kro
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| Total Posts: 24 |
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Someone who claims to be a former high-frequency trader "explains" the basics of HFT here.
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temnik
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| Total Posts: 201 |
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Hmmm... somebody who writes about "Mal" and "Inara" obviously never heard of B.S.D. "Alice" and "Bob"... 
The article is factually incorrect. However, RegNMS still sucks.
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Mon métier et mon art, c'est vivre.
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FDAXHunter
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| What a crap write-up. Starting with the title. It's clear why he no longer works in high-frequency trading. |
Salman Pushdie |
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Let's hear it from the real pros:
http://www.advancedtrading.com/articles/232900540 |
The crisis takes a much longer time coming than you think, and then it happens much faster than you would have thought, and that’s sort of exactly the Mexican story. It took forever and then it took a night. – Rudi Dornbusch |
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pj
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| Joined: Jun 2004 |
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>: Let's hear it from the real pros:
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вакансия "Программист Психологической службы"
-але! у нас ошибко! не работает бля-бля-бля
-вы хотите об этом поговорить? |
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Scotty
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| Well, I liked the Firefly references. |
“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.” |
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> The article is factually incorrect.
Curious to know what is incorrect about it. |
The dark is light enough. |
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jslade
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I guess the dude can apologize for making markets more pointlessly correlated. That's more or less what his strat did from looking at his CV.
His other blog posts are OK; if he sticks with an "apology" like that of Hardy that don't seem so bad. Though it is a pretty weak expository write up.
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"Learning, n. The kind of ignorance distinguishing the studious." |
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Aleph
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| Total Posts: 54 |
| Joined: Jul 2006 |
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Both articles are actually written pretty poorly. But, I would say that I've never read anything that described HFT all that well and most of the stuff out there is 'not even wrong'.
N.B. I've been an hf trader for 5 years. |
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temnik
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| Total Posts: 201 |
| Joined: Dec 2004 |
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@signalseeker
Author describes a vanilla FIFO order book. Nothing specifically HFT about that. All his "apology" consists of is the description of gaining order priority at a specific price level based on some "signal".
The fact that he had to make corrections about sub-pennying is #1. And that was the coup de grace of his article.
#2 - I know of no single server that'd run "hundreds of strategies" and still qualify as HFT.
#3 - Raw latency has limited use without applying to other markets the information that you worked hard to gain.
Btw, do "most HFT's run a market-making strategy" still?
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Mon métier et mon art, c'est vivre.
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aix
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| Total Posts: 72 |
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@temnik
This may be a naive question, but would you mind elaborating on what you mean by the #3 (especially the "other markets" bit)?
Thanks. |
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OTS
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@aix
I believe what temnik is saying is that there is limited value in being a market maker for an HFT. The real value in speed is your ability to be a market taker.
[edited for spelling] |
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Aleph
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| Total Posts: 54 |
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| I don't know what he's trying to say, but if it's that it's wrong. |
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temnik
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| Total Posts: 201 |
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There's nothing like a big "taker" order to get the unruly children to shut up. 
What I meant was applying information that you acquire to different exchanges and/or different products. Whether that becomes a "taker" order depends on the strategy.
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Mon métier et mon art, c'est vivre.
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| Guy posted a "Part 2" and apparently does not understand apostrophes. |
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Nonius
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| Founding MemberNonius Unbound |
| Total Posts: 11319 |
| Joined: Mar 2004 |
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| Don't hft market makers exist temnik? Don't they? |
Geen idee why it's a rainy day. |
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Nonius
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| Founding MemberNonius Unbound |
| Total Posts: 11319 |
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kro
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| Total Posts: 24 |
| Joined: Mar 2010 |
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Azx
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| There is also some insight given at Reddit. |
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Rabid
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| Total Posts: 10 |
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Kro's link is a veritable goldmine of...*facepalm*
"In general, the more you trade, the more money you make"
(where do i sign up? !!!) |
"Most of those people have no idea what you're doing, so no idea when to get nervous, so they get nervous a lot."
LMAO |
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aix
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| Total Posts: 72 |
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| I guess what he refers to is this. If you have a strategy with a positive expected return per trade (net of costs), then the more you trade, the more of that return you capture. Of course once the strategy becomes opportunity-constrained, it simply can't increase the volumes any further. |
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Rabid
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| yeeessssss.... but it is still a gross oversimplification to the point that it does not merit use as the foundation of any constructive reasoning. |
"Most of those people have no idea what you're doing, so no idea when to get nervous, so they get nervous a lot."
LMAO |
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Nonius
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| Founding MemberNonius Unbound |
| Total Posts: 11319 |
| Joined: Mar 2004 |
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by the way, a question to all the expert peeps out here. The scalping I knew was a tactic I learned at Langley, back in the day. Never had to use it, thank science.
If I google "scalping" in trading, sometimes it mentions paying the spread and sometimes making the spread. which is it? or is it either? |
Geen idee why it's a rainy day. |
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I have heard of scalping in a few places. I think it is one of the those terms that have no real meaning. I have heard of it in:
1. Stepping in front of order. Legitimately or otherwise
2. Spread trading |
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Nonius
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| Founding MemberNonius Unbound |
| Total Posts: 11319 |
| Joined: Mar 2004 |
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| maybe it's become a term like "arbitrage"? |
Geen idee why it's a rainy day. |
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