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Max Dama used to have a blog. Don't know if it's still up or archived anywhere. The main aspects are: On the trading side, HFT is mainly about what's called "
by yding 3y ago
Max Dama used to have a blog. Don't know if it's still up or archived anywhere.
The main aspects are:
On the trading side, HFT is mainly about what's called "market microstructure." These are relatively simple things that are quirks or features of individual markets. Things that most people don't care about, but can make a large difference in HFT profits include when an order comes in, who gets to trade with it first? How are orders routed between different exchanges? What are the popular types of algorithms that people who place large orders use?
On the tech side:
The main is minimizing tick to trade latency. This includes using techniques as basic as colocation at the exchange's (very expensive) data centers and as involved as designing custom ASICs and anything in between like bypassing the normal network stack.
Unfortunately the real state of the art things are all closely held trade secrets, but I'd start reading the exchange data specs to start getting an understanding of the microstructure side, and you can build some of your own experiments to see how quickly you can go from tick to trade. Can you get it sub 1ms? sub 100 us? 10us?
- fnordpiglet 3y agoAs of my involvement in high end HFT firms a few years ago no one was yet doing ASICS and the state of the art was FPGA. I would say people have a mythology about HFT that’s both deserved and overblown. They tend to be very sophisticated in many ways, but also surprisingly immature. Likely because they’re so private and insular, and grew up very non traditionally. They’re often also long term participants so their stacks are fairly aged at this point. Most of their advantage is the barrier to entry is high.
- boshalfoshal 3y agoI know of a few places actively looking into ASICs/hiring xilinx/intel/amd hw engineers to work on them, but from what I can tell the majority just use FPGAs.
- sgt 3y agoSo if you can't colocate with the exchange, it's pretty much futile?
- tikkabhuna 3y agoExchange collocation is pretty much table stakes.