>First of all, they cannot increase the latency of their software; in fact, as is explained in the presentation, they work hard to keep it as low as possible and to continue to lower it. An extra layer which must monitor everything would increase latency.
Right. So there is a sweet spot: you want to monitor often enough that you aren't bankrupt in a millisecond, but not so often that your profit becomes 50% of what it could be. I'm not familiar with the algorithms used in trading, but assuming they're complex, the sanity check that I'm proposing would not use a very large portion of your cycles.
>If it's different, then one of them is incorrect.
The presenter spoke of humans shutting off the system when it was causing them to lose a lot of money (in older days when their system was slower?) Presumably the humans were using some algorithm other than the one they implemented to decide whether to shut the system off. Which algorithm is incorrect?
How complicated do you think the algorithm the humans use would be to implement?
>You should watch the video, I think you will find especially interesting the part where he describes how they were unable to pay enough money to get people to even carefully review certain types of code.
I watched the first half. I stopped watching when it became apparent that I would get more out of the video if I knew OCaml, and I plan to learn it at some point.
>That is a static check. Metamath does not fork a process and monitor your proof, assuming that were somehow possible.
I'm talking about the effectiveness of using one system to confirm the correctness of another. For some reason, someone put a lot of hours into Metamath when they could have put the same hours into checking their own proofs. Why do you think they did that?
A final point: He mentioned that their software is in constant need of updating. Every update is an opportunity to introduce a critical error. It seems likely to me that monitoring software would not be in need of constant updating, since the algorithm that the humans use to determine when to turn off the machine probably does not change along with the things he mentioned.
I would reply again, but you have missed points made by the speaker, especially those in the context of OCaml. Please watch and make an effort at understanding before any offhanded dismissals.
My guess is that the value of the assets traded by Jane Street is much smaller than their bankroll. If the assets are something like 80% of the size of their bankroll I'd suggest doing a sanity check after every trade.
I think it would help if he understood how these trading systems work in the first place. You can't even compare writing correct code with monitoring the profitability of the system. It's like comparing football with driving.
Well, that's all the better in that case. You've got two radically different computer programs, and you only blow up if both of them go wrong. I'd feel much safer with that scheme than a scheme where the computer programs are similar because then they might both share the same flaw.
Right. So there is a sweet spot: you want to monitor often enough that you aren't bankrupt in a millisecond, but not so often that your profit becomes 50% of what it could be. I'm not familiar with the algorithms used in trading, but assuming they're complex, the sanity check that I'm proposing would not use a very large portion of your cycles.
>If it's different, then one of them is incorrect.
The presenter spoke of humans shutting off the system when it was causing them to lose a lot of money (in older days when their system was slower?) Presumably the humans were using some algorithm other than the one they implemented to decide whether to shut the system off. Which algorithm is incorrect?
How complicated do you think the algorithm the humans use would be to implement?
>You should watch the video, I think you will find especially interesting the part where he describes how they were unable to pay enough money to get people to even carefully review certain types of code.
I watched the first half. I stopped watching when it became apparent that I would get more out of the video if I knew OCaml, and I plan to learn it at some point.
>That is a static check. Metamath does not fork a process and monitor your proof, assuming that were somehow possible.
I'm talking about the effectiveness of using one system to confirm the correctness of another. For some reason, someone put a lot of hours into Metamath when they could have put the same hours into checking their own proofs. Why do you think they did that?
A final point: He mentioned that their software is in constant need of updating. Every update is an opportunity to introduce a critical error. It seems likely to me that monitoring software would not be in need of constant updating, since the algorithm that the humans use to determine when to turn off the machine probably does not change along with the things he mentioned.