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I'll break this up into 3 separate issues we're addressing: 1) Am I only concerned with processing time (internal latency) and disregarding external latency (me to exchange and exchange to me)? No, I measure external latency as well. But instead of breaking it up into 2 separate components...

I don't know, try another thread/forum. When you talk about a timeframe much longer than seconds I get lost.

Yep. Prices, sizes at prices, trades, and time. It bewilders me how many ways you can amalgamate those individual variables into alphas. That varies a lot, both in terms of what's analyzed and its stability. Some settings change on every tick, others haven't changed in years. Most adjustments...

Actually we don't care about official time at all. Most times are measured in diffs between our time only. In other words, we got some market data at YOUR_TIME_A, and sent out a response at YOUR_TIME_B. B-A = our response time. Exchange timestamps are used when they offer multiple timestamps...

Definitely not PNL-based in market-making. Market-takers will use it sometimes though. Predictive model is more like it, though it varies from person to person. Real post-trade analysis generally prevails over back-testing, since it's hard to accurately simulate fills in HFT MM'ing.

In general, rule of thumb is that bigger tick sizes/values lead towards more market-making, and vice versa. So there's more HFT MM strats on ES than on CL and GC, but in most of the popular CME products there is so much liquidity and volume that there is plenty of both HFT taking and making...

EdgeRequired can scale linearly or in a number of ways as you suggested. As far as hedging, ideally you want to hedge FOR edge, but as your inventory builds the edge you require to hedge would lessen and go negative (so if you can lose a half tick hedging vs 3/4 tick puking in the market that...

Yeah, a combination of the above. Complete liquidation is usually the last resort, but it's certainly there as an option.

Yes, your formula is correct. 1. You test different sizes of buckets and analyze them. That VPIN wiki article is just an example of a way to use trades to bias your market. Real alphas used are more complex and handle more edge conditions. 2. That's really the bane of market-making in...

I mean if you're going to put on a position due to some fundamental or macroeconomic factors that you will hold for days/weeks/etc, the firm's management wouldn't have the expertise or desire to judge the validity of that type of strategy. Don't think that relates to what you're doing to...

HFT firms don't really filter out strategies with < X trades per day. It will matter more what your projected Sharpe is and the overall scope of your strategy. A major issue is that as you extend holding times, you start exceeding the bounds of expertise of the firm and it's no longer a good...

That's pure semantics, and in-trade time isn't as important as response time. If I can average a few tenths of a tick edge by hitting prices that are then gone after a few microseconds, I can accumulate probabilistic edge throughout the day even if my in-trade times account to seconds and...

That is admittedly not far from the truth. Archaic as they might be, they are still effective as long as they are implemented properly. For example, a 2% drawdown limit would have kept Knight in business had it actually been in place. The good firms, which I like to think include myself...

Own vol measures, for obvious reasons.

You can definitely do it between US exchanges, why couldn't you? It's more competitive, but the rules of arbitrage dictate that someone has to do it. I don't really follow banks for price changes. Except in very specific use cases (think highly illiquid markets like Power), bank feeds are...

You can make plenty of money in HFT without FPGA's. Profile your hotpath and only pursue it when it makes sense given the full context of your other latencies.

It impacted them a lot. That's all I'll say about it due to ongoing discussions. I do wonder what retail investors think about it though. Do you notice it? Like it? Analyzed it?

It's the same both ways. You still need to convince a clearer to let you do it and need the credentials to do it (seat leases are relatively cheap). I haven't done it myself on a personal level, but general business practice if you're going through some type of sponsored access is to convince...

What does sweeping profit mean?

Simple example: EdgeRequired = 0.1 ticks MktImbalance = BidSize/(BidSize+AskSize) TheoPrice = BidPrice + MktImbalance * (BidPrice + AskPrice)/2 MyBid = TheoPrice - EdgeRequired, rounded down to nearest tick MyAsk = TheoPrice + Edge Required, rounded up to nearest tick In practice...