high frequency traders...

[ASusilovic]

Quote from rufus_4000:

Two comments. One, I disagree HFT is only practicable for IB desks and "hedge funds", sure it takes a certain lvl of capital investment (as you say, "Fire power") and fixed cost platform building to play in the HFT game, but it is not all that high, really. We are not talking about 100M or more, there are quite a few firms who are quite successful in HFT with 1-10M of capital. Let's face it, if you are doing 1000s of trades a day, the amt of capital you can allocate to each trade can not be gigantic by definition.

As a tangent, I do believe the media is overblowing how profitable HFT can be, and it is not just a matter of "us" (for disclosure, I run a HFT outfit) not wanting other ppl to crowd our space, it is just that the amount of capital we can deploy is really very limited. Which, of cos, makes what misha did all that more impressive. So since the capital is limited *and* the startup fixed cost is not all that high, I truly believe HFT is something that smaller firms can compete in (I certainly believe so! since this is exactly what I do on a daily basis). And frankly, what my firm is doing, is not all that "special", I have joked that our "secret sauce" can fit on a single page recipe card, and still have room left over for the baked brownie recipe. It is just how the HFT systems "model" the market, that's all.

I am going to use an overused example here, RenTech Medallion, which, by some estimates, is only about 6-7B in size. Why won't he open up Medallion to other investors, and charge a SAC like 4/50 fee? It is because the strategies have size limitations. And from RenTech launching the RIEF and RIFF, it is not that Simons thinks "he made enough", he is definitely greedy and wants more.

Second comment I will reply to nitro's comment.

...We are not talking about 100M or more, there are quite a few firms who are quite successful in HFT with 1-10M of capital. Let's face it, if you are doing 1000s of trades a day, the amt of capital you can allocate to each trade can not be gigantic by definition...

According to some reliable sources one of the largest intraday liquidity providers in ES market is one SINGLE PERSON WORTH 30 million USD scalping 50.000 r/t per day...

...As a tangent, I do believe the media is overblowing how profitable HFT can be, and it is not just a matter of "us" (for disclosure, I run a HFT outfit) not wanting other ppl to crowd our space, it is just that the amount of capital we can deploy is really very limited....

You should ask the CEO of a certain HFT boutique from the Netherlands HOW profitable their "outfit" IS...

 

[rufus_4000]

Quote from ASusilovic:


According to some reliable sources one of the largest intraday liquidity providers in ES market is one SINGLE PERSON WORTH 30 million USD scalping 50.000 r/t per day...

...As a tangent, I do believe the media is overblowing how profitable HFT can be, and it is not just a matter of "us" (for disclosure, I run a HFT outfit) not wanting other ppl to crowd our space, it is just that the amount of capital we can deploy is really very limited....

You should ask the CEO of a certain HFT boutique from the Netherlands HOW profitable their "outfit" IS...

Ok, apologies in advance I am going to sound arrogant here, but bear with me.

50,000 r/t ES is not that much. At 1.5-2M daily volume, that's only 2.5-3.5%, that's kinda of low for a high frequency trading system. I personally know of systems that do 10-20% of some products daily volume. I will refrain from commenting on which product, which firm, etc. Heck, a NYSE specialist will get fined for doing < 5% volume for i believe 1 week rolling.

How about this? I know of more than a few HFT systems that have turned maybe 5M into 40-50M over 2-3 yrs, a pretty decent return, right? and I have heard of (but not 1st hand knowldge) of systems that turns 10-20M into a few hundred million. But at the end of day, this is still peanuts when you think in context of say traditional fundamental investing, as a whole. And add on top of that the strategy size restraints, HFT is not that big of a business that generates a significant % of the overall industry profits, sure it stands out in a year like 2008. So ppl are talking about HFT like it is "free alpha" (and I have heard of that phrase more than a few times alrdy), it doesn't work this way, there is no free lunch. You can't throw $1B capital to a $10-20M HFT strategy (that made say 100M), and expect $5-10B in return.

Anyway, just my $0.02. I just think there are a lot of confusion and misinformation out there about HFT, that's all. I see HFT as a bubble, hell, on one hand it is good for HFT firms like mine, because we are getting waaay more attention than we did before (and hence prestige and valuation), but it is also dangerous, that the HFT industry as a whole can not generate "free profits". It is like firms crowd into the convertible gravy train in early 2000s, thinking it is a free lunch, only to have the business basically sucked dry in a few yrs.

 

[junetrader]

Hi,

Here are my results for 1 lot on my grey box strategy. I'm looking for a deal to black box it and run it. I also have other grey/black.

I'm looking for a firm that can code it up and provide risk capital. I would like to form a long term relationship as I have many more strategies. if this one works well, there are more to come.

My goal is to run a black box/grey box office.

If there are any firms interested, please get back to me.

Leif