4 ms·
* Number of trades = 100000 * Number of successful trades = 1 * Number of unsuccessful trades = 999,999 * Profit on successful trade = 1000000 * Loss on eac
by cheez 7y ago
* Number of trades = 100000
* Number of successful trades = 1
* Number of unsuccessful trades = 999,999
* Profit on successful trade = 1000000
* Loss on each unsuccessful trade = -1
* Net profit: $1
* Net profit/trade: $0.00001
- smabie 7y agoWell if we’re averaging, sure. But that’s not what the parent is talking about. Moreover, what you’re describing isn’t a HFT strategy, it’s an investment strategy.
- cheez 7y agoNo, that is how you think about high frequency trades. Lots of trades in a small amount of time, with a tiny positive expectancy.
- smabie 7y agohttps://www.reuters.com/article/2014/11/13/us-markets-virtu-idUSKCN0IX2N820141113 https://www.reuters.com/article/2014/11/13/us-markets-virtu-... So Virtu profits on 51-52% of its trades. The type of math you are describing does not make any sense. Unless Virtu is significantly different from every other HFT firm, your idea of high asymmetry of profit and losses is not true.
- cheez 7y agoI meant about how you make 0.00001 per trade is possible. I just didn't want to figure out the 50-51% of trades numbers.