Quote from StarDust9182:
Is every order type you use in your trading available to every market participant including those who MUST trade through intermediaries? If not, which order types do you use the most in your trading?
Well no one *must* trade through an intermediary. So if you *choose* to do so (by not opting paying for direct market access), you're at the whim of the types of orders they support. For instance, many brokers probably don't support Icebergs or Hidden orders. In fact, many HFT firms don't even spend the time to support these orders. Almost all orders most HFT's use are of Limit order, with time in forces of IOC, DAY, or GTC, which everyone should have access to at any major broker. The big exception is in equities, where HFT's can use ISO orders since they guarantee to comply with Reg NMS regulations when routing with our own custom algorithms. The cost-benefit of such a setup is unfeasible to do at home.
Quote from StarDust9182:
Would you object to a minimum resting time or a minimum trade state time (say 1 millisecond) for all trading activities?
As long as it applies to everyone it's not that big a deal. I don't think it will help anyone though. Just make your eyes hurt less when looking at a screen, which is a waste of time anyway if you're trying to pick out anything that flashes that often.
Quote from StarDust9182:What is your own theory behind stories that report comments like ".... And summarizing it all: since the start of the New Normal 2009, Bank of America has had 962 profitable trading days, with just 97 days with trading losses: a 90.8% win record...."?
Is that a fair market, a bogus story or something else?
Can you equal that return?
I know it's true and think it's fair, on the HFT side at least. BOA and HFT are apples and oranges though. BB's have a lot of edge from information access and customer order flow, among other things. I'm sure there's unfairness there, but I can't comment since I'm not familiar with the space. Libor fixing for example though, is one example of illegal activity.
HFT firms are getting a return on investment on the capital that we invest in personnel and technology to build our business. When we make markets, there's also an intrinsic service we're providing, not unlike other brick and mortar middle men, or ticketmaster or a casino.
HFT is also different from BB's in that any Joe Schmoe with just a decent bankroll can connect directly to a market and be on potentially equal footing with us. Then it's up to you to develop the algos and software that we use to make markets efficiently. Becoming a BB, however, is a completely different story.
As far as returns, consider my numbers more closely, and keep in mind that any HFT's reported numbers encompass an entire plethora of trading strategies, not just one. If each strategy makes X per day, and the standard deviation on the return is 0.2X, and say the firm has 1000 of these independent non-correlated strategies (not true, but to an extent there is high independence between sets of strategies), what is the likelihood of a down day? In my 7 years of trading I can count the number of losing days for the firm on one hand, and most if not all were due to technical issues (positive sign instead of negative in code, or shifted decimal point).
