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I worked in HFT for a while. I find the whole space fascinating. I'm glad OP found similar thrills. "This aspect, the platform itself, seems to be often overlo

I worked in HFT for a while. I find the whole space fascinating. I'm glad OP found similar thrills. "This aspect, the platform itself, seems to be often overlooked in most discussions. Many conversations revolve around strategies (mean reversion, trend following, linear regression, etc.), and backtesting, without fully addressing the practical mechanics or logistics of strategy implementation, particularly in the context of live, intraday trading." I'm glad you had fun, OP, but also I think I can shed some light on why most people discuss strategy. Trading is a perfect storm of ridiculously high tech, ridiculously complicated, ridiculously regulated (Not over-regulated, mind you, this isn't a value judgement. But the amount of regulation is extremely high.), and ridiculously competitive. But that said, it's the last bit that drives it all. Since it's so competitive, even though building an order entry system, and a risk system, and a position-tracking system, etc is a huge accomplishment (again, congrats OP!), it's table-stakes to even dip your toes in the pool here. Trading shops can attract top talent and robust, bespoke trading systems are basically cost of entry. So people talk about strategy because everyone already has the table-stakes stuff and are now trying to make money with it. It doesn't help, too, that lots of market participants aren't even playing the same game. In HFT, we operated on trades with alphas that lasted a few seconds, where races to entry/exit were battled in shaving nanoseconds off FPGAs being able to shoot out orders and microseconds off wireless networks flying market data around new jersey. Meanwhile, banks are more concerned with elections and geopolitics than they are about the weather in Carteret. (Rain = no microwave network for the day). And then there's a million strategies in the middle with alphas that last from hours to weeks. So it makes it really hard to even speak the same language to each other when talking in common forums. It's a fun world. I miss it sometimes.

