They are overthinking this... with sufficiently low latency to your exchange, all your "quant"(and I use this term loosely) needs to do is watch the order book.

They are overthinking this... with sufficiently low latency to your exchange, all your "quant"(and I use this term loosely) needs to do is watch the order book. When either side's inside bid/ask is about to crack, you join the opposing side with a market order, and place a stop on the next tick in your direction. This is what 99.99% of consistently profitable quants do. It's boring, unexciting, and VERY profitable. The crux is...you must have that low latency connection to the exchange, and you must have priority routing for your orders. Bonus point if you have market maker status(but if you have that, why are you doing this in the first place?). The deep learning craze seems to be infiltrating the minds of a few algorithmic funds, but it doesn't stay long(either they stop trying it, or they blow up their fund). Positions of any reasonable size(such as that required to move the market) are opened by human beings. Human beings operate on emotion and mob mentality in the market, so that is what you capitalize on when designing your algorithm. Disclaimer: I'm looking at this with an ultra short term timeframe, such as 5-15 seconds being the maximum time in market per position. If these guys are targeting longer term positions, then all bets are off. The algorithms I create and maintain work in this timeframe, and the majority of my competitors algorithms are in the same timeframe.