Thank you. The reason why I am exploring the idea of HFT is that I need to build more uncorrelated strategies to reduce the fluctuations and increase Sharpe Ratio. Besides, having a different set of HFT strategies would increase the capacity of the fund so that I won't have to debate whether to compromise the return for a larger AUM.
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Java or C++ for HFT?
- Thread starter ppy93
- Start date
If you are far away in time from doing HFT, why you need Lime’s execution? Would IB not suffice? Are you co-located?
My current strategies are not very latency sensitive. I plan to choose the more affordable VPN connection offered by Lime which costs $800 per month VS $2400 for direct FIX connection. I have a server that has a latency<2ms to Lime's VPN server. Adding the VPN layer would increase the latency by another 1-2ms which is acceptable for my current strategies.
IB imposes a minimum charge per order which is deal breaker for my strategies. Lime does not have such minimum charges per order or ticker charge. Besides, IB's commission is not as reasonable as Lime's which can be as low as 5mil/share. IB charges even higher commissions for non-smart-route orders.
I am not seeing any disadvantage using Lime at the moment except it will take some time to write the code. If my AUM reaches $5M, I can even open a Prime Broker account with ABN and still execute with Lime. Clearing with ABN and executing with Lime might bring the commissions to 5mil/share without such a high volume.
If anyone had any unpleasant experience with Lime, please let me know and it might save me 2 months of C++ coding with Lime's FIX API.
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Based on your current latency, I don’t see why you need to use c++. When, and if, you get to the point of needing to reduce latency, FIX engine speed will not be your biggest concern, imho.it might save me 2 months of C++ coding with Lime's FIX API.
Based on your current latency, I don’t see why you need to use c++. When, and if, you get to the point of needing to reduce latency, FIX engine speed will not be your biggest concern, imho.
The reason I need to code in C++ is Lime only offer Java and C++ wrappers for their FIX protocol.
I think they offer pure FIX as well - without a wrapper.
They do. If that is the case, I guess I can use QuickFIX, right?
Yes, I would use that for ease. I use C++ and decided to implement a stripped down FIX engine to integrate with the rest of my framework.They do. If that is the case, I guess I can use QuickFIX, right?
My current strategies are not very latency sensitive. I plan to choose the more affordable VPN connection offered by Lime which costs $800 per month VS $2400 for direct FIX connection. I have a server that has a latency<2ms to Lime's VPN server. Adding the VPN layer would increase the latency by another 1-2ms which is acceptable for my current strategies.
IB imposes a minimum charge per order which is deal breaker for my strategies. Lime does not have such minimum charges per order or ticker charge. Besides, IB's commission is not as reasonable as Lime's which can be as low as 5mil/share. IB charges even higher commissions for non-smart-route orders.
I am not seeing any disadvantage using Lime at the moment except it will take some time to write the code. If my AUM reaches $5M, I can even open a Prime Broker account with ABN and still execute with Lime. Clearing with ABN and executing with Lime might bring the commissions to 5mil/share without such a high volume.
If anyone had any unpleasant experience with Lime, please let me know and it might save me 2 months of C++ coding with Lime's FIX API.
Does the fixed charge apply to shares? I thought it was only for options
If you're making a living with $2M aum then you're doing pretty damn well, it seems that expanding into something you don't have a background in it the opposite of what you've done to find success so far? If your strategies have the capacity, it would seem increasing your aum would be your first goal.Thanks guys for all the insightful information. As a startup hedge fund, our AUM is around $2M. Managing a small AUM makes it relatively easy to stay profitable because we can capitalize on opportunities the bigger institutions can not capitalize on or do not even care for. In other words, being small makes it possible to focus on competing with retail traders.
We are not doing HFT at the moment and I evaluating whether it is even worthwhile to get into it. I assume HFT is significantly more competitive due to competitors being institutions instead of retail traders. Besides many technical advantages such as lower latency and faster computers, I would also assume most HFT funds hires many IQ-top-percentile people for strategy development who are equally smart if not smarter than us(me and a few other IQ 130+ guys). For example, a few of my college classmates who I consider equally smart or smarter than me are now working for funds like Citadel. What is my edge against these bigger institutions other than managing a small AUM or having good luck?
Besides, I have heard a rumor that there are only a few guys in Medallion's core team responsible for strategy development and they do not use more than high-school Math. Is this true? If yes, does Medallion use in HFT strategies?