_zkyx 3y ago
YES, 100%! I honestly, cannot agree more. I've read pretty much every book that I could get my hands on and no one talks about the platform. This makes so much sense. Thank you for your perspective. It seems like so much of this stuff is silod off into each company and no one is talking about it. HFTs are definitely playing a completely different game. I was reading about the exchange architectures and how things are actually wired. I'm getting my data from SIPs while HTFs are directly connected to the exchanges [1]. I'm transacting in seconds and they, like you said, are transacting in microseconds, so there is no comparison. Which, in a way is actually nice in that I'm not really competing with them. Or, maybe I am but I can still make some money. haha. Cheers and thanks for the awesome comment! [1] https://www.researchgate.net/figure/Latencies-in-the-Electronic-Communication-System-of-OSMs-in-Northern-New-Jersey-Measured_fig5_291418411 https://www.researchgate.net/figure/Latencies-in-the-Electro...
kasey_junk 3y ago
Not only are the platforms table stakes they are the more straightforward part to build. Even at the bleeding edge of latency you can usually work your way to the limits of your platform budget without having to find anything novel. The strategies though are where the discovery is. There are a few strategies that are well known and still profitable but those are largely consolidated to the biggest firms. For everything else it’s a discovery process. And done strategies are only profitable for very short regimes. I miss it sometimes too, but so much has been consolidated it’s largely a big firm world now.
- ye-olde-sysrq 3y ago
  "they are the more straightforward part to build" More straightforward, heh, sure. But still damnably complicated. Which just goes to show how much money and how much engineering talent is invested in this world that these things are so taken for granted.
  - ilyt 3y ago
    So many intelligent people applied for something that has no value whatsoever to humanity regardless of how you look at it.
    - allenrb 3y ago
      Essentially yes. When I worked in algo trading, it never bothered me that we were extracting profits from the markets, nor that we served little social good. It felt like a step up from where I’d been before (being told that we were making the world a better place, when every engineer knew otherwise.) At least we weren’t making things obviously worse. What did bother me, and was acknowledged by my coworkers, was how much top talent was being pulled away from productive tasks to essentially wank around. Not just technologists either, but all sorts of mathematicians and scientists were drawn to the flame. We as a society have managed to allocate so many of the “best and brightest” to either fintech wankery or placing ads in front of eyeballs. It’s enough to make one want to give up on capitalism, except that everything else appears to be worse.
wwilim 3y ago
Sample size one. Contracting for a trading shop for 2 years taught me that it's not technical aptitude that keeps the business rolling.
- blibble 3y ago
  however ineptitude very quickly brings the entire thing down
- mr_o47 3y ago
  If you don’t mind me asking how did you land a contract gig at trading company
skummetmaelk 3y ago
Seems more pointless than crypto to be honest.
- nvarsj 3y ago
  It's quite a statement. You're almost saying capitalism and efficient markets are pointless. Maybe they are, but I think it's nothing like crypto. In the old days before HFT, you weren't sure you'd get the best price. You'd have to rely on a broker to make sure that happens, but as a retail trader you generally got a worse price/out of date price. Nowadays with HFT you can get pretty much the best price anywhere. Those <1ms HFT traders make that happen. It's the efficient market hypothesis in effect, made possible by HFT. Now is it pointless to shave off even more ns in the all out war to grab a piece of the order flow? For retail and institutional investors, at a certain point, yes it's completely pointless. But it's also just pure capitalism at work. HFT firms compete against each other, and the competition is about speed to provide the best price and volume. If you try to regulate with something like enforced delays, then what do you compete on instead?
  - deleted 3y ago
    [deleted]
  - Ecoste 3y ago
    > You're almost saying capitalism and efficient markets are pointless. Capitalism necessitates efficient markets (and efficient markets necessitate HFTs) so any criticism of HFTs is a direct criticism of capitalism as well. I mean this isn't really a problem that's specific to HFTs -- there are just a lot of jobs that we can perceive as providing no value or even negative value (jobs that are possible specifically due to capitalism e.g. payday loans, 2008 style trading, certain scams or predatory practices etc.) I think we can all agree that this is a flaw, and we're not criticizing capitalism to replace it with something else, but rather just recognizing this as a problem. At the end of the day, a useless job is a useless job even if it exists solely because of capitalism.
  - semilattice 3y ago
    >You're almost saying capitalism and efficient markets are pointless. Maybe they are, but I think it's nothing like crypto. People are saying this because, HFT sounds similar to 'crypto mining'. That's people with best infrastructure, the 'big-guys' -- win. While leaving out the retail investors as broiler chicken, pumped with 'drugs' (by influencers) to spend more on imaginary assets, so that they can be used for 'food' by these 'big-guys'. There are different influencers for retail investors vs crypto. In retail investing there are promises of 'retirement paradise', actual tax deductions, the Jim Cramer-like people (at least what I heard in US) For crypto investing the influencer are different, the geography is wider. A promise to participate in markets if you do not live the country that has adopted US/UK-based financial services. - - - By the way, I think the markets will still have liquidity if there is a rule to wait, for say, 30 min before a stock that was just recently bought -- can be sold (unless by a clear fat finger mistake) This rule will cause the HFTs to stop existing in the current form.
mmasu 3y ago
There’s a very nice book about this subject called “Dark Pools”. I found it very enjoyable, you certainly seem to have the knowledge to enjoy it even more :-)
bryancoxwell 3y ago
Fascinating. Thanks for sharing.
anon-3988 3y ago
Is there a market for s much “slower HFT”. There’s a very wide gap between day traders and ns traders after all.
nurettin 3y ago
I'm in the medium frequency trading world. (calculate lots of market conditions, send at most a few orders a minute) I'd like to understand the HFT world a little better. Is it basically "do what MFT does, but faster", or is there any specific advantage like getting into an order queue with priority?

_zkyx 3y ago

YES, 100%! I honestly, cannot agree more. I've read pretty much every book that I could get my hands on and no one talks about the platform. This makes so much sense. Thank you for your perspective. It seems like so much of this stuff is silod off into each company and no one is talking about it. HFTs are definitely playing a completely different game. I was reading about the exchange architectures and how things are actually wired. I'm getting my data from SIPs while HTFs are directly connected to the exchanges [1]. I'm transacting in seconds and they, like you said, are transacting in microseconds, so there is no comparison. Which, in a way is actually nice in that I'm not really competing with them. Or, maybe I am but I can still make some money. haha. Cheers and thanks for the awesome comment! [1] https://www.researchgate.net/figure/Latencies-in-the-Electronic-Communication-System-of-OSMs-in-Northern-New-Jersey-Measured_fig5_291418411 https://www.researchgate.net/figure/Latencies-in-the-Electro...

kasey_junk 3y ago

Not only are the platforms table stakes they are the more straightforward part to build. Even at the bleeding edge of latency you can usually work your way to the limits of your platform budget without having to find anything novel. The strategies though are where the discovery is. There are a few strategies that are well known and still profitable but those are largely consolidated to the biggest firms. For everything else it’s a discovery process. And done strategies are only profitable for very short regimes. I miss it sometimes too, but so much has been consolidated it’s largely a big firm world now.

