Education For HFT

[clearinghouse]

Quote from Bob111:

pick any low volume,low price stock. like 2-5$, 30-50K avg. vol. something really slow. it should work on such stocks. nyse or nasdaq. note that in order to see that you have to place an actual order to buy or sell. i doubt that it was implemented on some particular stock, most likely it's everywhere. or contact to rosy2.

How much money can you really make with expensive HFT hardware and colocation costs if you are trading stocks that only have 30-50k average daily volume? If you average .0050 per share profit and you were 20% of the volume on a 30k stock, you're looking at 30000 * .20 * .0050 = $30? Say, say 5 cents .. $300? Maybe do 100 stocks? I guess it's an interesting niche. I mean I know you're an IB customer, so IB is gutting you 1.30 per side on 100 shares, so you have to be looking for wide, wide spreads.

You obviously aren't crossing the spread either, so you must be doing spread extraction on illiquid names. If those so-called robots are doing these weird patterns, maybe they are just probing for hidden liquidity.

 

[RewriteQuran]

HFT is not possible unless you've membership in the stock exchange

 

[Rationalize]

Quote from clearinghouse:

My only (mild) gripe is with broker dealer internalization, especially on retail accounts.

Quote from bears21:

i love it when i am nbbo on the offer nobody else around and miraculously a print goes off at the offer but instead of my offer of 24.56 i see the 900 shares at 25.5598 lol now that sux. especially on low volume stocks with a big spread. now if you do get filled on display guess what its going against you. i have no problem with hft at all but i think everyone should have the same routing capability.

ps how about i am bid at 20.21 for 500 showing 100 reserve size arca all of a sudden print goes off at 20.12 for 1200 shares i get filled on 6 shares. trade through rule lol. this has to become an across all markets rule. any nbbo either through dark routes, adf, etc the inside quote has to be protected and its not.

+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?

 

[Rationalize]

Quote from drailing33:

What is a good major for a career in AlgoTrading?

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 crowded -- massive supply of eager skill sellers, such that it has become a bit funny / tragic. HFT firms scooping up the top 1% of grads for next to nothing. "The dumbest smart ppl"..

* Also: There is no path from tech to trading.

 

[rmorse]

Quote from RewriteQuran:

HFT is not possible unless you've membership in the stock exchange

Any automated system connected to an API is HFT. Low latency trading requires being next to the data feed and works much better when co-located next to the exchange you want to route orders to. However, you don't have to be a member. You can direct connect if you need to through a member.

 

[Rationalize]

Quote from rmorse:

Any automated system connected to an API is HFT. Low latency trading requires being next to the data feed and works much better when co-located next to the exchange you want to route orders to. However, you don't have to be a member. You can direct connect if you need to through a member.

Direct connect through their [potentially slow] filtering, no?

It's still second tier latency .. often with top tier costs.

 

[jb514]

Quote from marketsurfer:

Be cautious.

Regulations may quickly completely change the HFT playing field--making it obsolete.

Just a heads up prior to embarking on schooling with a HFT goal.

We'll probably have to go back to entering trades by phone. Hopefully the days of mailing orders are not coming back too.

 

[tapangasunz]

Good read from the bank of canada on the potential risks regulators are looking at (starts on page 47):

http://www.bankofcanada.ca/wp-content/uploads/2011/06/fsr_0611.pdf

 

[tapangasunz]

Good read on the potential risks regulators are look at from the Bank of Canada (page 47)

http://www.bankofcanada.ca/wp-content/uploads/2011/06/fsr_0611.pdf

 

[rosy2]

Quote from Rationalize:


The CompSci route is over crowded -- massive supply of eager skill sellers, such that it has become a bit funny / tragic. HFT firms scooping up the top 1% of grads for next to nothing. "The dumbest smart ppl"..

* Also: There is no path from tech to trading.

i dont see this. where are you located?