Homemade HFT - how close can a retail trader get?

W

WiktorK

Hello there,

I've been reading this forum for some time now, yet this is my first post. I'm an algo trader with rather poor experience. Somehow I've managed to make a few profitable systems and now I'm trying to run them as close to HFT as possible. They work on every liquid market and achieve better results on lower time frames (bellow 1 minute).

Thought I would ask for some advices how to achieve higher frequency (for now an avg trade lasts 43 secs). I ofc know that HFT means measuring trades in nanosecs, but I want to get as close to it as possible. Here is what Im using so far:

- self-made FIX engine (build in python)
- LD4 colocated server with fiber conection to order matching engines
- Im using an STP/ECN broker witch gives me access to a liquidity pools composed from 17 big banks and hedge funds
-Im trading only EURUSD and XAUUSD futures, execution times are around 30/40 milisecs

What stops me from trading more frequent are spreads, commissions and executions times, so If anyone has any advice what and how to trade to avoid (minimalise) these it would be appreciated a lot

Basically I'm looking for the most liquid instruments with the lowest possible spreads and commissions. How to get access to them and how to lower my execution times?

Any other feedback from anyone experienced in this area would be more than appreciated!

(just please don't write that HFT is measured is nanoseconds and restricted for big players - I know. I just want to get as close to it as possible)

Cheers!
 
WiktorK said:
Thought I would ask for some advices how to achieve higher frequency (for now an avg trade lasts 43 secs). I ofc know that HFT means measuring trades in nanosecs, but I want to get as close to it as possible. Here is what Im using so far:
More...
what part of the trade are you measuring? If you look at executions of the most traded instruments you will see that sometimes there will be many seconds with nothing executed
 
WiktorK said:
Hello there,

I've been reading this forum for some time now, yet this is my first post. I'm an algo trader with rather poor experience. Somehow I've managed to make a few profitable systems and now I'm trying to run them as close to HFT as possible. They work on every liquid market and achieve better results on lower time frames (bellow 1 minute).

Thought I would ask for some advices how to achieve higher frequency (for now an avg trade lasts 43 secs). I ofc know that HFT means measuring trades in nanosecs, but I want to get as close to it as possible. Here is what Im using so far:

- self-made FIX engine (build in python)
- LD4 colocated server with fiber conection to order matching engines
- Im using an STP/ECN broker witch gives me access to a liquidity pools composed from 17 big banks and hedge funds
-Im trading only EURUSD and XAUUSD futures, execution times are around 30/40 milisecs

What stops me from trading more frequent are spreads, commissions and executions times, so If anyone has any advice what and how to trade to avoid (minimalise) these it would be appreciated a lot

Basically I'm looking for the most liquid instruments with the lowest possible spreads and commissions. How to get access to them and how to lower my execution times?

Any other feedback from anyone experienced in this area would be more than appreciated!

(just please don't write that HFT is measured is nanoseconds and restricted for big players - I know. I just want to get as close to it as possible)

Cheers!
More...

Your execution time of 30 to 40 ms seems to be too high. Your LD4 doesn't seem useful, it's useful if you bypass broker and can connect directly to banks. For that you need a prime broker which is very expensive to setup now. As you do more volume, you can find other brokers that will give you competitive rates, like < $5 per million.
May I know roughly how much you are paying for your LD4 colo? Last time I did it, it was around a few k.
 
2rosy said:
what part of the trade are you measuring? If you look at executions of the most traded instruments you will see that sometimes there will be many seconds with nothing executed
More...
The time between opening and closing a position
 
traider said:
Your execution time of 30 to 40 ms seems to be too high. Your LD4 doesn't seem useful, it's useful if you bypass broker and can connect directly to banks. For that you need a prime broker which is very expensive to setup now. As you do more volume, you can find other brokers that will give you competitive rates, like < $5 per million.
May I know roughly how much you are paying for your LD4 colo? Last time I did it, it was around a few k.
More...
To be honest I do not know, my broker offers me a free colo as long as I exceed 150 lots volume monthly (which I obviously do)
 
I've found the slowest piece of the puzzle was the broker checking if I had enough margin to place the trade before sending it on, so I would agree with @traider and maybe focus on brokers who have optimized that piece if you don't have the funding to bypass it.
 
Sig said:
I've found the slowest piece of the puzzle was the broker checking if I had enough margin to place the trade before sending it on.
More...
In regards to HFT, this isn’t a piece of the puzzle at all. HFT works directly with the exchange, and pay exchange fees only. With a broker, you’ll engage in medium frequency at best, which can still be very profitable with the right setup, of course with lower win rates.
 
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