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Direct connect through their [potentially slow] filtering, no? It's still second tier latency .. often with top tier costs.

"trade with money you can lose right?" I think this might not be the attitude your investors are looking for. Also .. you mention positive returns but no taxes paid. And not having 20K.. Maybe I'm missing something, but should an investor not be afraid? Doesn't exactly sell it.

You're 23. You have time on your side. No need to rush. Trade on a simulator while you work on, and in a regular job. Build a career. Ideally finance related. As time passes, and *if* you are still profitable on the simulator, you'll eventually have sufficient funds to trade on your own.

If you want to be worked like a dog, for small pay, then CompSci. If you just want to monitor stuff, and adjust a couple of parameters, for large pay, then Economics / Finance. Also helps to know some ppl & be a good talker. Ability to sell crap to morons etc. The CompSci route is over...

+1 Internalization has created a 2-tier market .. the same liquidity is just not available to all. When was the last time a resting retail order got crossed at mid?

You're asking the right questions.. Time to visit wilmott.com.

I'd assume that this becomes: Market Makers - EXEMPT. Other Exchange Members [incl the rest of HFT] - EXEMPT. Automated traders through brokers - YOU PAY. Brokers in general - HIGHER COMMS Paradise for existing HFT. Totally ruins up and coming HFT.

If the edge of your strategy is approaching single tick territory, I think you'd agree that it becomes *all* about placement for an expected fill. Mostly with them coming to you. Of course, at this point backtesting becomes a bit of a bitch.. Really got to rebuild the orderbook yourself...

None of this means you will be *filled* at the prices the data indicates. Assume you'll have the honour of paying the spread .. one way or another .. then maybe another tick to boot. Algo developers in co-lo have an easy life by comparison.

Months .. then transaction costs may not be an issue.. but carry will be .. plus or minus. Months .. hey Martinghoul -- what do you do between trades? Other than posting on message boards :p Months .. along the same lines, "general" color on exit criteria could be interesting. I assume...

I think market makers [most HF] in HK get a reasonable rebate / concession. Also, remember that it's all about relative costs not absolute. Everyone quotes wider. .. As for retail punts in HK – yeah, expensive. But that doesn’t stop them .. In a country where gambling is...

Oh well .. back to trading off spreadsheets boys. Hope you all remember how to press shift-F9. Oh, and to the army of HF tech-dorks we employ .. your services are no longer required.

Agreed.

* I have coded against IB, as well as directly to an exchange or two. Currently, HFT is not so much about data latency as network latency. Location is about physical network length & # devices. That's how perverse it has become.. Any retail trader who thinks they can compete by running...

:) Great conclusion! No free money, just a different risk profile.

Right .. ok, I don't want to be a dick .. but this nets to nothing, no? You are long. You get paid the div, and the stock drops by the div amount. Net nothing. You are short. You pay the div, and the stock drops by the div amount. Net nothing. Sheesh...

shorts pay it.

Which part of "just buy calls" would not work for you? Or .. buy some of the underlying now, and some later?

1. I think the relationship should be strong enough such that you can ignore the dividend adjustment in backtest. 1a. If not, then I suppose then answer is something like building a curve and valuing the non-paid dividend at each time interval. Something like that. See point 1. It is easier...

I have seen the opposite of this. The edge being in receiving the spread & the obligation being only for a percentage of the day. Also, the massive trading fee discounts MMs get make it worth while. Have never seen a profitable HF strategy paying a CFD spread. And, trading on a market...