Search results

I didn't ask. He told me so ... of course I am interested ...

RenTech vs. Getco/Jump Trading? Hi all, I met with a great FX high speed trading guy and he hinted that RenTech is very different than Getco/Jump trading in their unique trading styles... RenTech doesn't rely on speed per se... and they adopt a data-driven approach in a unique way...

RenTech: using artificial intelligence to morph one trading strategy into another Hi all, I met with a FX high speed trading guy (not necessarily super HFT) and he told me how they use artificial intelligence in trading ... and he hinted that RenTech is using AI in similar approaches...

i met with a HFT guy and he told me in FX HFT world, Sharpe of 40 to 60 is possible even with transaction costs. how could this be possible....and what might be the strategies? could anybody shed some lights?

Maybe short covering of bonds? I remember many people were shorting bonds...

Maybe short covering of bonds? I remember many people were shorting bonds...

Interesting... could you please post source here? Thanks!

Usually when stocks go up, bonds go down; But today both were up... anybody could explain this?

Are margins calculated daily (eod) or intraday? I mean, for HFT, which may need a large volume of shorts intraday, do margins also spike intraday?

What do you guys mean?

Hi all, In pairs trading we have 2 assets. lets say now we have 3 assets moving together... how to generalize the pairs trading and do triangle trading? Thanks vm!

Thanks vm! Ooops, I should have started a new thread because this is a completely different question... I will start a new thread...

So how does one qualify for "HFT Exempt Status"?

What are the costs of an HFT firm trading on NYSE? Do they pay clearing fees? Are they subjected to income tax and dividend tax?

in pairs trading we have 2 assets. lets say now we have 3 assets moving together... how to generalize the pairs trading and do triangle trading? thx

thanks vm to all but how to account for tax in dividend adjustment?

I called InteractiveBrokers and their cost + exchange stamp duty = around 0.3%=30bps (somewhere around that figure)... which I think will make HFT very hard to do in Hong Kong for HK stock exchange... Any thoughts?

For US stocks, may I assume a 0.1%=0.001=10bps cost in my backtest? The strategy is a daily one based on hitting the open and close. Lets say the stock price is $100 per share and I am trading $10000 shares. So I am trading $1M in dollar amount. May I use 10bps * $1M = $1000 as my...

Nice! Thank you! That's exactly what I did. In my backadjustment, I substract the dividend from all OHLC prices series prior to the ex-Div date and going backwards...

yeah, you said it... the thing is the backtest software doesn't handle dividend separately and knowingly, it only operates on the price series, therefore, I have to massage the price data before feeding into the backtest software(i.e. adjustments)