Search results

I'm not sure of the exact cost depending on tiers of membership. If you're just looking for direct colocated access though (as opposed to the rock-bottom fees of a full member), I'm almost positive there are brokers that will let you connect with that amount of money. Advantage Futures is...

1) No. 2) Possibly, if 'placing' means hitting CME's matching engine, then no. There's a lot that happens between the time you send your order and it gets to the matching engine though. I can send 2 orders back-to-back (within microseconds) and have them hit the engine in reverse order. 3) HFT...

I don't personally know anyone that really makes money (consistently) doing MFT at home so this is pure conjecture from me. I'd consider starting at a basic EMA crossover type strategy, perhaps trying to incorporate 3 products that I feel are driving market direction at the moment (like a combo...

There's all sorts of ways to encrypt/permission files. Some firms are wide open (less and less these days). Most just use basic linux file permission systems and standard source control. Believe it or not, there's still quite a gap to bridge between source code and profitable implementation...

You can't know for sure on CME. You just make your best guess at it. Keep track of the size ahead of you when you place your order, then whenever the size decreases assume some percentage of people cancelled their order ahead of you vs. behind you. You can overlay all sorts of...

From what I do know about equities (again, caveat that it isn't too much), the alphas have less to do with the primary exchange's microstructure (bid/ask volume, trades) than the lead/lag relationship between quotes from other exchanges. I.E. if the latest quote from ARCA is X ticks better/worse...

If a seat is available you buy one, it just comes down to a relatively straight-forward accounting breakdown and is usually a no-brainer. We still trade through brokers for certain markets where there are no 'seats' though (EBS for instance).

"Never failed" is a bold statement. I'd say the most reliable strategies that mature HFT firms run are inter-exchange arbitrage and spot-futures basis spreading, at least from a MM standpoint. Not sure what market-takers count on as their bread and butter, but I'd venture to say inter-exchange...

There are some that come to mind that makes handfuls of ticks each time, but that's primarily due to the tick size and liquidity of the market (metals on EBS for instance). Might only get filled every now and then but makes a handful of ticks each time. To say that all edges are down to X ticks...

There is some AI involved in some strategies - it varies a lot across all of the strategies we run. You need both some smarts and speed in all strategies, but more of one or the other depending on what you're trying to do.

We use our own execution engine because everything is customized down to very very exchange-specific interactions. It's probably less a matter of latency (though that is also a factor, though you could argue some bare-bones 3rd party solutions can also be as fast or faster, depending the level...

Ebb/wane is a bad description. "Decay" is a better term for it. So we have edge by defining alphas/etc, but without any proactive analysis its PNL/edge will decay over time. Then you put in some feature or latency enhancement that boosts it back up. If and when PNL goes negative, you have to...

1. Yes, lots of them, PNL ebbs and wanes in all strategies, including the single product scalpers (pick your symbol, ES, EURUSD, ZN, FESX, ...). It's not really a matter of determining 'it has failed', but moreso 'What's the work/reward scenario of analyzing this strategy as opposed to...

I don't think I fully follow his logic (and at first glance I think he doesn't go into details about what his alpha really is that triggers the trades). I could be wrong, but it looks like just regular medium frequency trading. Maybe 'market making' because he rests an order on the market to...

1) There is some value to depth if analyzed properly, and it depends more on the overall liquidity of the product rather than the speed (i.e. depth on CL is more important than on ZN). 2) This isn't HFT specific in my mind. It's preposterous to me so say 'I want in at ANY price'. Even if it's...

Yes to all.

None. Local time is local time, and packets from everywhere are captured by a single capture card or server in each colocation. Nothing else is truly synchronized to HFT levels of accuracy. Timestamps between colocations are supposedly synchronized to something like a millisecond by an NTP...

Yep. However, 'marketable' is a very fickle term in HFT. But yeah, basically there is some price you're willing to buy/sell for and that's what you tag the order with.

No. We implement our own stop and market order type logic.

Not sure if size/competency have as much to do with it as much as belief in and approach to the process. The strict MM'ing backtesters that I've personally known have all failed. The ones that I've heard of being successful at it presumably have good models for not just market impact, but many...