2 ms·

It's kind of funny because, on the one hand, yes, you need to be fast and have clever hacks. On the other hand, your edge can be explained in very simple terms

by maest 3y ago

It's kind of funny because, on the one hand, yes, you need to be fast and have clever hacks. On the other hand, your edge can be explained in very simple terms: in the article, their edge comes from the fact that they had a closer colo than other market participants. ITG made money by front running customers[0], cheaper financing means you can arb an ETF more aggressively than the other guy etc. Like, there are straightforward mechanical reasons why you're making money. No amount of clever hacks can help you if you're at a structural speed, informational or cost disadvantage. [0]: https://www.reuters.com/article/us-securities-regulation-itg-idUSKCN0QH1Q020150812 https://www.reuters.com/article/us-securities-regulation-itg...

SkipperCat 3y ago
I've found that most of the HFT strategies are pretty simple. Its exercising a proven mathematical stat/arb condition in the market. The tricky part is finding it first and getting to execute on it first. However, there are plenty of firms that operate in the low frequency space. Long/short shops are typical for this type of trading. They don't care about order speed. They spend all their time trying to find inefficiencies or hidden correlations between financial instruments and profit from them. Low frequency tends to be highly research compute focused, while HFT is highly trade compute focused.
- aldanor 3y ago
  Here comes the tricky part: "finding it first" may imply you're have more and more false positives as you speed things up beyond crazy. And so, even if you have a "deterministic" model (and no, it's neither "pretty simple" nor "proven mathematical" most of time), it will get fuzzier and fuzzier. Also, HFT is execution-centric, indeed, but it doesn't mean you can't use complicated math models and all that, it's just much harder to do and is more of a computational challenge (which is part of what makes it fun). Source: hft quant

by maest 3y ago

SkipperCat 3y ago

I've found that most of the HFT strategies are pretty simple. Its exercising a proven mathematical stat/arb condition in the market. The tricky part is finding it first and getting to execute on it first. However, there are plenty of firms that operate in the low frequency space. Long/short shops are typical for this type of trading. They don't care about order speed. They spend all their time trying to find inefficiencies or hidden correlations between financial instruments and profit from them. Low frequency tends to be highly research compute focused, while HFT is highly trade compute focused.

aldanor 3y ago
Here comes the tricky part: "finding it first" may imply you're have more and more false positives as you speed things up beyond crazy. And so, even if you have a "deterministic" model (and no, it's neither "pretty simple" nor "proven mathematical" most of time), it will get fuzzier and fuzzier. Also, HFT is execution-centric, indeed, but it doesn't mean you can't use complicated math models and all that, it's just much harder to do and is more of a computational challenge (which is part of what makes it fun). Source: hft quant