Recent content by algonoise

Very nice. Will be fun to see how long you get to pick off your broker/CP before they shut you down.

Tell your niece to study coding and statistics.

It's called marketing. Manoj is playing up his HFT street cred to differentiate his quant fund from the rest. What's more likely is that his prior firm was beaten by competitors and lost its alpha as markets and participants evolved. Same thing appears to be happening with Teza. Survival of the...

Sincerely not trying to threadjack, but if @FCT is interested in crafting strategies around macro data releases, he might look to an intraday holding period. There's stuff to be done, but not for the faint of heart.

I wouldn't recommend it. I think the retail trader is best off trading names "in play." Large volatility, lack of correlation, and ample liquidity (for retail purposes).

Chan lives in fantasyland. He can come up with endless strategies that simulate well but get killed in reality. Stat arb works but Chan is far from knowing how to monetize it. Sitting on an incomplete or complete basket vs an ETF for weeks is going to be bad for most everyone. Holding XOM vs...

Back when the OP was doing this, it was great. Now, not so much. HFTs just too good intraday.

Echo the general sentiment here. There is a disturbing trend of exchanges seeking to squeeze more revenue out of data and connectivity fees. This hurts all algo traders, but is particularly damning to small and mid-sized traders, who face greater margin compression. I don't think there is an...

Of course Sarao was spoofing. Cancel if close functionality - he was pissed his spoofs were getting swept and wanted to have faster and smarter cxls. Represented something absurd like a quarter of the sellside of the ES order book the day of the flash crash.

Not an options guy, hoping some of you experts can weigh in. We all know about IV crush following a scheduled event. Earnings, FDA, etc. But what is the typical IV decay profile post-event? As an example, let's say a company is reporting earnings in afterhours. Assume conference call scheduled...

Most algos are not that smart. Machine learning and hard maths overrated. Use of heuristics is fine. The real advantage algos have is their ability to analyze and react to data in microseconds. Trading is fluid and scalable, simple edges are short-lived. Good coding skills, basic stats, some...

Gamesmanship and predatory as in illegal? Certainly appears to be a lot of that going on these days.

Intentional or not, many prop traders have succeeded not from arbitrage but from creating inefficiencies and exploiting other participants. Rotter, Sarao, and others come to mind.

When you look at TF attribution since the 80s, it pretty much all comes from being long treasuries. But now rates are at historical lows and I don't think there's a convincing argument we see rates work their way back the other way.

Just another follow up to this. A WSJ article about HRT noted that they have an average holding time of ~5 minutes, hold positions amounting to 25% of firm trading capital overnight, and do ~5% of US equity volumes. So while there are some strategies with much shorter horizons, there's several...