Recent content by brownegg

Single market just straight-up bid/ask is almost impossible to do. In fact I'm not sure I've ever seen it done outside of pit traders in futures and the old NASDAQ equity market makers. But in those cases spreads and liquidity are such that even the tiniest bit of info or time/place advantage...

It's hard to define "impact". Anything sub-100us is usable in HFT. Maybe not straight-up vanilla arb, but you can make money. The problem is that about five years ago, too many people showed up and bought lots of shiny toys, and there are a LOT of players at that speed. The pickings are...

It's not like it's wrong to try, but I've never seen anyone pull it off. Giving the finger (in the large) to adverse selection is basically what market making is about. And the best (only?) way to make the downside smaller is the arms race.

I've done a lot of market making in futures. I've been large and active in ES, FF/ZQ, HG, GC, S, etc. For whatever that's worth. The short answer is, you don't hedge that risk--you just have a way to get the fuck out. Part of being a successful market maker / liquidity provider is having...

Thanks folks. I'll definitely check ToS out.

Hi Bob, thanks for chiming in. By $100k I suppose I really mean "much closer to $100k than $1m". $125k is fine if there's a reason to do it. Are there still JBO deals and the like available? "Back in the day" I could take my $100k and get portfolio margin by hooking it up to someone else's BD.

ToS is on the short list of other things to check out. What about it do you like?

Sorry, good call. Probably put $100k in. I anticipate (it's only that right now) I'll be clicking 5-lots, selling premium for delta. edit: meaning my volume is effectively zero--it'll probably be 500 contracts a month or something.

Been trading options off and on for 20+ years, some of the time on the floor, some of it upstairs trading capital structure and vol. Most of the last ten years has been delta-1 stuff, but I took a couple years off and am now totally out of the loop. Will be trading liquid / volatile / fun...

Thanks for the effort, but too little, too late. I'm not now and have never been a quant-- I most certainly am not Aaron Brown, but that seems like it would be fun-- Asiaprop, it wasn't me who misquoted you. This site is a total waste of time. I asked the mods to delete my username...

Good god, enough. If you can't tell that I know what I'm talking about, I'm not going to teach you.

I haven't looked at it much, but when I did I thought it would work because it's basically OCaml with .Net underneath. Nice combo.

I tried to bury the hatchet a bit, but fuck it. Both of your points here are just plain wrong. If a market moves up 50% every day, what is its realized daily vol? ZERO. If it moves 1% every day in alternating directions what is it's weekly vol? Etc. Correlations don't matter in vol...

OK now I'm confused. If you're trading like this (and for the record I agree with you, USD and EUR are both garbage, and EURUSD is going to 1), then we can't really disagree. * The article referenced at top of thread is talking about US equities, but I made the point earlier that this is...