Search results

I strongly feel that structural advantages are fine they are open to anyone having to meet certain obligations to obtain them. For instance, if anyone is allowed to obtain DMM status if they agree to quote X ticks wide for Y% of the time, in return for lower fees, I'm fine with that. It's...

The range is really too wide to quote an average. 500% ROC could be considered normal - say making $100M/yr on $20M in working capital. I really don't know for certain what kind of return the best firms make since I don't work at one. I've heard of firms making $4M/day, and I'd be shocked if...

1. Yes absolutely. 2. No I wouldn't say so. It's a zero-sum game, but as market-makers we're getting paid by market-takers that compensate us for the risk that we're taking by making markets. So all market-makers can make money on any given day, paid for by the market takers. 3. Yes.

1. Profit sharing. There's enough jitter and variation in the way you do things that no one absolutely dominates. Like others have said before me, the devil is in the details. Being faster just makes it easier. 2/3. Believe me I've considered it. You can get a pretty decent operation going...

I disagree on both counts. The manner in which you obtain HFT edge is dictated by regulations, but there is intrinsic value in the service we provide by making markets, and I think it's comparable to other retail businesses. I like to think that if locally-owned businesses were the...

Last-look is vital to market-making in FX. It's not all free money though. Similar to how you can last-look deals, you can receive reports on how often participants last-look you and turn off your flow to them. So if you last-look too often, you lose order flow. The last look period is in the...

When you apply for a connection at CME, you'll need to be pre-approved by a CME approved clearing firm before you're allowed to connect. You then get the credentials from the exchange directly. Might want to try Advantage Futures as a step up from home retail into the DMA world. They...

Yes, there are some non-banks that I just don't have experience with that would be competitive as well, I know NewEdge in particular is just as competitive as the banks, particularly overseas. And yes, Barclays and CS are just as competitive as the rest. The differences between the...

Answers are the same for both types of trading (futures and equities). 1&2. Big banks. GS, JPM, ABN, etc. 3. About $1M in commissions generated yearly. 4. Direct everywhere.

That's essentially the underlying problem to be handled when making markets, regardless of the market. It is what we spend our livelihoods trying to figure out. I can give you a super secret hint: Get FAST.

No I sure don't. Maybe my statement was unclear when I said "I can do that" - I meant I could give you that signal, not make money on it. Like you said, it's still a loser net of fees if you're crossing the market to enter and exit. So you have to use it only to bias the orders you rest, as...

In-house custom C++.

Depends on the specific circumstance. In some markets, you can specify a minimum fill quantity (so if you're resting $1M at hotspot, you can specify that you don't want to be filled on anything less than X, at the risk of losing out on some order flow). Of if you're trading something like stocks...

Nothing out of the ordinary. Linux, (Bash/sed/etc), Python, and R for analysis. C++ for production. LibreOffice and Thunderbird for non-productivity.

I'm not quite smart enough to understand that full paper. But from what I can gather, they're predicting mid-price market movement. Conceptually it is identical to what we do. And in fact, when you're making markets you can use that model as-is to probably make some money since you're going to...

Fair enough, I'll give numbers from one of my strategies from yesterday: 2% market share Remove vs. Add: ~ 1:1. Slightly more adds than removes due to fills. Duh. Removing modify's from the equation to keep things simple. % orders filled: ~10% Decide when to remove based on alphas Order...

Glad to see a post from a fellow HFT'er :). Good questions to ask, that's why I can't answer many of them :p. 1. There's quite a few that come to the top of my head. In no particular order: Jump, Teza, Spot, Peak 6, Optiver, IMC, Jump, Allston, Volant, XR, Ronin, EWT, Eagle 7, Wolverine, and...

1) I've really done a bit of everything, from low-level market connectivity development to high-level alpha research, management, and everything in between. 2) You can sum up the changes in HFT over the past decade by saying everything and everyone has gotten faster and smarter. Margins are...

I cannot, sorry. A) I'm too lazy to strip out detailed timestamps and other proprietary data we attach to it. B) We sign contracts not to disseminate market data when we connect to the exchange. It really looks to me like IB has got a bug in their pricefeed due to the time shifting. Each...

Well no one *must* trade through an intermediary. So if you *choose* to do so (by not opting paying for direct market access), you're at the whim of the types of orders they support. For instance, many brokers probably don't support Icebergs or Hidden orders. In fact, many HFT firms don't even...