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Seeking partner for setting up a FX High-Frequency Trading Desk
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从……加入成为会员 Nov 09, 2011 20个发言
FXBird
Dec 13 2011 at 10:14
(最后编辑时间Dec 13 2011 at 10:16 )
Yes, we'll need smarter strategies and algorithms for compensated our execution speed if we have to used slower trading systems or engines.
We don't need to dependent on LMAX's data feed. By ordering ultra low latency full order book stream, we'll get considerable advantage in this factor. And for the FX trading, it's inherent factor which's not been fully centralized, hence the processing speed can't compare to 'BATS'. This condition could be unavoidable at present. |
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从……加入成为会员 Aug 16, 2010 452个发言
Raa (mistificator)
Dec 13 2011 at 22:24
I was thinking along the similar lines by utilizing order book and reference institutional feed provided by Black Light Data (orderbookfx), but in my opinion their signals only good for sub-pip, or 1-2 pips moves, so unless you pay no spread the strategy will be struggling to break even and then you add commissions and costs.. Would be possible to trade that way with an access like market makers have but it's a different level of the game, nothing to do with retail/prop trading.
I am building up algorithmic trading business myself (www.fxalgo.net Was mich nicht umbringt, macht mich stärker. |
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从……加入成为会员 Feb 07, 2011 617个发言
PipGnostic (TheCyclist)
Dec 14 2011 at 01:06
(最后编辑时间Dec 14 2011 at 01:12 )
Damn difficult to do though in fx, be warned, will take a lot of time.
Fx, especially the HFT stuff is without doubt the most difficult thing I've done in my life. Maybe I'm just not clever enough, but I had to fight for it really hard. Show me your pips!! |
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从……加入成为会员 Nov 09, 2011 20个发言
FXBird
Dec 21 2011 at 08:58
OK, FX might be not very easy for doing HFT. It's could be harder than stocks and futures. I'm testing my pre-HFT strategy in E-Mini S&P futures by the demo accounts. The result was quite interesting. You could profit around $300 within 40 minutes. Please note this's done by 'manual'. Since I'm not a coder/programmer, I'll need someone who can do the programming works team up with me for implement/converted the strategy into algorithms and automatic trading systems/platforms. If you're the people who can and willing doing these jobs it can be further discussed.
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从……加入成为会员 Feb 07, 2011 617个发言
PipGnostic (TheCyclist)
Dec 21 2011 at 09:38
Well I had a hard long look at LMAX .
On FX they're missing the point. Smallest units would be 1000 units or 0.01 lots on a 100k lot sizes. Which is Metatrader sizes. Just not good enough. Oanda breaks their trade sizes down to 1 unit, which is what one really needs. And the API trades about the same speeds as LMAX, if not faster. Show me your pips!! |
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从……加入成为会员 Aug 16, 2010 452个发言
Raa (mistificator)
Dec 21 2011 at 09:54
why on Earth you need to trade 1 units? Oanda is a market maker of it's purest form and hedges only overall exposure, they don't transmit orders anywhere, this is why they offer good speed. But when you start winning using scalping with Oanda they will do everything to block you as they will lose, since they don't hedge their short-term exposure only long term. That is the reasons of 50 pips spreads during news, that kills many technical positions too.
Most interfaces good enough for HFT (FIX for example) trade minimum 1 lot, which is just fine if you ask me because you aren't shooting for hundreds of pips with relevant huge stops for for a couple of pips usually. 100k minimum account to use FIX (normally) would be trading 100 lots positions otherwise it would make a very little sense.. I have a good algo for HFT, makes miracles on demo, similar to MDP but not MDP and I can have it coded for FIX or JForex or whatever. The question is where to find a good execution? I love Dukas but if they slip 1-2 pips too often it would kill everything. And they do slip more than most MT4 retail brokers. Was mich nicht umbringt, macht mich stärker. |
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从……加入成为会员 Feb 07, 2011 617个发言
PipGnostic (TheCyclist)
Dec 21 2011 at 10:01
(最后编辑时间Dec 21 2011 at 10:04 )
I trade 1 unit if I can cause I can make a profit on it. Means I can get exact trade sizes and values. If I want to throw 1 more Euro at the market I can.
Show me your pips!! |
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从……加入成为会员 Aug 16, 2010 452个发言
Raa (mistificator)
Dec 21 2011 at 10:13
Ok. Can you share your experience and concerns about LMAX besides lot sizes? Basically what about theri multicharts and their proprietary API? I have never heard of them before actually. Worth looking deeper? Slippage? Ease of use of their API?
Was mich nicht umbringt, macht mich stärker. |
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从……加入成为会员 Feb 07, 2011 617个发言
PipGnostic (TheCyclist)
Dec 21 2011 at 10:23
I didn't look further Misti, I saw the trade sizes and stopped there.
API is API I guess, they seem awfully proud of their execution speed and claim to be an exchange as apposed to an ECN broker. But to me it just looks like a faster MT broker with the option to use other languages. They were measuring in milliseconds as apposed to micro seconds. So nothing special on the speed side. I guess I just switched off when I saw I couldn't pursue my strategy on it. Show me your pips!! |
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从……加入成为会员 Aug 16, 2010 452个发言
Raa (mistificator)
Dec 21 2011 at 10:38
20 ms sounds pretty fast, profi account mentions 100/sec rate update speed. Of course if you plan your HFT trading more of a market making type with all those iceberg-towing and elephant-pushing algos, sure it's not the one. Probably I need to check their API and maybe try it solely for algorithmic trading. I do trade manually too, probably this is not the best choice though. Too bad they don't offer an access to futures as well, only spot and cfd.
Was mich nicht umbringt, macht mich stärker. |
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