ye-olde-sysrq 3y ago
"they are the more straightforward part to build" More straightforward, heh, sure. But still damnably complicated. Which just goes to show how much money and how much engineering talent is invested in this world that these things are so taken for granted.
- ilyt 3y ago
  So many intelligent people applied for something that has no value whatsoever to humanity regardless of how you look at it.
  - allenrb 3y ago
    Essentially yes. When I worked in algo trading, it never bothered me that we were extracting profits from the markets, nor that we served little social good. It felt like a step up from where I’d been before (being told that we were making the world a better place, when every engineer knew otherwise.) At least we weren’t making things obviously worse. What did bother me, and was acknowledged by my coworkers, was how much top talent was being pulled away from productive tasks to essentially wank around. Not just technologists either, but all sorts of mathematicians and scientists were drawn to the flame. We as a society have managed to allocate so many of the “best and brightest” to either fintech wankery or placing ads in front of eyeballs. It’s enough to make one want to give up on capitalism, except that everything else appears to be worse.

wwilim 3y ago

Sample size one. Contracting for a trading shop for 2 years taught me that it's not technical aptitude that keeps the business rolling.

blibble 3y ago
however ineptitude very quickly brings the entire thing down
mr_o47 3y ago
If you don’t mind me asking how did you land a contract gig at trading company

skummetmaelk 3y ago

Seems more pointless than crypto to be honest.

nvarsj 3y ago
It's quite a statement. You're almost saying capitalism and efficient markets are pointless. Maybe they are, but I think it's nothing like crypto. In the old days before HFT, you weren't sure you'd get the best price. You'd have to rely on a broker to make sure that happens, but as a retail trader you generally got a worse price/out of date price. Nowadays with HFT you can get pretty much the best price anywhere. Those <1ms HFT traders make that happen. It's the efficient market hypothesis in effect, made possible by HFT. Now is it pointless to shave off even more ns in the all out war to grab a piece of the order flow? For retail and institutional investors, at a certain point, yes it's completely pointless. But it's also just pure capitalism at work. HFT firms compete against each other, and the competition is about speed to provide the best price and volume. If you try to regulate with something like enforced delays, then what do you compete on instead?
- deleted 3y ago
  [deleted]
- Ecoste 3y ago
  > You're almost saying capitalism and efficient markets are pointless. Capitalism necessitates efficient markets (and efficient markets necessitate HFTs) so any criticism of HFTs is a direct criticism of capitalism as well. I mean this isn't really a problem that's specific to HFTs -- there are just a lot of jobs that we can perceive as providing no value or even negative value (jobs that are possible specifically due to capitalism e.g. payday loans, 2008 style trading, certain scams or predatory practices etc.) I think we can all agree that this is a flaw, and we're not criticizing capitalism to replace it with something else, but rather just recognizing this as a problem. At the end of the day, a useless job is a useless job even if it exists solely because of capitalism.
- semilattice 3y ago
  >You're almost saying capitalism and efficient markets are pointless. Maybe they are, but I think it's nothing like crypto. People are saying this because, HFT sounds similar to 'crypto mining'. That's people with best infrastructure, the 'big-guys' -- win. While leaving out the retail investors as broiler chicken, pumped with 'drugs' (by influencers) to spend more on imaginary assets, so that they can be used for 'food' by these 'big-guys'. There are different influencers for retail investors vs crypto. In retail investing there are promises of 'retirement paradise', actual tax deductions, the Jim Cramer-like people (at least what I heard in US) For crypto investing the influencer are different, the geography is wider. A promise to participate in markets if you do not live the country that has adopted US/UK-based financial services. - - - By the way, I think the markets will still have liquidity if there is a rule to wait, for say, 30 min before a stock that was just recently bought -- can be sold (unless by a clear fat finger mistake) This rule will cause the HFTs to stop existing in the current form.

mmasu 3y ago

There’s a very nice book about this subject called “Dark Pools”. I found it very enjoyable, you certainly seem to have the knowledge to enjoy it even more :-)

bryancoxwell 3y ago

Fascinating. Thanks for sharing.

anon-3988 3y ago

Is there a market for s much “slower HFT”. There’s a very wide gap between day traders and ns traders after all.

nurettin 3y ago

I'm in the medium frequency trading world. (calculate lots of market conditions, send at most a few orders a minute) I'd like to understand the HFT world a little better. Is it basically "do what MFT does, but faster", or is there any specific advantage like getting into an order queue with priority?