High-frequency trading (HFT) is the use of sophisticated technological tools to trade securities like stocks or options, and is typically characterized by fast order entry and cancellation, low-latency market access, and co-location of servers on an exchange.
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How can we reverse engineer a market-making algorithm (HFT)?
Consider a market participant $A$ who is mechanically following an automated liquidity providing algorithm (HFT) in a number of large cap stocks on a specific exchange.
Assume furthermore that we are ...
21
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9answers
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How 'High' is the frequency in HFT?
How many trades per second are we talking about?
What kind of strategies are used in this time frame?
Can the small guy play the game?
21
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9answers
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Has high frequency trading (HFT) been a net benefit or cost to society?
Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
18
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5answers
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What is a good broker for HFT?
Currently I trade trough IB. I run my HFT strategies (100 roundtrips per hour) but I think that latency is killing me and my profits are shrinking. I need the fastest possible brokers out there which ...
18
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4answers
2k views
Why do high frequency traders use rapidly cancelled limit orders?
In reading about the various practices and strategies of high frequency traders, one of the most mysterious to me is "fleeting orders," or orders that are cancelled almost immediately after they are ...
11
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3answers
571 views
What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time?
On a security by security basis, I want to be able to quantify the level of HFT activity (and later institutional & retail activity). Is it higher than it normally is? How much so?
What would you ...
10
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7answers
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Is the Interactive Brokers API suitable for hft?
By hft here I mean anything with holding period less than 5-10mins...
Any empirical/anecdotal evidence of using it successfully on even higher frequencies?
8
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5answers
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What exactly is meant by “microstructure noise”?
I see that term tossed around a lot, in articles relating to HFT, and ultra high frequency data.
It says at higher frequencies, smaller intervals, microstructure noise is very dominant.
What is ...
6
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2answers
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Non-SQL methods for high-frequency accounting?
Does anyone know of any prior art for non-SQL data structures for high-frequency accounting, whether client, broker, or exchange-side? I'm thinking specifically of the problem of booking individual ...
6
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2answers
2k views
What is a medium to low frequency trading strategy and why is it less hyped?
The term high frequency trading has been used quite often recently to refer to trading using real-time tick data (or data aggregated to few seconds) and having an intra-day holding period.
How are ...
5
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1answer
184 views
Profiting from price discrepancies between stock exchanges
Here is an interesting video by Nanex: http://www.youtube.com/watch?&v=rB5jJuMP84E
Perhaps some of you have already seen something similar. It is an animation of the order routing. It shows 1/2 ...
5
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1answer
352 views
Why would a trader quickly flicker an order immediately preceding a tick away?
The Setup
Assume the inside market is $15.15 \times 15.16$ and there is a very large bid order imbalance. For example, 30,000 shares bid across 100+ orders, 200 shares offered across 1 order; ...
5
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1answer
249 views
Problems with dealing with GARCH models and intra-day data
Short question would be "Which type of model from GARCH family is most suitable for modeling 5-minute data returns ?" but I've added some story to it.
Long time ago I was preparing my thesis, one ...
4
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2answers
299 views
Fastest news feed APIs targeting high frequency trading?
The Dow Jones elementized news feed API seems to stand out but are there any other machine readable news feeds out there that provide very low latencies that high frequency operations may peruse? I am ...
4
votes
1answer
555 views
HFT - How to define and measure latency?
I have read and heard a lot about latency. But I can't find any solid information that explains how latency is defined and measured. When people say they have achieved millisecond or nanosecond ...
3
votes
2answers
288 views
Resources for Benchmarking Automated Trading Systems available as deltix etc.?
Is there some research resource/group working on benchmarking of software products out there with automated trading and goals of "Advanced alpha generation and execution strategies" incorporating low ...
3
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1answer
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Where can I find some examples of high frequency or stat arb trading algorithms beyond basic textbook pairs trading?
In particular,
http://en.wikipedia.org/wiki/Algorithmic_trading#Algorithms
has several name algorithms. I understand most HFT algorithms are proprietary but I am looking for examples of HFT ...
3
votes
1answer
631 views
What latency should I use for backtesting a high-frequency strategy?
We're developing an HFT strategy for highly liquid futures traded at Eurex. We are planning to colocate our server and to use data feed of QuantHouse and execution API of ObjectTrading. Backtesting is ...
2
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2answers
406 views
Forex ECN for Algorithmic Trading
I'm looking for a forex brokerage that allows me to:
add limit orders to the order book and
trade against other clients
However, when I look at the looks of fxcm, alpari, robofx, ... it appears all ...
0
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2answers
332 views
What information do stock exchange colocated servers have access to?
In high frequency and low latency trading, decisions are done on the spot by servers colocated in stock exchanges. This implies that those servers have immediate access to the information they need to ...
-3
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1answer
317 views
Tutorial for working with tick data? [closed]
Can you recommend a good tutorial for working with tick data for the purpose of algorithmic trading?
Is the data normally stored in a database and only bits are read into memory at a time?
Is there ...
-4
votes
2answers
324 views
Is it already possible to do automated trading from your room? [closed]
Just curious. Automated trading using computer software. Parse market data and place orders automatically through a computer program running in your machine. Is it possible to do that as an individual ...
