Taibbi: NYSE ends transparency to protect Goldman Sachs

[ThePythonicCow]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

You did see the thursday close, didn't you?

I don't follow the market that closely. I heard something about a 15 minute delayed closing due to some problem. Is that what you're referring to? And if so, how does that relate to whether or not GS shut down program trading for a week?

[icm63]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

GS trading Profit and Loss calc for the intra day goes like this

BUY APPL 129.50
SELL APPL 129.55
PROFIT 0.05
BUY APPL 129.60
SELL APPL 129.55
PROFIT -0.05

EOD EXCHANGE REBATE FOR LIQUIDTY $$$$

EOD PROFIT GOOD !

[ThePythonicCow]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

Is A Case Of Quant Trading Sabotage About To Destroy Goldman Sachs?

Aha - I think I tracked down the online photos and two YouTube videos of our thief. It seems he is quite the romantic young dancer with a delightful wife.

Sergey Aleynikov

Serge & Elina Aleynikov

YouTube: Elina & Serge Cruise 2008 Dance Show

YouTube: Serge & Elina Aleynikov's Love Story

[GeraldRiggs]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

icm63:

Is that really what this volume program trading is all about or are you guessing? I've been trying to figure out why these guys trade so much so quickly for a long time. What is the EOD rebate value?

[thedanimal]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

More reporting on this from Reuters:

A Goldman trading scandal?

It’s possible Goldman asked the NYSE to alter some of its reporting methodology after the firm discovered that someone may have infiltrated the proprietary computer codes it uses.


Here’s the way the criminal complaint describes the Goldman trading platform:

The Financial Institution has devoted substantial resources to developing and maintaining a computer platform that allows the Financial Institution to engage in sophisticated high-speed, and high-volume trades on various stock and commodities markets. Among other things, the platform is capable of quickly obtaining and processing information regarding rapid developments in these markets.

[loweyecue]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

EVERYDAY, all I see is more lies, obfuscation, and bullshit. And NONE of it reported on in the MSM. I'm getting more and more pissed off by the day.

Thanks, Great story link.

they should drop all pretense and start calling it the GSSE (by its real name).

[charliebrown]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

correct me if I am wrong cow ...

I have worked for several fortune 500 firms in the IT department, and no-one is going to be able to take a lot of extreemly complex source code and just plop it onto a computer and start program trading.
Yes it would have value to know how gs thinks, but i don't think anyone one out there is going to instantly arb, or lead etc GS trading. I have friends who work in the trading business and they are very anal about testing stuff before it goes live.

They are going to want to inspect the code, probably modify it to run in the their environment etc. Since the code relies on ultra fast reaction to real time data, if their feeds are delayed or come in a different order than GS data streams they may get different results.

Also, I think the real value would be if GS didn't know that someone else "knew what they Knew" (sounds like a bad friend's episode doesn't it). Now that the cat is out of the bag, the code is less valuable.

[ThePythonicCow]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

correct me if I am wrong cow ...

I have worked for several fortune 500 firms in the IT department, and no-one is going to be able to take a lot of extreemly complex source code and just plop it onto a computer and start program trading.

I sure hope you're right, at least not with serious money.

[rj1]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

I just realized where I heard Taibbi's name before (before the Goldman expose).

He was on the Bill Simmons podcast on espn.com.

http://podloc.andohs.net/dloadTrack....ons090506a.mp3

In addition to talking sports briefly, he talks about the economy and the future of writing (from May 5th).

[Sharky]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

What's interesting to me about this story is exactly why GS would be so concerned about the code getting out.

As others have said, just dropping it in to another machine somewhere is unlikely to produce a competitor.

However, what if the code shows they are front-running trades? Think about it for a second. Why would you need sub-microsecond-level response time in a trading system? One possibility is if you know something that's about to happen, and you need to squeeze in your trade before it does.

If they aren't front-running, what else could they be doing? Maybe they're analyzing trading patterns, and predicting price movement based on that? There are hundreds of quant firms out there already doing that -- the competition is stiff, and it certainly doesn't seem like it would be a long-term money-maker. And would you really need sub-microsecond response times for that approach?

Also, did anyone else notice that Sergey was making $400K/yr? Speaking as someone who works in the software field, that's awfully high, even for a top programmer. Is it possible he was being paid for more than just writing code? Like keeping his mouth shut in the face of fraud?

[Chris]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

correct me if I am wrong cow ...

I have worked for several fortune 500 firms in the IT department, and no-one is going to be able to take a lot of extreemly complex source code and just plop it onto a computer and start program trading.
Yes it would have value to know how gs thinks, but i don't think anyone one out there is going to instantly arb, or lead etc GS trading. I have friends who work in the trading business and they are very anal about testing stuff before it goes live.

They are going to want to inspect the code, probably modify it to run in the their environment etc. Since the code relies on ultra fast reaction to real time data, if their feeds are delayed or come in a different order than GS data streams they may get different results.

Also, I think the real value would be if GS didn't know that someone else "knew what they Knew" (sounds like a bad friend's episode doesn't it). Now that the cat is out of the bag, the code is less valuable.

