4 ms·
1. Read Flashboys 2. a) Realize how CRAZILY far many HFT firms have gone to inch out literally every single microsecond and achieve economies of scale with bil
by wpasc 9y ago
1. Read Flashboys
2. a) Realize how CRAZILY far many HFT firms have gone to inch out literally every single microsecond and achieve economies of scale with billions in assets
2. b) individual user-scale tools like ETrade won't get your trades in fast enough/any cost per transaction fees will erase any gains
3. Invest said capital in something like Betterment
If your model has been truly beating the market for a sustainable amount of time, I apologize for my comment and go all out :)
- jason_slack 9y agoI've been ahead for 2 months in just testing my models. Edit: granted not FY ahead.
- wpasc 9y agoCool! Pretty cool to see some alpha generated by a single IC. I still recommend Flash Boys as a book though about HFT, very interesting and a good read
- jason_slack 9y agoI ordered it on Amazon :-) I'll read it this weekend.
- jonwachob91 9y agoI’ve long thought that “Dark Pools” was a better book about HFT.
- jason_slack 9y agoI ordered this book a while back and never started reading it I just got caught up in writing code for to long. Thanks for mentioning it.
- godelmachine 9y agoMay I ask what's IC?
- deleted 9y ago[deleted]
- topbanana 9y agoHFT is only one type of algo trading. You can make money with simple trend following algos that execute perhaps only a few times a week. To the OP, if you aren't sure about market execution, it makes me think you haven't modeled for slippage. Make sure you do, as that nudges many profitable algos into the red.
- cjalmeida 9y agoAnd maybe trading costs.
- mseebach 9y agoHFT is a subset of algorithmic trading, but algorithmic trading isn't all HFT. For an example, a value based investment strategy can be implemented as an algorithm.