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Earlier you talked about index arbitrage in equities. You were saying that for instance the emini is traded against a basket of 20 or so components. I'm trying to understand how legging risk works with this. If you only wanted to ever have a position in the complete basket and hedged with the...

In my experience most firms don't really care for backtesting results. If you believe in the strategy go and trade it with your own money. Go prop since they can get 6:1 leverage on overnights

I've always wondered how options are priced on vix etfs, since their prices are fairly predictable ie. can only drop so fast, and tends to be in contango.

The proper term is conflation. The data is conflated meaning they don't send a message for every single change, sometimes multiple changes happening at two points in time are sent as the same message.

Yeah, I don't really understand the strategy either. What's the merit of being long and short the same product? Is it actually the same product or two similar products?

Would you guess news feeds are more applicable to futures or equities?

I'm not a futures trader so bear with me. Would you say your, and other hft market making strategies apply more towards products that trade like barcodes like the 30 year, as opposed to a more whippy product like crude oil. How often is the position you have on important to you? If you are...

How much, if any of your trading is single product/spreading? Are you mainly trading say the front month of a product in isolation? Or are you mainly spreading a product vs different expirations or different products all together?

What do you think about the SCTY lock up? I believe the float would end up doubling.

Is anyone still sending opening orders every morning? Or has Bright officially converted to pairs?

Probably the best thing to do especially since the outcome of these trades are often fairly binary

There are plenty of good traders at bucket shops who don't get paid a salary. If you're mainly concerned with software and rates, prop really doesn't have an advantage. In terms of leverage, it's not you that can be leveraged 6:1 it's the firm that's leveraged. So if the guy next to you never...

Why does FNMA trend in perfect straight lines. Don't really pay attention to OTC but I've never seen anything like that.

I believe you said you trade futures exclusively. Say you had to switch over to equities. Would that be a big deal for you or would you not have trouble transferring you edge/finding a new one

Is speed in the market making space more about sending orders quickly or more about cancelling quickly to limit adverse selection? So is low latency for you, more important when you remove liquidity or send orders to get good queue placement, or is it more of a cancelling game to avoid...

I'm sure there are hedgers overpaying, but look at it from the perspective of a market maker. So say it's just you and an MM. You're claiming vol is overpriced due to the risk averse and the hedgers. That means the MM can post over priced offers and get hit all day long selling at a premium but...

So why would MMs bid too high? Is it because they are net short volatility and bid it up to try and hedge?

True, a lot of people believe being way out of the money is an edge. I studied options for about a year or so and the one thing I learned was that I couldn't find an edge. There are even a couple guys at my firm who trade options that think vol collapse from earnings is an edge.

Odd lots show up on most depth of book feeds

Speed helps many strategies. I would guess your strategy would see no difference between 1ms and 200ms. It's all about trying to beat other guys looking at the same thing.