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I listen to a squawk box for entertainment but it really doesn't help since I don't make any intraday adjustments. Ransquawk is excellent. News feeds for direct usage (NTKN, Reuters, DJ) are a different game and very interesting. Some people are making boatloads of money using them but I...

Just go to Dell and customize an R620 with the highest end CPU(s) and that's in the $5K-$10K general price range without any super customizations. 10G, centOS, 4/8/16 core arrangements are all common but nothing groundbreaking. FPGA's are another story altogether, but the cost there is primarily...

I stand corrected. I don't have much experience with options, but I was thinking of ES options on CME in particular. Or even something like SPY options trading where there's a lot more pricing and quantitative analytics involved than futures/equity trading that's so latency dependent. You're...

I have not read it but will take a look. My first question is 'why bother'. My second impression is that it's a bunch of voodoo data mining for data mining's sake. In answer to your specific question about the trade analysis, yes I wouldn't be surprised if a large portion of that ('large'...

HFT's are very active in both types of products you mentioned. I'm not sure what barcode means but I assume it's slow and thick like ZB vs. the fast and thin markets like oil. As far as position factors, it really varies across the board among different strategies. There are times when you...

It's largely either single product in isolation, single product across multiple exchanges, or closely related products. Other HFT's do more of the multiple product loose spreading, but then you're delving more into less HF and more T.

[B] 500% return on all of the working capital you have in the firm is realistic ($100M net annual profit on $20M in working capital let's say). Take this simple example to illustrate why that number is misleading. You trade ES@CME only. You hold a maximum intraday position of 100, trade...

It won't implode; it will reach an equilibrium where only the strongest firms will survive. The industry surrounding internet companies didn't implode, but bad firms went down and growth slowed to a reasonable pace (which is all already happening in recent years in HFT).

ROC as it's typically measured isn't all that pertinent to much of HFT. You keep your working capital as low as possible as you would in any other business and can achieve pretty high numbers (500%+), but bigger concerns are blowout risk and long-term expenditures, and that raw ROC gets cut down...

Yeah that would be too slow for the type of HFT trading we've been talking about on this thread.

Maybe/probably. Hell no. At least not that I've ever been told, heard of, or found. Some exchanges will show you the clearing firm behind orders. Some will show you the unique order id of the order you're matching against. So you could match up who you're trading against and analyze the edge on...

I have not read it. I glanced at some previews though. I agree with them somewhat, particularly on the special order types. I'll preface by saying that I don't use them currently since I'm not truly focused on equities trading. From what I know about them (which admittedly isn't much), I...

If by consolidated you mean some 3rd-party feed that consolidates endpoints then yeah I think it's too slow for pure HFT trading (rebates, scalping, inter-exchange arb).

Each HFT firm/trader/strategy varies on this. There are certainly some that are conpletely black box with just an on/off switch, and others that have lots of buttons and knobs that can and are tweaked while trading. Just comes down to your style. As you'd expect, most people prefer to move...

I've done both and it is quite different between the two, but not a complete dead-end. The high-level process to finding edge remains the same (how to analyze microstructure, how do I manage my orders, what markets/signals are my competitors looking at, how can I run this business efficiently)...

The clearing firms essentially trust us to handle our own pre-trade risk controls. There's many ways to handle the checks, but in general it's done via your own code and works as you would expect (MinPNL, MaxOrderSize, etc, get checked against your orders and the market). This is where...

Both are equally as important.

No, I don't think the hardware and intracolocation costs are a significant barrier to entry at all. They're paltry compared to the PNL potential of HFT. Intercolocation costs, however, are certainly a large barrier to entry. Simply put, the more money you make, the more you can afford to pay...

Without going into specifics on fees or products I think an individual can make about a grand a day with this setup fairly reasonably. With the experience I have, I'd probably aim for somewhere in the neighborhood of $5-10K/day on certain products...and most likely slip to about half that...

Absolutely. Well maybe 5K is pushing it but let's say 10K for the same server we use. You can be in the same ballpark as any HFT firm in terms of speed with that hardware, and the connection to the exchanges are identical, down to the cable length so it's even footing for everyone. In fact if I...