HFT Myths

[nitro]

Have you actually tried anything of what you are quoting?

People throw this stuff around without any idea how complicated any of it is. The hardware is the easy part, and even that requires a full time Network Administrator and a full time Systems administrator.

One, day, one day, I am going to write a book.

Quote from baglunch:

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.

 

[baglunch]

Yes, I do this kind of stuff every day, it's my job.

Is there something that I said that is untrue or out of date? As far as I know it is relatively true. i am somewhat vague just because if we were to go into every aspect like numa or non blocking sockets or cache management we might as well write a book.

 

[stock777]

zmax, who are you kidding 2 posts and already a discredited dweeb.

trade at IBKR, they won't be kicking you anywhere.

clowns

 

[zmax]

Quote from stock777:

zmax, who are you kidding 2 posts and already a discredited dweeb.

trade at IBKR, they won't be kicking you anywhere.

clowns

I don't have time to lose on forums that's why 2 posts. If you don't believe what i say that's your prob, but i'm pretty sure others here had probably pretty similar experiences in the FX environment.
IBKR is a shit broker for this, fills over 100ms are way too much, the topic of the discussion is hft...

 

[stock777]

100ms is too much you're right. What you need is a fill yesterday.

get a life

 

[hft]

Quote from murphmack:

What is the breakdown of HFT algos achieving gross on a trade or simply rebates?

Generally speaking, liquidity providers gross negative and make on rebates. Liquidity removers gross positive.

Quote from murphmack:
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?[/B]

Sure they exist and HFT's use them, EDGA for instance

Quote from murphmack:
And how does HFT dink around with the open/close auctions? Any hints? [/B]

I've never personally 'dinked around' with it, if that means trying to alter the opening/closing print. Not that I'm truly against it, but just something I've never pursued. I've never seen it personally done, but am sure others are doing it in some manner.

 

[jb514]

Is SPY ES arb kind of a winner take all trade? Or is there an amount of profit sharing since the liquidity at different endpoints are often from algos watching the same signals? Also what do you think pnl looks like? I'm guessing it's probably similar to your previous example with majority of large trades scratch

What do you think about arbing ETFs as in trading two different arca listed ETFs. Do you think it's possible to be competitive from one co-lo or do you have to be at multiple exchanges?

 

[hft]

Quote from zmax:

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 disagree on a few points. I don't think Reuters and EBS report specifics about counterparties to banks. I agree that CRNX and HSPX do. Keep in mind that 'banks' might be providing liquidity technically, but it's not necessarily (and even unlikely) that the bank is sourcing the liquidity. For instance, when I submit orders it shows up on the tape as my prime broker (say Goldman), but I'm behind the liquidity. So if I get Goldman to tell me what their counterparty makeup is, I still really don't know who was behind the orders that I'm making/losing money on. Yes, you can see some patterns, but it's pretty hard to break it down in great detail to exploit them. Again, this is EBS and Reuters specific only.

I would think that if you trade through a big broker on the majors (EBS + Reuters) that you'd be able to get by unless you're REALLY raking it in, and you'd only get called out if you're taking out mispriced orders way off the book (topic of another discussion, yes it's unfair but it only happens every so often). Else, just use CME FX futures instead if you don't need decipip pricing. No way you get kicked there unless you blow messaging limits.

Quote from zmax:
"hits my resting order in the middle of the orderbook 5-6 pips"

Either you're talking about decipips, or you're dealing with the less liquid pairs, which I'm really not familiar with so maybe my thoughts are irrelevant. I've only traded the majors (G7 vs. USD).

 

[hft]

Quote from jb514:

Is SPY ES arb kind of a winner take all trade? Or is there an amount of profit sharing since the liquidity at different endpoints are often from algos watching the same signals? Also what do you think pnl looks like? I'm guessing it's probably similar to your previous example with majority of large trades scratch

What do you think about arbing ETFs as in trading two different arca listed ETFs. Do you think it's possible to be competitive from one co-lo or do you have to be at multiple exchanges?

I've never always been the kingpin at ES-SPY (might have been at times ), so I can assure you that there's some money to be split up amongst the rest of the group. It's impossible to narrow down the PNL from that one particular strategy since you're also often scalping interchangeably with spreading and also spreading to other products loosely in a portfolio.

I think arbing any US equity requires colocation and all lit exchanges at the very least, and also good dark pool access to make consistent money.

 

[jb514]

Where where you trading equities from when arbing ES v SPY? Were you at all equity endpoints or does the latency from Chicago negate that need?