What is good book on high frequency trading?

[viruscore1]

Whoever architect the clearing process into a consolidated datacenter and then sell data feeds and colocation to HFT was out to scam the financial world. This is unfair advantage. I can't believe the SEC allows it to happen, I wonder how much the they're being paid.
This would be similar to the casino selling a peek at the cards to high rollers. Allowing them to place their bets before they're dealt to other players.
IMO Many should be fined and locked up.
Brad K is in Flash Boys exposing hft
https://www.usatoday.com/story/money/2016/02/25/why-wall-street-hates-man/79518728/

 

[Cypherdude]

eally cool how they would hard code the order placement logic directly on the FPGA chip.

I am looking for any good introductory book on high frequency trading can anyone recommend it? I am also cisco networking company employee and of the book content also coverage on end to end network latency coverage that would be dramatic. Thx.,

There are lots of books on high frequency trading. One of the more popular ones is Flash Boys: A Wall Street Revolt by Michael Lewis. I don't think it is going to have the technical information you are looking for. A more technical book might be Handbook of High Frequency Trading by Greg Gregoriou. It was published in February 2015 so it might be slightly dated. You will need to obtain more up-to-date information after you read it.

 

[T0pH4t]

Some References:

• "Dark Pools" by Scott Patterson
  
• "The Problem of HFT" by Haim Bodek
  
• "Flash Boys" by Michael Lewis
  
• "Traders of the New Era" by Fernando Oliveira
  
• "Inside the Black Box" by Rishi K Narang
  
• "Quantitative Trading" by Guo Xin
  
• https://meanderful.blogspot.com/2018/01/the-accidental-hft-firm.html

Full Slide Deck on HFT (each slide has references in notes section).
- https://1drv.ms/p/s!AuwSrpMQ4LFln3wwlGCl_hWvXCQP

 

[3acor]

I am looking for any good introductory book on high frequency trading can anyone recommend it? I am also cisco networking company employee and of the book content also coverage on end to end network latency coverage that would be dramatic. Thx.,

TJay Vaananen - Dark Pools and High Frequency Trading For Dummies-For Dummies (2015)
Michael Durbin - All About High-Frequency Trading (All About Series) (2010)
Sal L. Arnuk, Joseph C. Saluzzi - Broken Markets_How High Frequency Trading and Predatory Practices on Wall Street are Destroying Investor Confidence and Your Portfolio-FT
Scott Patterson - Dark Pools_ The Rise of the Machine Traders and the Rigging of the U.S. Stock Market-Crown Business (2013)
The Problem of HFT - Collected Writings on High Frequency Trading & Stock Market Structure Reform

 

[actualfuturestrader]

I don’t know if you’d find much besides something like Flash Boys which doesn’t get into the technicals of it. It’s kind of just kept to the industry as no retail investor would have the capital or time to try and compete. Plus their all slowly edging themselves out. Might be room in the options market making part but still be very time and capital intensive.

Was just listening to a chat with traders podcast and the guest was talking about using FPGA chips. Was something I never heard of. Manufacturing a chip with a strategy to avoid computing latency.

this was going on like 5 years ago. You guys really need to up your game!

 

[actualfuturestrader]

I am looking for any good introductory book on high frequency trading can anyone recommend it? I am also cisco networking company employee and of the book content also coverage on end to end network latency coverage that would be dramatic. Thx.,

UNLESS YOU HAVE A BILLION DOLLAR WHAT THEY DO you cannot game them.
is this the kind of stuff you are looking for?
and why do you want this information?

 

[actualfuturestrader]

I would post more but my first post on this site which had a lot of insight was bashed because I didn't use paragraphs. this site is full of loser trolls to be honest from what I have seen. People ask questions when they can just GOOGLE IT.
I have 400 pages of research on HFT and the games they play. The exchanges work hand in hand with them so even if you understand the game you cannot compete. It is like major league baseball and you are stuck in the MINORS. you cannot get into the space anymore and it is crowded

 

[actualfuturestrader]

Whoever architect the clearing process into a consolidated datacenter and then sell data feeds and colocation to HFT was out to scam the financial world. This is unfair advantage. I can't believe the SEC allows it to happen, I wonder how much the they're being paid.
This would be similar to the casino selling a peek at the cards to high rollers. Allowing them to place their bets before they're dealt to other players.
IMO Many should be fined and locked up.
Brad K is in Flash Boys exposing hft
https://www.usatoday.com/story/money/2016/02/25/why-wall-street-hates-man/79518728/

actually it isn't just the front running. more importantly it is the BACKRUNNING NO ONE TALKS ABOUT! HFT gets your fill in 1 microsecond. the machines tick to trade immediately on your fill and everyone elses who they filled. so even before you get your fill they have layered the book with MIT orders and stops.. or mkt if touched which they know the mkt touched in 1 microecond you are at least 500 microseconds behind then 17 ms to draw it on your screen. then 200 microseconds to thin and 400 microseconds to click the mouse.. you get it. the short scalp game in futures is dead for retail. you will not succeed.

 

[actualfuturestrader]

so then based on all the retail orders they filled.. aggressively they game it.. take it up a tick or two so you are like.. whew im in profit. .this way they lock you in a state of nervousness when they trap you and sell it off.. then when you exit they run it the other way..then if you get back in they go against you. rinse and repeat. do not try the short game. they have unlimited funds to game you.

 

[zdreg]

I would post more but my first post on this site which had a lot of insight was bashed because I didn't use paragraphs. this site is full of loser trolls to be honest from what I have seen. People ask questions when they can just GOOGLE IT.
I have 400 pages of research on HFT and the games they play. The exchanges work hand in hand with them so even if you understand the game you cannot compete. It is like major league baseball and you are stuck in the MINORS. you cannot get into the space anymore and it is crowded

I understand.
Ignore the trolls and the mentally ill on ET.