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Yes, but it's a mix of math and tech to truly make it work. Also, most of the math behind this stuff isn't too complex. Maybe a bit more difficult for the derivatives people.

See pages 6-7 of the prospectus. The ETN indicative value given one days VIX index return of r is the following: N1 = N0 * (1 + A + L * r) * (1 - F) Where N1 is the new indicative value, N0 is the previous indicative value, A is the daily accrual (defined in paper), L is leverage (-1 in XIV...

Yes, perhaps less if he can write all his own feed parsing. But I don't see how this is unfair though. The SIP is sufficient for a simple use case like most retail investors require, and is there is a higher tiered, expensive feed for more robust use cases. This is true in most industries.

The are several exchanges for many reasons. One such reason is varying fee structures to incentivize trading on said venues, and to encourage liquidity. The concept of multiple exchanges is not inherently flawed. The SIP seeks to consolidate the books on each of these exchanges to arrive at an...

Quote stuffing is just flat wrong and is certainly market manipulation. It's important to note that this practice is rarely employed by trading firms as it is highly illegal and fairly easy to get caught. Any behavior that diminishes market quality should be eliminated. In its natural setting...

Slide not hide orders pose about a 0% chance of hindering your strategy unless you trade HFT. Given your post, you don't. They do in fact make Mr. Bodek lose money. He was a HFT, his job was to worry about these things. Latency arb, as terrifying as it sounds, is simply keeping two markets in...

If you can explain to me how a typical HFT "front runs" others orders, then I'm glad to listen. However, I doubt your reply will sufficiently address the mechanics of today's markets.

Depends on your options strategy. What risk are you trying to protect yourself from? If it's delta risk, you can do an approximate hedge in equities, where spreads are tighter. Maybe it would make sense to buy or sell a different option as work the bid/offer for that fill (don't pay the spread)...

Yea, this makes sense to me. I trade index arb so there's a clear idea of what is being hedged (index exposure) and what side of the spread is a hedge.I suppose this makes less sense as one enters the realm of stat arb.

I don't think I see a distinction between a hedge and a spread. In fact a spread is simply a position in which some exposure is hedged. For example, if you trade a stat arb between SPY and QQQ, you are effectivley hedging some general market exposure. As for the original question, hedging can...

Most professional traders use servers that are running some Linux-type OS. These are the servers that actually route orders to the exchange. For desktops to input orders/view GUIs, it varies. Id imagine the most retail traders are using Windows. Note that most retail brokerages don't offer...

It's amazing how little people know about HFT.

Since FXE is an ETF, it has a NAV (net asset value) and some index risk. The general rule is that the NAV at day t, NAV(t), is related to the NAV(t-1) via the following formula: NAV(t) = (1-f)(1+R(t))NAV(t-1) Where f is the daily expense ratio and R(t) is the return of the ETFs index for that...

In fact they would disclose what expectation of returns is for particular market environments. The return characteristics of many neutral quant funds is the they do "okay" during periods of low volatility and incredibly well during periods of high vol. "Managed" equity funds which happen to be...

Is this order intended to actually exist on the limit order book? If so, then no. You can't post liquidity at a level without actually intending it to be filled upon a match. In fact, that would be entering the territory of spoofing. If you mean creating a system to fire one a price level is...

The most consistent profits come from strategies that exploit tangible market mispricing. That is, flat or index arbitrage. Market making has a similar level of consistency. However, these strategies can rarely be deployed by average traders. Although, there are takeaways to be had: 1. Treat...

Given the small capital pool, you'd unlikely see sufficient returns to get to the take home you want/need without extremely high sharpe. I know HFT desks in the $2mil range that can pull down $500k to $2mil a year. To do this, massive expenditure and intellectual capital is needed. the analyst...

This is only true if you're not systematically mispriced relative to the market. If you're not making a market around fair value then you can expect to have bad fills consistently.

lol there are many things that are well defined in trading. The reason it seems so ambiguous is likely the plenitude of poorly formulated "trades" that people believe have "edge". If Rentech is trading arbs (especially large scale and hard to model ones) then it is clear why the make money and...

Exactly right. Had they accounted for /understood the distribution of said spread in the tails, they'd likely put less position on when the spread was small and stack a ton on when it was wide. They would have made a killing if they could have traded. Instead, they had to sit on position and...