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Ok. Thanks for clarifying. I can see now how you can achieve such performance then. Cheers.

Dunno much about cash FX - I assume that you only maintain best bids/ offers and not when they go out of scope in your book? Say a new bid is inserted and you have a resting order on what would be level 2 now on the bid, do you still maintain that level in your book?

Out of curiousity, are you saying that you can push 5 mil ticks per second through a full backtest? Say 6A for instances with five depth levels maintained per side and probably about 1.1 mil diff messages per day (just looking into a random file I've got from last year), ie fair a bit of...

This can be a tough one from personal experience. It really depends a lot on the persons' backgrounds you are talking to. Knowing their backgrounds and potentially their limitations is key. For instances, some years ago I had a boss who was an old-school TA type trader. If you didn't put...

Agreed that they are fully aware as to who placed the order - they have all the data. However this doesn't tell them as to whether or not the trader is a HF trader. They simply classify traders into groups on the basis of their inventory half-life and inventory size. Also, given that they run...

Well, I think the answer to that is quite obvious isn't it? Whilst anyone can come on a public board and claim anything, I have no reason to doubt OP's genuinity. OP may be working at a HFT fund, but out of political, operational, entrepreneurial,... motives he does not/ cannot launch his...

Out of curiosity, what sort of data are you using and where is the data from? What's the time period you're considering (like very recent)? Do you have production results and how well do these track your sims? Since you mention HFT, I assume you'd be quoting/ cancelling at the best most of the...

@OP: sounds like we have similar acquaintances. Though not by choice in my case.

I'd be curious to know as well as to why you disagree with optimization? If you are a technical trader, I dont see a difference between handpicking your parameters and timeframes versus optimizing them. Yes, curvefitting is a problem - in particular if your degrees of freedom are very large...