I agree. Our set up consists of more than 500 separate code projects and runs on a huge number of separate but integrated servers. I can understand their concern if the main strategy algos were made public but even that wouldn't allow someone to start trading like Goldman. What is more likely to cause them concern is if this missing code has the ability to allow Goldman to perform some trading strategy with the NYSE that "may or may not be rumoured to be alleged to be bordering on the wrong side of regulation". We can speculate on that...

[Chris]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

Also, did anyone else notice that Sergey was making $400K/yr? Speaking as someone who works in the software field, that's awfully high, even for a top programmer. Is it possible he was being paid for more than just writing code? Like keeping his mouth shut in the face of fraud?

Not necessarily. A junior quant with several years experience with a good firm can command upwards of $200K per year. A quant for Goldman with more than 5 years could easily rake in $400K.

Take a quick look through this list:

http://www.quantfinancejobs.com/jobs/quant-us.asp

[Chris]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

And to back up EJs thesis, why would a firm be hiring for an interest rate quant to specialize in inflation derivatives if we were about the dissappear down the deflation hole?

http://www.quantfinancejobs.com/jobd...id=&JobID=6957

Quantitative Analyst/Developer – Interest Rates – Inflation Derivatives (£65-£80k)
London, United Kingdom


My client is looking for an interest rate quantitative developer with a strong background in C++ and Stochastic Calculus. The role will involve supporting interest-rate options, developing pricing models for swaps, modelling yield curves and maintaining a suite of 40 models.

The role is ideally suited to a candidate with 1-3 years working in derivative pricing environment with experience supporting interest rate and inflation products. Candidates will need to have a strong background in stochastic mathematics to develop and build the models and in C++/C# to implement the models into the central pricing library. The ideal candidate will have a PhD level education or a DEA (Both relevant) with a focus on pricing derivative products. In addition to C++ and Stochastic Calculus, other skills that may come in useful are C#, Matlab, Excel/VBA.

The salary is between £65k –£80k depending on experience with a performance - discretionary bonus.

[santafe2]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

Also, did anyone else notice that Sergey was making $400K/yr? Speaking as someone who works in the software field, that's awfully high, even for a top programmer. Is it possible he was being paid for more than just writing code? Like keeping his mouth shut in the face of fraud?

We would have to better understand his skills as a code developer. As you cannot train just anyone to sell you can't train just anyone to code. A brilliant software developer at $400k/yr is much more valuable than 4 well trained, hard working coders at $100k/yr.

I can't imagine a guy worth $400k/yr. being dumb enough to copy proprietary code along with public domain code. He was likely trying to leverage his value at the new company. Probably not stealing code to hand over on his way in the door but taking it to analyze and back test against his own algorithms.

[Sharky]

Re: Taibbi: NYSE ends transparency to protect Goldman Sachs

We would have to better understand his skills as a code developer. As you cannot train just anyone to sell you can't train just anyone to code. A brilliant software developer at $400k/yr is much more valuable than 4 well trained, hard working coders at $100k/yr.

I completely agree with you, but 90% of the companies that hire developers don't. In their business, maybe the folks at Goldman understand that. It's possible.

BTW, his resume is available online at LinkedIn:

http://www.linkedin.com/profile?view...Y_*1_Relevance

An IT/IS professional with over 15 years of experience in building robust, reliable and intelligent software solutions for financial and telecommunications industries. Specializing in architecture and implementation of massively concurrent low-latency, highly available distributed systems in the area of high-frequency trading.

• Strong hands-on skills in design and implementation of distributed mission-critical systems (involving proprietary and commercial messaging, queuing, lock-free concurrent computation, replication, and database components) processing billions of dollars in annual revenues.

• Knowledge of mature technologies that give a five-fold increase in quality and productivity of development, while significantly reducing implementation time.

• Strong analytical skills with proven track record of proactive problem solving.

• Practical knowledge of full life cycle system design and development using agile project management principles.

• Expert knowledge of relational/hierarchical database management systems.

• Proven achievements in on-time and on-budget delivery of system solutions to complex business requirements.

• Team-oriented with excellent interpersonal communication skills, and a motivational leader and mentor with a reputation for integrity, reliability, and quality.

Specialties

SYSTEMS: UNIX/Linux, Windows.
LANGUAGES & FRAMEWORKS: C/C++, STL, Template Metaprogramming, lock-free algorithms, Erlang/OTP, Kylix/Delphi/Pascal, Mono, C#/.NET, F#, OCaml, SQL, PL/SQL, Perl/shell scripting, JavaScript, HTML, XML.
DATABASES: Oracle 7/8i/9i/10g, Sybase, TimesTen, FastDB, GigaBASE, Mnesia.
PROTOCOLS & API: TCP/IP, UDP, SCTP, FIX, Nasdaq ITCH/OUCH, NYSE CCG FIX, SS7/ISUP, SIGTRAN/M3UA, SNMP, SIP, SOAP, TibcoRV, MPI, SMTP, JABBER, JSON, AJAX, Win32, pthreads, futexes, async I/O.