tools at a Quantitative Equity Trading revenue-making HFT desk.
In other words, Goldie’s system, its trading algorithms, would respond rapidly to market movements or ‘queuing delays’, which represent supply & demand in the system, before others could trade. Any correlation with the stock market’s intraday volatility and first & last hour spikes?
An intriguing passage is ‘trading processes in the mother-ship and co-located sites’ in regard to trading against ‘queuing delays’. Is the ‘mother-ship’ Goldman’s trading system, which are customer orders?
Zero Hedge on market manipulation and ‘high frequency trading’: With all the programmers in the world, we can only imagine how many more manipulative programs are out there…The proprietary code lets the firm do “sophisticated, high- speed and high-volume trades on various stock and commodities markets,” prosecutors said in court papers. The trades generate “many millions of dollars” each year.
Markets are a zero sum game – somebody wins and somebody loses. Where do you think these “many millions of dollars” are coming from? They are coming from you – the average retail investor and the large institutional investor. These programs are taking advantage of real order flow and are siphoning off small profits throughout the day that belong in the pockets of the retail investor and the traditional money manager.
Category: Think Tank
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