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I'm going to use this line when they try to give this old geezer's job to hotshot college grads.

My definition of backtesting might not match yours. I define it strictly as simulating how a strategy performs through historical data. It's really hard to do this well with a high-frequency market-making strategy. Instead of that, I rely other forms of analysis (and admittedly 'educated...

1. Depends on which exchange. At CME for instance, you can get a response in less than a millisecond. 2. 'HFT' is too broad to classify a number of ticks stop loss. There's strategies with stop losses set anywhere from 1 tick to flash-crash type levels. 3. As far as tricking your own HFT...

I've never always been the kingpin at ES-SPY (might have been at times :)), so I can assure you that there's some money to be split up amongst the rest of the group. It's impossible to narrow down the PNL from that one particular strategy since you're also often scalping interchangeably with...

I disagree on a few points. I don't think Reuters and EBS report specifics about counterparties to banks. I agree that CRNX and HSPX do. Keep in mind that 'banks' might be providing liquidity technically, but it's not necessarily (and even unlikely) that the bank is sourcing the liquidity. For...

Generally speaking, liquidity providers gross negative and make on rebates. Liquidity removers gross positive. Sure they exist and HFT's use them, EDGA for instance I've never personally 'dinked around' with it, if that means trying to alter the opening/closing print. Not that I'm truly...

It's not so much raw performance differences as much as ability to customize settings (network mainly) and configure how processes run. All of our staff has spent their adult life on linux systems and there is no reason to consider Windows. If forced to, I'm sure everything we do could be...

Nothing special, but with 10+ equities exchanges, you're more likely to flatten position somewhere other than the place you initiated, rather than scalping/rebating at a single exchange.

Buying a stock at one exchange (say BATS) and selling it at another (say ARCA). With the intent of actually grossing a profit (like $0.01) or earning a rebate for providing liquidity at either one or both of the exchanges.

Your box sucks. Or maybe you're misreading a decimal point, my not-so-great workstation pings localhost at 0.05 millis :). I see your point if you're at 0.5 millis, but then again, you're already sub-millisecond! We don't use customized linux, just a standard distro. There are a few methods...

I said that index arbitrage is primarily ES vs. SPY. I haven't seen ES vs. full basket done as a pure arbitrage. I have seen ES vs. small basket as a expanded pairs type trade. So one might pick some of the largest constituents from each sector and trading something like ES vs. (XOM + AAPL + JNJ...

Might not be exactly what you're looking for, but you could serialize arraylists into files for future access. final ArrayList<Integer> list = new ArrayList<>(); list.add(1); list.add(2); final FileOutputStream fileOut = new FileOutputStream("/tmp/test.ser"); final...

That can certainly be one example of HFT. "Low-latency trading" is really a better term for HFT.

Reminds me of Sears + Kmart circa 2005. Neither firm is doing very well and I don't expect them to do much better together, if it even happens.

It depends on what your other options are and how good the backtesting software is. As far as colocation, you can just deduct that cost from the deal when comparing options so there are less variables involved. That deal is terrible for someone with strong industry experience. It might be...

Hard to say because there are so many variables, but my one-line educated guess is that bid/ask spreads will simply widen on average, enough for us market-making HFT firms to cover most of the new tax (the rest will eat into our now lower margins), whose cost will in effect be covered by...

I don't think there is much, if any, advantage that can be gained by taking advantage of exchange microstructure with non-HFT infrastructure. Like has been posted earlier in this thread, just extend out to timeframes beyond milliseconds and seconds and don't compete in the same ultra-HFT space...

Partial fills aren't too much of a problem in futures trading, at least in the grand scheme of things. Comes up a bit in hedging decisions, but not as much as, say equities or FX trading where partial fills can be relatively smaller notional values than a standard futures contract. You could...

I wasn't aware of the FX hedging banning. From reading about it though, it was for your own good. Why would you want to be long/short the same product simultaneously? http://theessentialsoftrading.com/Blog/index.php/2009/05/08/nfa-justifications-and-reasoning-for-killing-forex-hedging/ When...

The entertainment feeds like Ransquawk have a few customizable options (like a Equity feed, Regional feed, etc.). The direct feeds have uses for everything (i.e. Nonfarm Payrolls release affects all the major asset classes).