For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.

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2
votes
3answers
765 views

How to choose a data center for deploying high frequency trading strategies?

We are in the process of selecting the data center for deploying our high frequency strategies. Does anyone has some questionnaire that can be used to figure out that what type of infrastructure ...
-3
votes
1answer
440 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 ...
-1
votes
1answer
1k views

Can end-to-day trading be profitable? If not, why? [closed]

Many academics argue that end-to-day trading, where you go long or short before opening and sell your security at the end of the day, is not profitable. Various explanations are given for this ...
8
votes
4answers
424 views

Position management in presence of continuous forecast

Let's say we have an equity liquidity-providing model that was fitted on 1 minute bar periods. The model forecasts the 1-min next period return given the activity of the previous bars. Now, when we ...
4
votes
1answer
274 views

What is a good source to learn the different nuances of electronic orders and their nature?

Today I was speaking with someone involved in high frequency trading. They were mentioning hidden orders, queue positions (which can be lost in the orderbook based on certain order modifications), ...
3
votes
1answer
808 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 ...
3
votes
2answers
329 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 ...
25
votes
3answers
7k views

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 ...
5
votes
1answer
784 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 ...
12
votes
4answers
974 views

HFT: What is the big differentiator in comparison to other time scales?

High Frequency Trading (HFT) seems to be the big money making mystery machine these days. The purported source of unlimited floods of gelt pouring into the investment shops using it. For me, HFT is ...
8
votes
3answers
2k views

Order submission strategies of a rational market maker?

Consider a market maker that has decided to try to make a round-trip trade in stock A in order to capture the bid-ask spread. Assume furthermore that he has no current inventory in the stock A. To ...
6
votes
3answers
684 views

What is the impact of high-frequency trading on market depth, liquidity, and volatility?

On the surface, bid-ask spreads are far more narrow than even several years ago. However, during periods of financial stress liquidity seems to vanish. Also, the increasing amount of fragmentation ...
21
votes
5answers
5k views

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 ...
11
votes
3answers
4k views

R: How feasible is it to store — and work with — tick data in a database connected to R?

I'm looking to convert some tickdata .csv files into a database on a local disk and then use R to call the data and do my various analytics and modelling. What are some best practices / ...
6
votes
3answers
488 views

How to account for jumps in intraday data when calculating beta?

I am calculating betas on intraday trade data at 15-minute intervals. For simplicity sake, let's assume I am modeling \begin{equation} Y = \beta * X + c \end{equation} where $Y$ is the return of XLF ...
5
votes
1answer
334 views

What are some quantitative method behind etf vs cash arbitrage?

Has there been any studies done on the correlation between etf vs cash (i.e. GLD vs GD) for example and how they should theoretically move together, and what fundamental reasons could cause them to ...
6
votes
2answers
1k views

Which algorithm should I look into to kick off my research in algorithmic trading? [closed]

I have recently undertaken a research into automated algorithmic trading algorithms. The aim of the research is to focus on studying algorithmic trading and trying to improve a basic implementation ...
1
vote
0answers
636 views

What skills and education are required for HFT? [closed]

I'm a university student and I'm quite interested in High Frequency Trading Algorithms. What courses should I take and what skills should I acquire so that I can work in this field? So far, I've been ...
7
votes
3answers
623 views

What strategy would benefit most from having the fastest connection to the exchange?

Imagine that you have the fastest connection to the exchange (receive quotes 1 ms earlier than everyone else) for both stocks and derivatives. How would you benefit from this? Of course almost any ...
6
votes
2answers
4k 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
votes
1answer
401 views

Applying models with normality assumption on tick data?

Beginner question. Having read a couple of papers and book chapters on high-frequency data forecasting, I'm surprised (and confused) that the same time series techniques can be applied to ...
11
votes
3answers
622 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 ...
7
votes
2answers
1k views

Algorithm for the choice of stocks for a equity scalper/market maker to engage in?

Assume a scalper/market maker who is operating on an exchange with $N$ stocks with different characteristics such as current market value, average bid-ask spread, average daily volume and historical ...
5
votes
1answer
207 views

How are dual class shares different from non dual class shares from a market makers' perspective?

Assume a stock Foo with a single share class. Furthermore, assume a dual class stock Bar with classes I and II with different voting rights. The shares in the different classes have equal cash flow ...
16
votes
2answers
2k views

How to forecast volatility using high-frequency data?

There is a large literature covering volatility forecasts with high-frequency tick data. Much of this has surrounded the concept of "realized volatility", such as: "Realized Volatility and ...
0
votes
2answers
1k views

Ultra-High Frequency Trading Help [closed]

Im putting together an Ultra-High Frequency desk and need to answer the following questions for ordering some rack servers to process about 2 GB of data per second. If anyone has worked at a HFT desk ...