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Yes. In the end, every trading opportunity is a tradeoff between the expected risk-adjusted PnL and the labor involved. Which means that anything requiring more work (e.g. anything manual) would also require more dollars on the other side. E.g. I'd be ok having a fully automated strategy that...

It would surprise you, but in a professional setting (i.e. running a fund or portfolio at a fund) absolute PnL matters a lot. There is a lot of capacity constrained opportunities out there which is just not worth the effort unless they hit some sort of a PnL threshold.

Well, the first question is - why options instead of delta-1?

Which specific one, them setting the target rate or their QE initiative?

At my previous place of employment I did spend a few grand on a consultant to build a nice backtest browser UI that allowed smart comparison, graphical selection from iteration results, pretty reporting to pdf etc. Not a backtesting program per se, but it was a tool I used a lot across various...

It's a tricky question. Since there is no more "fair and orderly market" obligation, there is a legitimate concern (which materialized more than once) that liquidity is there when you don't really need it and not there when you really do. Also, because of the quote and book depth volatility, the...

In fairness, while spreads are tighter, the book depth is down and quote volatility is way up. Like everything else in the world, it's hard to say if HFT taking over market-making is a net positive or a negative.

I do not at the moment since I mainly trade index and ETF vol these days. A little while ago, however, I was on the sell side and had sizable single name risk, so I did route my deltas to dark pools all the time.

Apparently you did not believe that dark pools mainly exist so large players can trade stock with less price impact and said that I am clueless. So I asked the question and you refused to answer. I rest my case.

Of course all professional market participants live to take money from "the public", whoever that may be - retail traders, large pension funds etc. All of the song and dance about "we provide liquidity", "we offer risk transfer" is just bullshit. That's what short-term trading is all about, it's...

LOL, of course not. Dark liquidity is detrimental to price discovery and market transparency, that's why Europe is trying to get rid of it. However, dark pools do benefit (or used to benefit, as they are being gamed a lot now too, as I described) large traders/funds who need to execute large...

Really? What do you think is the role of dark pools in the market then? Why do you think players with large orders prefer (or used to prefer, for various reasons) them over lit venues?

No, I have not nor would I opine on their character. My comment was primarily about the author (Scott Patterson) who has nearly zero clue about the world he's describing. That makes this books about as useful for understanding the equity market microstructure as watching Top Gun for...

Yeah, out of all books written by clueless authors, this is is the most clueless (I read it on the plane way back in 2013 or something). Dark pools are specialized liquidity venues, offering larger players a way to minimize their impact. While HFTs do exploit the dark tape delay via various...

For low latency machine-readable news, DJ news and Reuters/Refinitiv are probably the best. Supposedly, there are slightly cheaper guys out there for macro news like Hawks (not sure I am spelling it right).

You do and they tell you their performance details to the 2nd decimal point? Right...

Problem is that most things with asymmetric leverage are structurally rich, be it options, lottery tickets or startup investments. On the other hand, the upside is unlimited. So it feels like one of those things that you nether want to own (cause they rarely payout) nor want to be short (cause...

Care to prove it? You know, start with the concept of risk neutral pricing and explain why it favors the seller? LOL, what? You said that you have a 100:1 leveraged position that has a 2% stop. Let's say you put that on in EURCHF, then SNB announces a change in peg like they did in 2015. The...

You really wanna do this here? Hmm, sure, lemme throw some stuff at you - this is just from a couple threads that I saw, I am sure there are more gems that I've missed. If you actually took the time to read what I am saying here, you'd see that I am not sympathetic to the hedge funds overall...

Well, from your perspective, it's should be an educational experience (e.g. you did not realize that most managers are invested heavily in their own funds). As for cheerleading, I am actually very negative on the future of hedge fund industry. There is no reason why 2.5 trillion dollars are...