Hi folks,
I am running an HFT strategy in FX and have an infrastructure that costed me quite a lot of money (and still costs a lot monthly). I'm making money net of all these expenses but am looking to potentially provide the structure and capital to other traders who need high-frequency (but not quite ultra-high-frequency, so anywhere between HFT and UHFT).
If you have a strategy that looks good but can't sustain the high execution cost that you get through a broker (IB, Saxo, whatever), maybe we can work together and split the profit...
Currently doing 95k$ a month in profit, potentially willing to take the same amount of risk on someone else's strategy and share 10%-15% of the performance (or 10-15k$ a month).
What I have:
- I have a very good setup to trade FX, I clear with both NewEdge/SocGen and JP Morgan and have direct connection to most venues in FIX 4.4. or 4.2 (EBS, Reuters, Currenex, HotSpot, FXAll, FastMatch, Integral, ParFX, LMAX and CME).
- I have servers in London and New York and am planing to add one in Tokyo, they are cross-connected to the venues directly.
- This is a setup for high frequency trading, I am currently doing 3 billion USD a month in transaction across these venues.
- I pay 5$ per million for clearing and have soft flow only with access to non-last-look order books.
What I'm looking for:
- Someone with an HFT or HFT-ish strategy on FX.
- Soft flow only, NO arbitrage strategies.
- I'm looking for someone with a good strategy but not the ability to trade it directly because of a low average trade profit (e.g. "We're making billions in theory but 0.2 pip of transaction cost kills the performance so we're not trading it.")
- Typically, whether you're executed now or in 150ms doesn't matter much... but whether you're executed market or limit and what slippage you have on market orders. If 100-150ms latency kills your strategy then you're probably doing toxic flow and we'd rather not get involved.
- We have the infrastructure, capital and execution logic (processing low latency limit order scenarios instead of dumb market orders) to make such strategy work.
- Typically 100 to 1000 trades a day.
If any of you have something like this, could you please PM me a short presentation of your strategy and pedigree, I'd be interested to know roughly what machine learning process you're using, how do you aggregate market data, what's your dependency to in-sample data, and whether the process is cross-validated and market dependent (if we send you proprietary in-sample data and then ask for fast responses of simulated trades on out-of-sample data, what tracking error do you expect?)
If you have any questions, shoot.
