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Seeking partner for setting up a FX High-Frequency Trading Desk
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mistificator

Členom od Aug 16, 2010  452 príspevkov Raa (mistificator) Dec 23 2011 at 16:34
Great stuff, keep on good work :)

Was mich nicht umbringt, macht mich stärker.
TheCyclist

Členom od Feb 07, 2011  724 príspevkov PipGnostic (TheCyclist) Dec 23 2011 at 16:42
How are you testing raiding an order book manually ?

Look, I'm an HFT fan, we can do stuff today that wasn't possible even 5 years ago. But the HFT strategies are very limited. Most HFT trading companies are using one patented system (which also means it's declared and thus public knowledge) and compete on hardware.

The rest is arbitrages or statistical arbitrages. None of which is really manual stuff.

Show me your pips!!
mistificator

Členom od Aug 16, 2010  452 príspevkov Raa (mistificator) Dec 23 2011 at 16:53
I guess what you can call manual HFT is an attempt to trade around episodic volatility, i.e. after big moves, like news, when price is stalling aking to reverse or continue. Otherwise in my book HFT stands for more market making trading, like hitting the bid and lifting the offer, towing icebergs, pushing elefants. Add there triangular arbitrage (hardly possible in forex unless you aggregate several ECNs and trade price discrepancies), pair trading, and you have an arsenal. Expense wise it's the most expensive type of trading: co-location with exchanges, DMA access, huge R&D expenses, support, quant staff. It's an area where giants like Renaissance Technologies play with their billions...

Was mich nicht umbringt, macht mich stärker.
FXBird

Členom od Nov 09, 2011  20 príspevkov FXBird Dec 23 2011 at 17:15
PipGnostic,
The testing was just tested the theories. I don't want to trading in this kind of speed and beyond by manual even if it's possible, this's extremely exhausted!

MistiFx,
I don't trading at specific time, and I can't trading all time is this kind of speed. Granted this's not true HFT. But who said you can't do 'market making' by manual? cool I simply could do it (at least for a limited duration)! But I would said, it's extremely exhausted and not suited for any life being to do. This should be done by the machines, by the algorithms, by the A.Is. The market is so big, even 'Renaissance Technologies' can't be total ruled it. The smarter one will survived. Let the big one wasting their billions. That's OK for me!

mistificator

Členom od Aug 16, 2010  452 príspevkov Raa (mistificator) Dec 23 2011 at 17:23
I have nothing against it! Big players fight to microseconds of advantage between each other. But their biggest problem always is market impact - they need to push big volumes and it limits amount of strategies they can trade A LOT. We small guys are in a much better position and we can have a luxury of trading slower in not precisely HFT manner but still fast.

Was mich nicht umbringt, macht mich stärker.
TheCyclist

Členom od Feb 07, 2011  724 príspevkov PipGnostic (TheCyclist) Dec 23 2011 at 17:35
Guys,

HFT is about 1000 trades per second or more. We're talking about scalping here really.

Show me your pips!!
TheCyclist

Členom od Feb 07, 2011  724 príspevkov PipGnostic (TheCyclist) Dec 23 2011 at 17:43 (upravené Dec 23 2011 at 17:59 )
Clearly this is not raiding the order book. Then it's directional, read predictive, discretionary and most likely fat tail ? I'm not attacking, just asking.


Show me your pips!!
mistificator

Členom od Aug 16, 2010  452 príspevkov Raa (mistificator) Dec 23 2011 at 18:02
That's what I am saying too. It's speed trading, but hardly HFT.

Was mich nicht umbringt, macht mich stärker.
TheCyclist

Členom od Feb 07, 2011  724 príspevkov PipGnostic (TheCyclist) Dec 23 2011 at 18:06 (upravené Dec 23 2011 at 18:12 )
If I'm closing I can get about 60 trades per second, opening 30 max, most likely about 3 per second max in normal trading. I don't think more than that is possible in fx.

There is only about 20 000 to 40 000 ticks a day per pair anyway. Most days are 20 000, only about 20% of the time will you get higher end volumes.

Show me your pips!!
mistificator

Členom od Aug 16, 2010  452 príspevkov Raa (mistificator) Dec 23 2011 at 21:55
Not sure if anyone has the experience but.. Dukascopy is notorious for liquidity, but I feel that in reality their liquidity sucks, as slippage is way bigger than anything else, either they aren't doing market making to improve it or their banks aren't doing it, which is pretty bad. I mean you can execute quite huge lots there, but liquidity that matters stays away from the top of the book, in my experience even smallish orders cannot get executed on top of the book and slip through. So who cares if they indicate 0.7 pips spread on euro, if I get slipped 1-2 pips on entry and some on exit and pay in result 3-5 pips plus comissions, instead of somewhat 1.4-1.6 pips as other brokers provide... Is there something wrong in my thinking or this is how it is?

Was mich nicht umbringt, macht mich stärker.
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