HFT Myths
- Thread starter hft
- Start date
pardon my late start... are you saying that one can get direct access to CME with just 200K account? DOH!
By the way could you please tell how much is to get CME credentials?
Data is cheap.
This is a model of 200K being used for a year where just 200K is used to make profits and profits are swept.
Apparently a profit of 10million per year is a goal.
240 days in the year and roughly 50 weeks.
This is a weekly target of 2K per contract by using 2k margin and 100 contracts.
why bother with HFT even if weekly sweeps of all profits has to be done??
Is HFT this ineffecient???
HFT,
Can you give a bit more detailed explanation on how a hft market making (MM) algo works on a single instrument (if that possible) / single market? Is there anything like that or always calculating the real prices from another place, or using other info and trading that data at the place you're connected? (ex ref: your ES:CME example: Do you calculate ES by yourself (math model, Bayesian, is anything like that really working)? or using equity mkt data to calculate it based on all stock contained? or calculating based on data at cme alone (unlikely)?
p.s if you can show links with mm mathematical models algos that have a chance in todays markets, would be greatly appreciated
regards
Can you give a bit more detailed explanation on how a hft market making (MM) algo works on a single instrument (if that possible) / single market? Is there anything like that or always calculating the real prices from another place, or using other info and trading that data at the place you're connected? (ex ref: your ES:CME example: Do you calculate ES by yourself (math model, Bayesian, is anything like that really working)? or using equity mkt data to calculate it based on all stock contained? or calculating based on data at cme alone (unlikely)?
p.s if you can show links with mm mathematical models algos that have a chance in todays markets, would be greatly appreciated
regards
I don't personally know anyone that really makes money (consistently) doing MFT at home so this is pure conjecture from me. I'd consider starting at a basic EMA crossover type strategy, perhaps trying to incorporate 3 products that I feel are driving market direction at the moment (like a combo of say ES, ZN, and CL) and looking for a lead-lag between them. As I write that though, I realize how unqualified I am to even suggest it.
1) No.
2) Possibly, if 'placing' means hitting CME's matching engine, then no. There's a lot that happens between the time you send your order and it gets to the matching engine though. I can send 2 orders back-to-back (within microseconds) and have them hit the engine in reverse order.
3) HFT orders can sit for as short as never (IOC's) to days/weeks/months for GTC's placed far away from the inside market.
I'm not sure of the exact cost depending on tiers of membership. If you're just looking for direct colocated access though (as opposed to the rock-bottom fees of a full member), I'm almost positive there are brokers that will let you connect with that amount of money. Advantage Futures is popular in Chicago, and I've heard their risk check systems are not in your hotpath to the exchange.pardon my late start... are you saying that one can get direct access to CME with just 200K account? DOH!
By the way could you please tell how much is to get CME credentials?
Simple example:HFT,
Can you give a bit more detailed explanation on how a hft market making (MM) algo works on a single instrument (if that possible) / single market? Is there anything like that or always calculating the real prices from another place, or using other info and trading that data at the place you're connected? (ex ref: your ES:CME example: Do you calculate ES by yourself (math model, Bayesian, is anything like that really working)? or using equity mkt data to calculate it based on all stock contained? or calculating based on data at cme alone (unlikely)?
p.s if you can show links with mm mathematical models algos that have a chance in todays markets, would be greatly appreciated
regards
EdgeRequired = 0.1 ticks
MktImbalance = BidSize/(BidSize+AskSize)
TheoPrice = BidPrice + MktImbalance * (BidPrice + AskPrice)/2
MyBid = TheoPrice - EdgeRequired, rounded down to nearest tick
MyAsk = TheoPrice + Edge Required, rounded up to nearest tick
In practice, theoPrice contains signals from both the traded market (trades occurring in the market, etc) and other markets (SPY, etc).
This is an example of a signal based on trades:
http://en.wikipedia.org/wiki/VPIN
Thank you..
You mentioned earlier that to have direct access you need to convince a clearing firm to let you do that and then get CME credentials for your connection (lease a seat?)..
What you just have described seems like a different way - are saying now that alternatively I can find a broker who has 'non-invasive' margining engine which wont delay my orders and with 200K in hand I can convince him to let me go straight to the FIX without doing actual 'direct access' and leasing a seat.
I know this kind of questions doesnt have much of PR value but if you would have time could you please just outline in very few words - how one can execute without margining delays..
What does sweeping profit mean?