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I'm not sure I understand, "consider sleep a luxury" implies that one is used to not getting much sleep or does not require it. Sounds like a beneficial trait for the military and trading to me.

Given the military background and poker skills, which indicate both discipline and a good head for numbers/risk, I am sure many shops would be happy to have you as a trader. Might want to poke around the prop industry. I suggest taking time to brush up on advanced math and learn a programming...

Come on man, try to keep up. As long as you know it's not likely the full size, then you have a lower bound. And since you're not getting routed to the venues being quoted (because your orders are probably routed to a dark pool unless specified), that liquidity is not representative of real...

Just got here. Was looking at some forums to talk trading and ask a few questions about a new HFT project of mine. Believe it or not, there are a few smart people around here. There's a few other forums around the web with smart people too, but my slice of the trading world is too small to hang...

What a stupid and arrogant comment. Based on your later description it seems clear they aren't showing an aggregated NBBO. It's not fake, just not aggregated. But moreover, if you're smart routing you're unlikely getting routed to a lit venue and no matter what size you are trying to route, some...

A few points to be made (seems there is misinformation here): 1. TD is presumable posting the number of lots for NBBO. This is all that matters. Due to Reg NMS, any liquidity that is posted above/below NBBO is protected unless someone does in inter market sweep (not retail) 2. Since we are...

Keep in mind that all the work to trade (hence remove) these arbs does improve market quality. It's certainly a good thing that people are willing to take down such small margins

Algorithmically or discretionary?

What sort of stuff do you trade?

In some sense yes, although at there size there were other issues related to market impact by other groups in that trade ect. Also, if they could hold down those positions (from a capital perspective) they would have been right eventually.

Math and I currently work in the field. You?

Few points: - triangle arb is a "hard" arb. This means that it is truly risk free (provided one can get exposure while the mispricing persists). To get exposure, one needs to be very very fast. In my experience my best guess is the fastest players are shooting orders in single digit micros...

Haha, yes, I believe so.

Think you can scale the strategy to a shorter timeframe/do more volume? If so, you can probably get a better fee tier and make money on that trade.

You may want to go back and do an analysis of the market when the strategy did and did not work. Measure several statistics and compare the two different time periods. I would imagine the strategies failure is embedded in some metric.

Have you looked into why it might work/not work depending on market schemes?

A very direct method is to compare price to VWAP (volume weighted average price). VWAP essentially skews prices based on the volume at each price level. I haven't looked at this much, but I am sure there are very interesting relationships between VWAP and standard price.

Hi, Just wanted to reach out to any NJ based traders. Feel free to post here or shoot me a private thread.

A few things come to mind: From a trading perspective: - Poorly written algorithms are very easily confused by irrationality. The use of spoofing is an example of a way to trick and algorithm. - Many algorithms are designed to capture arbitrage opportunities. In this case, the target is in...

Thank you for your detailed response! Very interesting information. Like I said, my experience in equities and options so this is quite new to me. Seems like an interesting space. If I understand correctly, a simple cross venue arb between different liquidity pools is basically completely...