Knight didn't have a proper risk system. A correct risk system is a dead-man switch. There is just no way to place this many erroneous orders and get them filled. Capital Limits Exceeded: Full Shutdown. Risk System Crashes: Full shutdown. Heartbeat fails: Full shutdown.
Better to have a paranoid risk system than a rouge strategy.
The real flaw wasn't legacy code, it was straight-up laziness. This really isn't rocket-science.
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[ 3.4 ms ] story [ 12.2 ms ] threadBig discussion: https://news.ycombinator.com/item?id=6589508
Knight didn't have a proper risk system. A correct risk system is a dead-man switch. There is just no way to place this many erroneous orders and get them filled. Capital Limits Exceeded: Full Shutdown. Risk System Crashes: Full shutdown. Heartbeat fails: Full shutdown.
Better to have a paranoid risk system than a rouge strategy.
The real flaw wasn't legacy code, it was straight-up laziness. This really isn't rocket-science.