Quote from Cambist:
You cannot make money as an individual attempting to do high frequency arbitrage. I worked for a couple years at a proprietary firm in Chicago that specializes in high-frequency arb (I was on the FX desk). Trades lasted less than milliseconds and we were constantly trying to be more efficient and faster to beat out the competition.
I would like to comment here currently we have Quad core servers located directly at all major exchanges NYSE, NASDAQ etc.. with infiniband DMA connections between application components we utilize in memory databases and slew of other technologies that gurantees us sub millisecond execution speeds the infrastructure alone is enough to keep most medium size companies out of the arena so this option is not viable for individuals.
