HFT strategies for FX - anyone ?
- Thread starter wintergasp
- Start date
Hello
I developed some scalping algos. Attached here you see demo forward equity record tracks made on tick timeframe EurUsd in MT4 environment/ECN broker.
When it comes to live the MT4 slippage impacts too much and it hardly looks possible to get to the break-even.
I have been always wondering how would they work in low slippage low latency environment.
If there is chance to try them on your hft set-up I would be grateful
I developed some scalping algos. Attached here you see demo forward equity record tracks made on tick timeframe EurUsd in MT4 environment/ECN broker.
When it comes to live the MT4 slippage impacts too much and it hardly looks possible to get to the break-even.
I have been always wondering how would they work in low slippage low latency environment.
If there is chance to try them on your hft set-up I would be grateful
Attachments
I never asked for the IP, did I ? Sorry if this wasn't clear.
I have one relationship with each of the venues mentioned above, I'm not using Baxter or MarketFactory. You could indeed do the same if you were ready to spend 15k$ a month on co-location and had 10m$ to open two PB accounts (or even 5m$ to open just one) - and enough volume to go through their minimum 15k£ a month in fees.
You'd also need to be able to pay all these fees for 6 months, as integrating each FIX apis for each venues won't be fast.
Then, assuming you only have a trading logic, you'd still need to come up with an execution logic to know whether to execute limit or market.
Whereas.... if you don't have the said capital, it would take you 10 minutes to send your signals through a kafka or rabbitMQ server and that's pretty much all you'd have to do to get profit sharing.
For Baxter to be competitive, you need 12 yards a month and still they have a minimum line fee of 0.20 usd so if you trade a clip of, say, 25k$, you wouldn't actually pay 5$ / Million but 8$ / Million.
1T a year, nice...
I think I am a fairly technical guy, maybe you can explain how I can safeguard my IP, trading on your setup with you having full access?
You don't need 15k per month to colocate. With Pepperstone and Baxter you can colocate in NY and LDN for a fraction of a cost you mentioned abd cross connect with some of their ECNs. That's at least the takeaway from my last chat with them. I trade 50mln usd notional a day and as mentioned pay 11 dollars per 1mln notional traded. Then anyone with a solid coding background and rudimentary knowledge of FIX can customize the hook to those particular mini PBs.
Just for the avoidance of doubt, if you offered access to your execution broker via message bus to a third party you are in direct violation of at least three different agreements. So, I am honestly curious how you offer access with profit split without the other person giving up their IP and at the same time sticking to your contractual agreements with your broker and their liquidity providers. Honestly interested in hearing your take on this.
You don't need 15k per month to colocate. With Pepperstone and Baxter you can colocate in NY and LDN for a fraction of a cost you mentioned abd cross connect with some of their ECNs. That's at least the takeaway from my last chat with them. I trade 50mln usd notional a day and as mentioned pay 11 dollars per 1mln notional traded. Then anyone with a solid coding background and rudimentary knowledge of FIX can customize the hook to those particular mini PBs.
Just for the avoidance of doubt, if you offered access to your execution broker via message bus to a third party you are in direct violation of at least three different agreements. So, I am honestly curious how you offer access with profit split without the other person giving up their IP and at the same time sticking to your contractual agreements with your broker and their liquidity providers. Honestly interested in hearing your take on this.
Server cost in NY4 is 2,000 $ per month per U, you need at least 2U per servers and you want at least 2 servers to have some sort of fail-over capacity, or a blue/green dev/prod environment. Then they force you to have a physical firewall and maintenance can only be done by a certified team. Each cross-connection costs about 600$ - 800$, that's, per venue.
So that's roughly 8,000$ p/m for servers + 8,000$ p/m for 10 cross-connect, or 16k$ a month, you double that if you want the same setup in London and you haven't paid any maintenance on that yet.
I don't see how you can cross-connect and co-locate with Baxter without either (a) giving them your IP on their server directly, as they won't agree to act as an investment manager (do they even offer such thing as VPS or allow you to host on their server?), or (b) paying the fees above. Maybe you'll save the cross-connect fee as you'll cross connect only to Baxter but when we spoke to them a few years back it wasn't the case, as these are charged by the venues themselves.
