Recent content by xbaha

among all the strategies you mentioned earlier, what would be the best HFT trading strategy that has never failed, and most new HFT comers trade? i.e. is it inter-exchange trading?

hi HFT, 2Qs: 1: do you have a strategy trades a single contract that has stopped working? how do you determine that it has failed after a long time of winning? can you give example? 2: when you do MM, what is the max holding period till you balance inventory? thanks.

hi hft, nice to hear from you, my questions is regarding globex: 1. what i meant by risk profile is, if your avg profit each trade is $x, what would be the avg max risk $x ? i also have more questions if you don't mind answer them: 1. What is the average hold period for a wining...

Hello, Thanks HFT for the valuable information, i hope you are still around to answer my questions: 1. how long in a calm market it takes in ms or micro sec from the time you send the order, until you receive confirmation of a fill? 2. i would like to know more about the risk profile...

yes, IB is fast and cheap! of course i cant relay on their quotes. what do you use???

yes, see official ib reply: when you submit a cancel on any OCA (one cancels all) group (Child/parent orders would be considered an OCA group), the system attempts to cancels all the orders at once. We don't attempt to assume we know what you would want done if one of the order executes...

if you use large time frames (3min or more) chances you will never see what i am talking about. if you send orders and cancel them within 15 seconds, you will see what is the problem..

dude, CHILD orders reside on the IB servers, they are ONLY sent after you get a fill ! if they cancel the order on the exchange, your stop is guaranteed to be canceled !

but if the stop order resides with my broker, isn't it more logical. and error free, that the broker should FIRST cancel the order in the exchange before canceling my stop order? why should i use OCA if i still have to have error handling for bracket orders?? otherwise i could use single...

Hi I am trying to see what logic IB has for their OCA orders, and please let me know if this logic is correct or not .. when i create an OCA order (parent + child), then after a while i want to cancel the OCA order, this is what happens in the below order: 1. IB cancel all attached...

it's obvious that low volume stocks can be manipulated, but dude, if you don't change the price, you wont be charged extra commission, keep your order sitting where it is... just find a systematical way on how to get rid of these 1 shares for a profit...

What is the average volume for these 30 stocks??

if you're latency is less than 0.001ms then think about re-coding in ASM.. the loop written by a bad language running 1000 times would take 1micro second to execute or less on an average hardware... do the math!

of course below works only on high liquid stocks or futures. i use this, and my sim is near the real ones: for limit orders, take out 1 tick as a slippage. (assuming your sim trade for a buy was the lowest tick!) for stop / market orders: 1. if you're strategy enters when market is calm...