HFT Myths
- Thread starter hft
- Start date
why do you care? You don't know how to print a HelloWorld message on the screen anyway.
Bid slightly better than best bid and offer slightly better than best offer. It really is that simple. The more complex part comes to decide when and by how much you widen/tighten, how you move your market in response to exogenous events and when you withdraw completely.
Thanks for the info in this thread i realize now i should have switched to futures long time ago and forget about the fx den of thieves or at least mix the things a bit.
I do trade fx profitable with my own "hft" setups but i find it harder and harder to be a liq taker and do this profitable at the same time. I get kicked from all places i go, 99% of the mm are lastlookers and they all complain if they loose. Probably you complain also when someone like me hits your price and the market ran against you shortly after. The result: a phone call from the PB, connection closed or spreads increased.
I did that thing also creating liq in place A and closing at endpoint B, result: complaints at B. Any advises for a future extinct dinosaur like me? How do you do it when you hit their liq before a jump/drop don't they call you right after to inform you're out? nobody likes to loose...
On another stream of thoughts, you know this for sure but Hotspot, Currenex, Reuters (not sure about EBS though) they do report all to the banks that create most of their liq (probably to you too if you're a serious mm there) and you're not anonymous at all towards them. There is no such thing like transparent trading and complete anonymity as they advertise on their websites. I had lots of cases when a bank (can give names in private if anyone interested) hits my resting order in the middle of the orderbook 5-6 pips over the first level, to see if i close the position against them at another place (seeding or how is this called?). And then calling me to inform that i'm kicked. So my question is what is the cost to be really anonymous?
Thank you very much again, your experience is impressive and you're lucky for not being alone against these thieves (the banks).
Cheers and goodluck!
I do trade fx profitable with my own "hft" setups but i find it harder and harder to be a liq taker and do this profitable at the same time. I get kicked from all places i go, 99% of the mm are lastlookers and they all complain if they loose. Probably you complain also when someone like me hits your price and the market ran against you shortly after. The result: a phone call from the PB, connection closed or spreads increased.
I did that thing also creating liq in place A and closing at endpoint B, result: complaints at B. Any advises for a future extinct dinosaur like me? How do you do it when you hit their liq before a jump/drop don't they call you right after to inform you're out? nobody likes to loose...
On another stream of thoughts, you know this for sure but Hotspot, Currenex, Reuters (not sure about EBS though) they do report all to the banks that create most of their liq (probably to you too if you're a serious mm there) and you're not anonymous at all towards them. There is no such thing like transparent trading and complete anonymity as they advertise on their websites. I had lots of cases when a bank (can give names in private if anyone interested) hits my resting order in the middle of the orderbook 5-6 pips over the first level, to see if i close the position against them at another place (seeding or how is this called?). And then calling me to inform that i'm kicked. So my question is what is the cost to be really anonymous?
Thank you very much again, your experience is impressive and you're lucky for not being alone against these thieves (the banks).
Cheers and goodluck!
What is the breakdown of HFT algos achieving gross on a trade or simply rebates?
Pardon my ignorance, but when I had access to multiple ECN's there were some who offered a rebate for removing liquidity... Do these still exist and/or do HFT's often take advantage of them?
And how does HFT dink around with the open/close auctions? Any hints?
Pardon my ignorance, but when I had access to multiple ECN's there were some who offered a rebate for removing liquidity... Do these still exist and/or do HFT's often take advantage of them?
And how does HFT dink around with the open/close auctions? Any hints?
Hardware is really dependent on your app, is it heavily threaded or does it do heavy number crunching, etc. Because intel makes custom cpu configurations where they over-clock the cpu at the expense of disabling cores and can also inversely provide more cores at the cost of clock speed. Tuning is more important, turn off hyper threading, avoid context switching when possible, setup cpu and interrupt isolation, cpu affinity, and know which socket is closest to the pci bus, etc.
Customized linux, there are some specialty distros that can turn out better numbers but for stability and no surprises go with redhat mrg real time kernel or centos on the cheap.
FPGA cards for market data and order sending can cut your end to end market access overhead to 1-3us wire to wire. If you can't afford that a good start is to get a solarflare card with onload to kernel bypass your multicast/tcp traffic. Also use a low latency (200-600ns) cut thru switch from arista, juniper, or cisco collocated at one/all of the exchanges or centrally at ny4. Throw in 10G circuits to all venues, and microwave when you can afford it.
Segregating your flow also helps with serialization.
Hope this helps.
A direct answer, is to be one of the thieves ( the banks).
However,
am looking also for another answer
Because hft proposed this simple setup as an example of hft arb. You can create on both A and B but if you get filled on A this doesn't guarantee you will be on B, even if you move your quote on lvl1 of their orderbook. The market might just run in one direction and you remain unhedged, you need to close your position fast. I don't believe there is any mm out there that runs the so called "uninformed market making algos".