HFT Myths

Quote from RedDuke:

My algos can predict 1 tick moves pretty accurately without any increase in X on my part. Any advice on how to profit from it, since it is still a looser net of fees.

Thanks
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How much of the time can it predict a 1 tick move?

Could you possibly do this to get in prior to a tick up and then use it to exit when the bids look like they are about to fail?
 
Quote from stock777:

nothing personal, but all frontrunning strats aka hft need to be taxed.

hold for 1 minute or more or pay a huge tax.



period.

leeches.


i say 1 minute as i am willing to hold for that long.
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But why?

What if a swing trader decided all day traders were leeches and should be taxed for holding less than a day?

What's the difference?
 
Quote from DionysusToast:

But why?

What if a swing trader decided all day traders were leeches and should be taxed for holding less than a day?

What's the difference?
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none.

all traders are leeching frontrunners, as are all investors.

any other questions?
 
Quote from hft:



Commissions for common futures can be about $0.05 per contract (on top of the raw exchange fees that are listed publicly). I've seen as low as $0.03. Fees for equities can be really small, even free in some cases. Typically you're looking at all-in paying $0.003 per share for removing liquidity and receiving $0.002 for providing it, and the clearing side of that is only $0.0001, the rest are non-negotiable exchange fees that are listed publicly.
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Thank you very much hft for starting this thread and for sharing.

i have some questions please concerning the above comment of yours on commissions:

FUTURES

1. What futures brokers/FCMs would you say are most HFT friendly?

2. What futures brokers/FCMS are able/willing to offer the commissions you mention in the range of $0.002 - $0.003/share?

3. What volume levels in shares is required to get such commission levels ($0.03 - $0.05)?

4. For futures, do you write your strategies direct to the exchange: CME, EUREX, etc or do you execute through a DMA platform like CQG or TT or T4?

************************

EQUITIES

1. What equity brokers/prime brokers would you say are most HFT friendly?

2. What equity brokers/prime brokers are able/willing to offer the commissions you mention in the range of $0.03 - $0.05/contract?

3. What volume levels in contracts is required to get such commission levels ($0.03 - $0.05)?

4. Do you write your strategies direct to the exchanges: NYSE, NASDAQ or use a routing platform?


THANK YOU VERY MUCH for all your help!
 
Quote from DionysusToast:

How much of the time can it predict a 1 tick move?

Could you possibly do this to get in prior to a tick up and then use it to exit when the bids look like they are about to fail?
More...

Roughly 80% of a time. I am improving it, and would estimate that in near future it will be over 90%.

Yes, I can get in on a trade (tested it on real account). However, many times it ticks down (or up for shorts), and I close close the position loosing the spread and commission. So, the best outcome so far is BE, less commission.

As of now, I can not monetize this particular strategy. Plus, what makes the algos not as accurate as I would like them to be, is data feed. IB does not provide raw data.

I currently started to look into ES.
 
Quote from hft:

That's essentially the underlying problem to be handled when making markets, regardless of the market. It is what we spend our livelihoods trying to figure out. I can give you a super secret hint: Get FAST.
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okay thank you, that's pretty much what I expected...
 
Quote from CPTrader:

Thank you very much hft for starting this thread and for sharing.

i have some questions please concerning the above comment of yours on commissions:

FUTURES

1. What futures brokers/FCMs would you say are most HFT friendly?

2. What futures brokers/FCMS are able/willing to offer the commissions you mention in the range of $0.002 - $0.003/share?

3. What volume levels in shares is required to get such commission levels ($0.03 - $0.05)?

4. For futures, do you write your strategies direct to the exchange: CME, EUREX, etc or do you execute through a DMA platform like CQG or TT or T4?

************************

EQUITIES

1. What equity brokers/prime brokers would you say are most HFT friendly?

2. What equity brokers/prime brokers are able/willing to offer the commissions you mention in the range of $0.03 - $0.05/contract?

3. What volume levels in contracts is required to get such commission levels ($0.03 - $0.05)?

4. Do you write your strategies direct to the exchanges: NYSE, NASDAQ or use a routing platform?


THANK YOU VERY MUCH for all your help!
More...
Answers are the same for both types of trading (futures and equities).
1&2. Big banks. GS, JPM, ABN, etc.
3. About $1M in commissions generated yearly.
4. Direct everywhere.
 
Quote from hft:

Answers are the same for both types of trading (futures and equities).
1&2. Big banks. GS, JPM, ABN, etc.
3. About $1M in commissions generated yearly.
4. Direct everywhere.
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Can you please describe the required steps for direct.

I did all my trading via FCMs, through their TT, PATS, zen fire or IB APIs and platforms.

If you connect to CME servers directly, who and how clears the trades? How does CME know who you are, and who gives you logon/feed credentials?

Thanks a lot
 
Quote from hft:

Answers are the same for both types of trading (futures and equities).
1&2. Big banks. GS, JPM, ABN, etc.
3. About $1M in commissions generated yearly.
4. Direct everywhere.
More...

Thanks hft!

Concerning Q1 & 2 - for futures are there any non-banks i.e. futures brokerages you would put in the list e.g. NewEdge?


Would you consider Barclays Capital & Credit Suisse competitive on pricing and HFT friendly.

Many thanks!
 
Quote from CPTrader:

Thanks hft!

Concerning Q1 & 2 - for futures are there any non-banks i.e. futures brokerages you would put in the list e.g. NewEdge?


Would you consider Barclays Capital & Credit Suisse competitive on pricing and HFT friendly.

Many thanks!
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Yes, there are some non-banks that I just don't have experience with that would be competitive as well, I know NewEdge in particular is just as competitive as the banks, particularly overseas.

And yes, Barclays and CS are just as competitive as the rest.

The differences between the pricing among all the firms mentioned are pretty small - once you're scaled up it's more of a matter of who suits your style of trading better and what kind of relationship you've established with them and their quality of service in areas other than pricing (i.e. how fast do they answer your inquiries, how much headache do they create/eliminate for your back office operations).
 
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