What is good book on high frequency trading?

[traider]

That's why people invented sharpe ratios. They allow strategy comparison. Find anyone who thinks they can predict the market and get them to reveal their sharpe ratio.

 

[Nobert]

Everybody who trades for years thinks that those who trade over months are idiots.
Everybody who trades for months thinks those who trade for weeks are idiots.
Everybody who trades for weeks thinks that too of those who trade for days.
And everybody who trades for days thinks that intraday traders are dummies.
And those who trade intraday think that those who work the hours are crazy.
But those who trade within hours are amazed that anyone would ever trade for minutes.
Like those who trade for minutes wonder at those who work the second-clock.
And those who are sub-second look at the others and think "Whaaaaaat?"

So the bottom line message is......."__________________________."

Eureca

 

[tommcginnis]

I found this video informative. Really cool how they would hard code the order placement logic directly on the FPGA chip.

I only discovered these grey/green-themed Youtube vids recently. (Within the last 6 months??) And usually, such well-polished/produced things are utter buffoonery that borders on criminal fraud. But I've seen at least a dozen of these things -- if not more -- and if that's only 10% of "106 episodes".... they've all been pretty sound.

 

[Metamega]

I only discovered these grey/green-themed Youtube vids recently. (Within the last 6 months??) And usually, such well-polished/produced things are utter buffoonery that borders on criminal fraud. But I've seen at least a dozen of these things -- if not more -- and if that's only 10% of "106 episodes".... they've all been pretty sound.

That’s the podcast I mentioned earlier. He doesn’t go too in depth on strategies as his old business is still trading but still interesting.

 

[qlai]

Ignore the title ... A very good read.

 

[qlai]

it means that you have no clue what the market will do. Because otherwise you would not go for frequent microprofits but make real runs.

A bird in the hand ...

 

[qlai]

Read articles by Haim Bodek.

 

[viruscore1]

You know hft is similar to old school arbitrage. Eventually technology will catch up and it'll disappear or the risk/benefit is so minute it's not worth the effort. By the time you raise enough capital to give it a go, there will be something new. You may lose your capital trying.
IMHO it is better learning to be profitable within the market rules and regulations.

 

[ggelitetrader000]

You know hft is similar to old school arbitrage. Eventually technology will catch up and it'll disappear or the risk/benefit is so minute it's not worth the effort. By the time you raise enough capital to give it a go, there will be something new. You may lose your capital trying.
IMHO it is better learning to be profitable within the market rules and regulations.

i am just interested in learning and how it works.

 

[viruscore1]

i am just interested in learning and how it works.

Here ya go ...