Yes, but realistically you can't do HFT with anyone unless you have your own membership, otherwise, you will always be subject to the brokers at best high touch treatment, which will add at a minimum 10 MS via their risk checks. So in my view anyone that is building strategies to lift the micro sec discrepancies that may be present in the price, the relative or absolute cannot do it with a broker infra in between.
ABN AMRO as Prime Broker
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Yes, but realistically you can't do HFT with anyone unless you have your own membership, otherwise, you will always be subject to the brokers at best high touch treatment, which will add at a minimum 10 MS via their risk checks. So in my view anyone that is building strategies to lift the micro sec discrepancies that may be present in the price, the relative or absolute cannot do it with a broker infra in between.
Or sorry, maybe I should ask first if Low latency is the same as HFT in your post?
or HFT is merely related to the volume throughput?Will your SOR be using level1 data?
At a minimum, yes
. But the logic is scenario-based, and different scenarios will trigger other algos; if it's a hedge order in the underlying or execution of the derivatives contract. Market depth analysis will be performed based on the urgency of getting in or out of the trade, so depending on the scenario it will either sacrifice favorable price to the benefit of fast execution or the other way around. For market data, I will anyway not rely on the broker data and will source it from Tradition the broker infra will be for the last bit downstream i.e., execution only.
Right, I guess I'm wandering if you are going to be subscribing to level2 data and is it "low-latency enough" to make "good" decisions for your SOR?
For reasons that I can't / don't want to explain here in detail, my algos calculate the optimum price to execute the trades and volumes, so my SOR differ in the sense that not to seek the best execution but rather the optimum price generated by the algos based on my positions. I had to embark on building myself as the out-of-the-box SOR's were clunky to handle this and were all pretty much build from a sell-side perspective, with best price execution in mind. And the open platforms are just to expensive for my need, upwards of 10K euro per month and §I will anyway need to build the logic myself.
ABN is good. If you just want lowest commissions for high volume, with good options for 15(c)3-5 layer, there's also Wedbush, BofA and UBS, in no particular order.
IIRC 5M. If you're generating high turnover, capital requirements aren't so important. Capital requirements come more in play if e.g. you trade OTC, need to sign an ISDA etc.
Robert Morse
Sponsor
I've been reluctant to comment or correct anyone. I just want to make a general statement about the larger banks and what they do, avoiding any one name, from my knowledge and experience. PM Accounts under $5mm require calculating day trading usage. Larger banks do not want to have systems in place to monitor that and police that when they prefer larger accounts. So, these larger banks that have a Broker Dealer, just do not offer PMA under $5mm. The OCC does not require a clearing broker to monitor day trading margin with account over $5mm. They also look at the brokerage side more of a banking transaction. They prefer long/short low risk portfolios where they can loan you money for the long side and charge you to borrow short stock on the short side. They focus less on the transaction side of the business. That also gives them more reason to demand larger AUM and have a minimum amount of revenues to the firm monthly. There are very few US Brokers offering PMA. And, even fewer taking accounts under $5mm. Most of those are online brokers or clearing brokers like Wedbush that prefer to do business through a correspondent like Lightspeed. That way they can keep a lean staff and shed risk.