HFT Orders Getting filled against market
- Thread starter max_w
- Start date
When it comes to bank fx market making, I am certainly a few notches above you. You couldn't even tell they were there. You thought you were dealing with some ECN BS who were neutral to your money. By the way, ECN stands for Electronic Communications Networks. It's just another way to say the bank is on the other end of you internet connection. See ? Using ECN is no safer for your money. So long as the bank takes the other side of your bet, you are a*se f***ed.
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Do you mean HotSpot (I'm interesting trade via this ECN) rejects market and limit orders often?
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I heared about possible 25-50% reject. Is it true? I'll go live soon and check myself. But this reject % and 200 ms delay for order reject do trading impossible.
Got reply from the HotSpot: "We keep acceptance rates above 80% on our platform and most price takers experience much higher levels of acceptance (>95%). We cannot be sure what you will experience on our platform until you begin trading. Your experience all depends upon how the market makers are able to deal with your trading style" and it's possible ask about data feed without LL market makers. Let's see.
I do not execute via Hotspot for that exact reason. It basically means if you make money most liquidity providers will tag you and just reject your offers. I can attest from own experience that this even happens at tier 1 investment banks. "Too" profitable clients are phone up and the deal has to be "re-negotiated". A few times there is a valid reason in doing so, for example in equity markets if it becomes apparent that a client is trading on insider information and the streak looks just too good to be true. But in all other cases I consider such legal but unethical.
For those of you who disagreed with Experiencedjoe and Butterfly about how banks own and manipulate the book perhaps you should read this.
http://www.bloomberg.com/news/articles/2015-05-20/anatomy-of-an-fx-manipulation
http://www.bloomberg.com/news/articles/2015-05-20/anatomy-of-an-fx-manipulation
8 microseconds, as measured from where to where, from what to what? Is this aggregating Top of Book, or a Depth of book. How many symbols. I challenge you to do a full book on several ECNs at 8us without ASICs on say 20 symbols.
I am at 50 microseconds from marketdata in the NIC, to order placed back on the NIC [so it goes through trading logic, risk management etc] with tolerable jitter. And that is using state of the art C++, [03, 11 and 14] in a functional style minimizing OO and aggregating dozens of banks, ecns, etc with every trick in the book I know about software development, data structures, operating systems and networking. I wrote all of it myself so I understand it all. I can probably double that and get down to 25 microseconds with some more tricks.
Still, I suspect that is probably about 10x to 20x too slow for pure [stat] arbitrage.
I am at 50 microseconds from marketdata in the NIC, to order placed back on the NIC [so it goes through trading logic, risk management etc] with tolerable jitter. And that is using state of the art C++, [03, 11 and 14] in a functional style minimizing OO and aggregating dozens of banks, ecns, etc with every trick in the book I know about software development, data structures, operating systems and networking. I wrote all of it myself so I understand it all. I can probably double that and get down to 25 microseconds with some more tricks.
Still, I suspect that is probably about 10x to 20x too slow for pure [stat] arbitrage.
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