Homemade HFT - how close can a retail trader get?

Could be wrong but I believe by notional traider wanted to know how much actual currency is represented by "1 Lot" - typically $100,000, sometimes $10,000. At Dukascopy for example, buying "1" contract is $1,000,000, buying "0.1" is $100,000, etc.

As for this "HFT" business, are you making markets i.e. placing your owns quotes directly into the order book? or perhaps statistical arbitrage (does your platform separate out those 17 liquidity sources and allow you to buy/sell in and out of each or does it simply show you the best bid/offer across the entire pool with the promise of best-execution)?

If you're doing Latency stuff, not sure who you're actually doing it against if you're not directly connected to an exchange or bank and also figuring out how to turn quotes around at least 100 times quicker (0.4ms - still slow) even on a limited budget.

I hear a lot of "HFT" stuff about trying to get 200 trades a minute out of a basket of 4 currencies. My ex writes market making models to help quote on over 4,000 instruments at a time - to me "HFT" is this type of activity spanning 1000s of instruments simultaneously, trying to get 4000 split-second quotes out the door and into order books. 40ms is enough time to send ONE message (ex.1, ex.2) holding 4000 instrument and pricing codes to a co-located server that executes them all - the 40ms is one thing - it's how they are being used that makes the difference.
 
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lmao, are you seriously trying to be taken serious?

FXPIG??????????

594c1fad0e12a11627d2276e__gif-heroteaser_thieves.gif



WiktorK said:
No secret here, FXPig and the national is USD
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WiktorK,

I was here at during the beginning of HFT. WiktorK I want to tell you to not give up. There are old handles here that stumbled through this and then they stopped posting. They were on the ground breaking discovery of "SPEED". They are prolly billionaires now...I would love to have a cup of coffee with them and discuss old times..

good Thread.

ES

P.S. I am grinding it out trading manually with several systems. I am profitable...barely...it's a grind.



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!
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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, 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.
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could you suggest any specific brokers?
I've come through many of them and found FXPig the best so far, but If you say so maybe there is a better one somewhere
 
capitalmarkets said:
Could be wrong but I believe by notional traider wanted to know how much actual currency is represented by "1 Lot" - typically $100,000, sometimes $10,000. At Dukascopy for example, buying "1" contract is $1,000,000, buying "0.1" is $100,000, etc.

As for this "HFT" business, are you making markets i.e. placing your owns quotes directly into the order book? or perhaps statistical arbitrage (does your platform separate out those 17 liquidity sources and allow you to buy/sell in and out of each or does it simply show you the best bid/offer across the entire pool with the promise of best-execution)?

If you're doing Latency stuff, not sure who you're actually doing it against if you're not directly connected to an exchange or bank and also figuring out how to turn quotes around at least 100 times quicker (0.4ms - still slow) even on a limited budget.

I hear a lot of "HFT" stuff about trying to get 200 trades a minute out of a basket of 4 currencies. My ex writes market making models to help quote on over 4,000 instruments at a time - to me "HFT" is this type of activity spanning 1000s of instruments simultaneously, trying to get 4000 split-second quotes out the door and into order books. 40ms is enough time to send ONE message (ex.1, ex.2) holding 4000 instrument and pricing codes to a co-located server that executes them all - the 40ms is one thing - it's how they are being used that makes the difference.
More...
I've misunderstood the question, national is 100.000 $.

Im not making markets neither using arbitrage, to be honest you would be probably disappointed with the simplicity of my strategy. I profit from small price changes, nothing sophisticated.

About the liquidity providers, Im getting only the best bid/ask and as you have said it "the promise" of best execution
 
No, I don't and I tell you why: Because you seem to do ZERO research on your own. Happy to help after you have done your own research. There are numerous fx brokers that are highly recommended on this website. If you can name some then I am happy to help further. But I am not doing your homework.

And a brief glance at FXPIG should have told you everything one needs to know:

* Wide spreads, their own statistics on, for example GBPUSD, show 1.1 - 1.2 AVERAGE spreads. That is incredibly wide. Good fx brokers show around 0.3-0.4 wide spreads in this pair during London trading hours and that even right now during heightened risk due to Brexit. So, either they are blatantly lying and mark up their spreads, or, more likely, they have a secret agreement with their liquidity provider to have the liquidity providers actually mark up the spreads for them (so they look like a clean shop to retail) and get massive kickbacks from their liquidity providers.

* The broker deregistered in NZ and moved to Vanuatu, a destination out of which tons of poorly capitalized small sized brokers operate out of. Similar to Cyprus.

* Financial Commission covers a top of 20,000 in case of claims against the firm. Ridiculously low.

I can add more to the list, but the above should make everyone run as fast as possible.

Enough said.

WiktorK said:
Could you kindly suggest a better solution for a retail trader like me?
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GRULSTMRNN said:
No, I don't and I tell you why: Because you seem to do ZERO research on your own. Happy to help after you have done your own research. There are numerous fx brokers that are highly recommended on this website. If you can name some then I am happy to help further. But I am not doing your homework.

And a brief glance at FXPIG should have told you everything one needs to know:

* Wide spreads, their own statistics on, for example GBPUSD, show 1.1 - 1.2 AVERAGE spreads. That is incredibly wide. Good fx brokers show around 0.3-0.4 wide spreads in this pair during London trading hours and that even right now during heightened risk due to Brexit.

* The broker deregistered in NZ and moved to Vanuatu, a destination out of which tons of poorly capitalized small sized brokers operate out of. Similar to Cyprus.

* Financial Commission covers a top of 20,000 in case of claims against the firm. Ridiculously low.

I can add more to the list, but the above should make everyone run as fast as possible.

Enough said.
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Well then, finally some arguments.
FXPig is the only broker that offers FIX with low minimum requirments as well as the demo I needed to build and test the engine.
Ive reserched a lot and found no other broker that meets these criteria, but maybe you know some...

They do not have avarege spread stats, I have no idea where your data comes from. On their webside only the live spreads are displayed.
As Ive already mentioned Im trading only EURUSD and XAUUSD which spreads are like 0,2-0,3 and 1,5-1,7. Also I have build in mechanism that stops trading activity when spreads are above these values.

I do not care where are they registered as long as they are honest to me (and they are). 20k is in deed rather poor amout, yet Im a conservative guy and wont trust anyone to hold a bigger amount of my cash (even if they are registered in the White House). I keep my deposit as low as possible to let my system work.

The broker that seems to be the most popular here is IB which seems a bit shady and has a ton of strange fees.
 
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