Once you're paying all of this, you still haven't talked about actual capital required to trade and take risk...
We are a UK based investment manager and can source our trading ideas from external research companies, you are effectively sending a trade idea and we decide whether we execute it or not. It's our money and our infrastructure with our risk management, we're not like... reselling a brokerage access. We haven't seen anything in the agreements that prevents us from doing so.
You are hugely inflating the numbers. If you truly pay that amount then you indeed are overstocked with technology relative to the small investment behind it and relatively small pnl generated off the back of all that technology. That's at least my opinion.
You can easily run your own server box and hence give zero IP to anyone and route your orders via the PB risk check to the liquidity pools. You are in contrast asking someone to gladly hand over their hard work and you can theoretically tell that person a week later to take a hike while you retain their code base. I am not saying this is your intent I am saying that this is possible.
Re legal framework, sure if you are basically taking ownership of the code and trade it on your servers on your capital on your risk then there is no issue EXCEPT you directly contradicting yourself from an earlier post where you stated that you don't take ownership of the IP. You clearly do.
You can easily run your own server box and hence give zero IP to anyone and route your orders via the PB risk check to the liquidity pools. You are in contrast asking someone to gladly hand over their hard work and you can theoretically tell that person a week later to take a hike while you retain their code base. I am not saying this is your intent I am saying that this is possible.
Re legal framework, sure if you are basically taking ownership of the code and trade it on your servers on your capital on your risk then there is no issue EXCEPT you directly contradicting yourself from an earlier post where you stated that you don't take ownership of the IP. You clearly do.
Dude stop saying bullshit. You keep your code on your server, you send signals through RabbitMQ, takes you 10 minutes to implement, you keep your code there.... jesus
We get your signals and then we relay the way we want to the counterparties.
Not sure what big deal you're making out of nothing, this is giving money and a low-latency infrastructure.
If you found cheaper prices for hosting, please send me the salesperson and the quote you received, I'll gladly give you 50% of what money you save us every month for a year. But... knowing that everyone is in Equinix which has a monopoly, I doubt that you'll just stumble upon < 2000$ p/m per U.
@traider It's not baxter dependent, nobody connects directly to the banks, you connect to a venue such as FXAll, etc. and they charge you to cross-connect, which is normal as it means extra hardware equipment for them.
And your proposed solution violates every agreement you have with your broker. For starters, is your broker and are the liquidity pools aware that you are passing on their pricing information to third parties? Because not one sorry signal comes out of a box without input data. By the way RabbitMQ kills a lot of the latency advantage you are selling so hard here, there are way better solutions out there.
Listen mate, I have zero interest in barking up the wrong tree here, but from what you described I would be extremely careful with some of the statements you made here.
Unless I read your initial post incorrectly you are asking for high quality strategy signals but are willing to return only 10-15% of the pnl? Wow, sounds like you are intending to turn the entire environment upside down. I get calls every week from head hunters whereas their clients look for guys who bring with them low latency strategies and trade them for close to 50% of the profits. I don't even understand where your proposition makes the slightest sense. Anyone with strategies that produce solid alpha knows that there is a whole industry of seeders that have money to place. Your additional offered value to provide the technology is certainly not worth 70 or 80% of the entire pnl such strategies produce.
Listen mate, I have zero interest in barking up the wrong tree here, but from what you described I would be extremely careful with some of the statements you made here.
Unless I read your initial post incorrectly you are asking for high quality strategy signals but are willing to return only 10-15% of the pnl? Wow, sounds like you are intending to turn the entire environment upside down. I get calls every week from head hunters whereas their clients look for guys who bring with them low latency strategies and trade them for close to 50% of the profits. I don't even understand where your proposition makes the slightest sense. Anyone with strategies that produce solid alpha knows that there is a whole industry of seeders that have money to place. Your additional offered value to provide the technology is certainly not worth 70 or 80% of the entire pnl such strategies produce.
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