Sure: 1. Data set - order book of your chosen stock exchange. Events being streamed in at rates up to 1Gb/s [1]. This is the entire set of actions affecting t

Sure: 1. Data set - order book of your chosen stock exchange. Events being streamed in at rates up to 1Gb/s [1]. This is the entire set of actions affecting the order book - bids, offers, cancellations, adjustments, etc. - it's huge. If you want to get fancy - most do - you would typically pull in several of these feeds (or subscribe to a consolidated feed) containing several exchanges, and look to arb any price/book inefficiencies. 2. Actions - given the changes to the order book, figure out how you need to change your positioning to make money. Time is everything here - steps here are counted in tenths of milliseconds, and overall response times in low ms. HFT firms even try to minimise cable lengths within the colocated datacentres to shave the time to response down even further. 3. Effectiveness - if you didn't blow up, and if so, if you made money - typically you'd examine intraday PnL volatility, returns, etc. and assess yourself on those and other metrics.