How much does a HFT trader typically make?

Hi WinstonTJ,

Ever thought about arbitrage trading on high frequency?

You effectively make the market and try to keep the relative prices not out of line too much. By doing so you are making the market more efficient and those want to buy or sell pay a fair price for the moment.

Latency games do not add more productive value. However some kinds of high freq stat arb is not taking money from the poorly equipped.

I feel most of the HFT shops are playing the number/latency game. Stat arb, not latency arb, needs more quant modeling, on top of programming skills. It is also providing a service.

Correct me please if I am wrong.

njrookie
 
Quote from WinstonTJ:

There is a huge difference between buy side vs. sell side and equities vs. futures vs. forex and each is such a different animal that none can be compared.
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No question about the differences - BUY SIDE vs. SELL SIDE.
However, "each is such a different animal".....is what I challenge.
The software only sees bid, ask, volume, prints, last price, etc. It doesn't know squat about futures or forex.
A great system should work with all asset classes.
 
Quote from njrookie1:

Hi WinstonTJ,

Ever thought about arbitrage trading on high frequency?

You effectively make the market and try to keep the relative prices not out of line too much. By doing so you are making the market more efficient and those want to buy or sell pay a fair price for the moment.

Latency games do not add more productive value. However some kinds of high freq stat arb is not taking money from the poorly equipped.

I feel most of the HFT shops are playing the number/latency game. Stat arb, not latency arb, needs more quant modeling, on top of programming skills. It is also providing a service.

Correct me please if I am wrong.

njrookie
More...


The top few firms in Chicago, have touched milliseconds realm, employing $x Millions worth of Technology. Any kind of Arbs you can think of, most likely, had already been conquered by them. They are already situated beside CBOE, CME and NYSE.

Your statement is valid like 5 years ago. btw, HFT simply means trading at very low latency. They are a replicate of tons of strategies, with speed, do read up. Thx.
 
Quote from syswizard:

No question about the differences - BUY SIDE vs. SELL SIDE.
However, "each is such a different animal".....is what I challenge.
The software only sees bid, ask, volume, prints, last price, etc. It doesn't know squat about futures or forex.
A great system should work with all asset classes.
More...

if you are a trader, and had traded markets you wouldn't make this statement at all :p.

if you've designed Algorithms, you realize there isn't one size fits all, depends on the flow and

Each markets, asset classes also trades differently, with an ETF, a Stock, derivatives, a Forex, Futures, and the market, the people who traded these products, the regulations and etc that are in TSE, HKex, Frankfurt, SGX, NYSE, CME.
 
Quote from savagemp5:

The top few firms in Chicago, have touched milliseconds realm, employing $x Millions worth of Technology. Any kind of Arbs you can think of, most likely, had already been conquered by them. They are already situated beside CBOE, CME and NYSE.

Your statement is valid like 5 years ago. btw, HFT simply means trading at very low latency. They are a replicate of tons of strategies, with speed, do read up. Thx.
More...

And your milliseconds statement isn't valid anymore i'm afraid as people have been measuring well under 500 microseconds for quite a while.

When your strategies are latency based (direct correlation between the latency and number of fills), hardware technology wise, all it takes is one or two well spec'd servers at the exchange(s), that are tuned properly, with SolarFlare NICs and the OpenOnload TCP/IP stack. And the surrounding network environment also tuned properly.
 
Interesting - nobody else on ET has made a post containing SolarFlare or OpenOnload. This isn't really at the retail level because we're dealing with native exchange data streams, but the tech isn't exactly a secret. Is nobody else using this, that is willing to post?

Also we have Corvil who can put probes in for a while to identify latency bottlenecks. They are also the current industry standard.
 
Quote from syswizard:

No question about the differences - BUY SIDE vs. SELL SIDE.
However, "each is such a different animal".....is what I challenge.
The software only sees bid, ask, volume, prints, last price, etc. It doesn't know squat about futures or forex.
A great system should work with all asset classes.
More...

US Equities are the only asset class that promote the liquidity providing games. That's where most of my experience is.
 
I disagree.

You do not need to do stat arb at HFT frequency.

There are plenty of meet at 30m 60m, and even daily and weekly level.

njrookie
 
Quote from MarkBrown:

how about a virtex-7 floating out in the middle of the atlantic for lowering latency? ;)
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Hah, i've never actually used an FPGA for trading, but if the exchange matching engines were located in the middle of the Atlantic, we would have servers sitting next to them under the sea.

For me, the actual strategy engines have always been in Java, because it is simple to use for the actual traders to put their algos onto.

Not to be rude to strategy quants, but do you have people who can code FPGA out of the box.. etc ;)
 
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