3 ms·
Since everyone has said no so far, I'll go ahead and say it's possible, but very difficult. HFT algo commission is much lower than $10/trade. IBKR offers 0.008
by steveplace 16y ago
Since everyone has said no so far, I'll go ahead and say it's possible, but very difficult.
HFT algo commission is much lower than $10/trade. IBKR offers 0.008/sh, and it can get much lower if you trade in volume.
Like others said, it is a game of milliseconds. So you need to own a server near the exchanges in new york (i.e. http://www.ubiquityservers.com/data-center/new-york.php http://www.ubiquityservers.com/data-center/new-york.php).
The best way to start learning is develop algos not for HFT. Instead of milliseconds think about 15 min - daily holds. If you're trading under 25k, you're only allowed to make 3 intraday trades a week.
So find a broker that has a FIX api, buy some data for backtesting, code some stuff out using R/python, and forward test your strat using papertrading for about a month-- then put real money to work.
- lrm242 16y agoIB's unbundled commission structure is cheap, but I wouldn't recommend them for HFT. HFT, as defined by the industry, is basically very heavy on the order flow with the majority of those orders going un-executed. IB charges an insane cancel fee for orders that are direct routed. If you let IB route the order with their SMART algorithm then you have no idea where it might land. I'd speculate that IB charges such a crazy cancel fee because they don't want high volume limit order traders competing with their Timber Hill market making outfit. Agree with everything else you said re: time frame, etc.
- steveplace 16y agoIBs cancellation fee on options is pretty absurd. For the solution needed there are much more specialized firms; however, starting off it's a pretty decent start.