Trading at the Speed of Light: How Ultrafast Algorithms Are Transforming Financial Markets

A remarkable look at how the growth, technology, and politics of high-frequency trading have altered global financial markets

In today's financial markets, trading floors on which brokers buy and sell shares face-to-face have increasingly been replaced by lightning-fast electronic systems that use algorithms to execute astounding volumes of transactions. Trading at the Speed of Light tells the story of this epic transformation. Donald MacKenzie shows how in the 1990s, in what were then the disreputable margins of the US financial system, a new approach to trading--automated high-frequency trading or HFT--began and then spread throughout the world. HFT has brought new efficiency to global trading, but has also created an unrelenting race for speed, leading to a systematic, subterranean battle among HFT algorithms.

In HFT, time is measured in nanoseconds (billionths of a second), and in a nanosecond the fastest possible signal--light in a vacuum--can travel only thirty centimeters, or roughly a foot. That makes HFT exquisitely sensitive to the length and transmission capacity of the cables connecting computer servers to the exchanges' systems and to the location of the microwave towers that carry signals between computer datacenters. Drawing from more than 300 interviews with high-frequency traders, the people who supply them with technological and communication capabilities, exchange staff, regulators, and many others, MacKenzie reveals the extraordinary efforts expended to speed up every aspect of trading. He looks at how in some markets big banks have fought off the challenge from HFT firms, and how exchanges sometimes engineer technical systems to favor certain types of algorithms over others.

Focusing on the material, political, and economic characteristics of high-frequency trading, Trading at the Speed of Light offers a unique glimpse into its influence on global finance and where it could lead us in the future.

「以非凡的視角探索高頻交易的成長、科技和政治如何改變全球金融市場」
在當今的金融市場中，經紀人面對面買賣股票的交易場地越來越多地被快速電子系統所取代，這些系統使用算法執行驚人數量的交易。《以光速交易》講述了這個史詩般的轉變的故事。唐納德·麥肯齊（Donald MacKenzie）展示了在1990年代，當時美國金融體系的不光彩邊緣，一種新的交易方式——自動高頻交易（HFT）開始並在全球蔓延。HFT為全球交易帶來了新的效率，但也引發了一場無情的速度競賽，導致HFT算法之間的系統性、地下的戰爭。
在HFT中，時間以納秒（十億分之一秒）為單位，而在一個納秒內，最快的信號——真空中的光——只能傳播30厘米，或者大約一英尺。這使得HFT對連接計算機服務器與交易所系統的電纜的長度和傳輸能力以及攜帶信號的微波塔的位置非常敏感。麥肯齊從超過300次與高頻交易商、為他們提供技術和通信能力的人、交易所工作人員、監管機構和其他許多人的訪談中獲取了資料，揭示了為加快交易的各個方面所做出的非凡努力。他探討了在某些市場上，大型銀行如何抵擋HFT公司的挑戰，以及交易所有時如何設計技術系統以偏好某些類型的算法。
《以光速交易》聚焦於高頻交易的物質、政治和經濟特徵，為我們提供了對其對全球金融的影響以及未來可能走向的獨特洞察。

Donald MacKenzie is professor of sociology at the University of Edinburgh. His books include Inventing Accuracy: A Historical Sociology of Nuclear Missile Guidance and An Engine, Not a Camera: How Financial Models Shape Markets.

Donald MacKenzie是愛丁堡大學的社會學教授。他的著作包括《Inventing Accuracy: A Historical Sociology of Nuclear Missile Guidance》和《An Engine, Not a Camera: How Financial Models Shape Markets》。