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When evaluating an HFT strategy, transaction costs are clearly an important question. When looking at commercial discount brokers for retail clients, costs can be as low as 0.005 USD per share, but given the actual volumes traded back and forth, and the miniscule price movements HFTs try to exploit, it appears that HFT transaction costs have to be much lower than that.

Does anyone have data on how low these transaction costs can go?

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1 Answer 1

Well the answer depends on what are you considering a fee?

Do you included per trade regulatory fees or just exchange fees?

Many exchanges will pay you for being the passive side of a trade, so technically the fees in that case are negative.

For the big exchanges, I'm not sure that you can negotiate the fee's. I'll confess I've never tried and the fund I work at isn't big enough:) But in dark pools there is a lot of negotiating that goes on for fees so you can imagine that the fees that some HFT firms pay approach zero very quickly, just so the dark pools can get a critical mass of liquidity.

I should point out that for developing a strategy, the only real fee that matters is the fee schedule you have negotiated. So in fact only you can answer this question:)

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