Seeking partner for setting up a FX High-Frequency Trading Desk
Mitglied seit Aug 16, 2010
453 Posts
Dec 23, 2011 at 16:34
Great stuff, keep on good work :)
Was mich nicht umbringt, macht mich stärker.
forex_trader_28881
Mitglied seit Feb 07, 2011
724 Posts
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.
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.
Mitglied seit Aug 16, 2010
453 Posts
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.
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? 😎 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!
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? 😎 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!
Mitglied seit Aug 16, 2010
453 Posts
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.
forex_trader_28881
Mitglied seit Feb 07, 2011
724 Posts
Dec 23, 2011 at 17:35
Guys,
HFT is about 1000 trades per second or more. We're talking about scalping here really.
HFT is about 1000 trades per second or more. We're talking about scalping here really.
forex_trader_28881
Mitglied seit Feb 07, 2011
724 Posts
Dec 23, 2011 at 17:43
(bearbeitet 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.
Mitglied seit Aug 16, 2010
453 Posts
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.
forex_trader_28881
Mitglied seit Feb 07, 2011
724 Posts
Dec 23, 2011 at 18:06
(bearbeitet 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.
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.
Mitglied seit Aug 16, 2010
453 Posts
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.
Dec 24, 2011 at 05:56
(bearbeitet Dec 24, 2011 at 06:22)
Scalping or speed trading, these's not my goal. But I need to began from somewhere.
About the FX spreads, you might found some info in: https://www.fxintel.com/
About the FX spreads, you might found some info in: https://www.fxintel.com/
Mitglied seit Aug 16, 2010
453 Posts
Dec 24, 2011 at 08:46
Yeah good resource. But as I said, spreads are indicative but not definitive. Until you put an order you never know where the fill would be. And slippage adds to costs, effectively increasing spread. By the way, thanks for pointing to the LMAX, looks awesome I am going to trial it after festivities.
Was mich nicht umbringt, macht mich stärker.
*Kommerzielle Nutzung und Spam werden nicht toleriert und können zur Kündigung des Kontos führen.
Tipp: Wenn Sie ein Bild/eine Youtube-Url posten, wird diese automatisch in Ihren Beitrag eingebettet!
Tipp: Tippen Sie das @-Zeichen ein, um einen an dieser Diskussion teilnehmenden Benutzernamen automatisch zu vervollständigen.
