6 ms·

If anyone has questions for me happy to answer as best I can.

fr0sty 14y ago
Wouldn't the term "Statistical Arbitrage" be a more apt description of what you were doing? If you are relying on a broker-supplied pricefeed over the internet you are far outside the real of what is traditionally understood as "High Frequency Trading".
- jspaulding 14y ago
  It wasn't anything over the internet. I had a server rented at my broker who were situated close to the exchanges in Chicago and had direct lines. For sure I was not the fastest but only behind by a couple milliseconds perhaps.
  - mej10 14y ago
    How much does that cost?
  - fr0sty 14y ago
    Ok, that wasn't clear to me. You talked about programming hotkeys (and then automating the hotkeys) so I assumed this was running on your desktop.
    - jspaulding 14y ago
      oh right.. well in the very beginning it was.
kamaal 14y ago
Do you know of any resources/books to learn trading/HFT in general?
jcromartie 14y ago
I have one question: Why doesn't every hacker do this to make extra money? Is it within the grasp of anybody who can program to automate trading like this? EDIT: Sounds like it's not really for everybody. You have to own or rent a server with access to direct lines to the exchanges, or else your lag will be such that profiting from HFT is impossible. How much do these cost?
- amalag 14y ago
  I tried at one point to do it with Ninjatrader. The programming skills for the trading software is not complicated. What is complicated is tweaking it so it will make money, there are tons of indicators out there and many people have tried this with neural networks and the like. A lot of effort is put into it. I personally thought there were smarter people than me who barely had an edge. I honestly didn't think it was within the grasp of a single programmer nowadays, but this author has proved me wrong. He of course has much more sophisticated algorithms than what I was attempting.
- jetti 14y ago
  "Why doesn't every hacker do this to make extra money? Is it within the grasp of anybody who can program to automate trading like this?" I have flirted with HFT in a hobby-like manner and it isn't the programming that will get you the money, it is the domain specific knowledge coupled with the programming. On top of that, there are quite a few risks and potential to lose a lot of money.
- beagle3 14y ago
  > You have to own or rent a server with access to direct lines to the exchanges, or else your lag will be such that profiting from HFT is impossible. A profitable predictor is a much, much harder problem. At a place like Goldman Sachs, a quant with a working predictor gets paid 5 times as much as the IT guy who makes that predictor talk to the market quickly enough. Because, as your question implies, it is (relatively) easy to do the IT work or hire someone to do it. Not so for the predictors.
  - otakucode 14y ago
dude_abides 14y ago
Thanks for the post. Is this the software you used? http://www.ctsfutures.com/t4.aspx http://www.ctsfutures.com/t4.aspx Would be even more awesome if you could share some code on github.
- jspaulding 14y ago
  Yes, however, I forgot to mention that pretty early on I converted my program to use an API from https://www.tradingtechnologies.com https://www.tradingtechnologies.com. It's odd, but I can't remember exactly why. I think it was simply because I found a broker who could offer me a lower commission rate and they only supported TT. With regard to posting code yes I may do that. We'll see.
  - briancurtin 14y ago
    XTAPI, or did you write something to talk to a FIX gateway? (former TT employee)
    - jspaulding 14y ago
      I'm pretty sure it was XTAPI. Is that the simpler one? I used the simpler one. Whatever the case.. the code that dealt with the API was trivial compared to the rest of my program. So good work!
  - kami8845 14y ago
    >With regard to posting code yes I may do that. We'll see. What does it depend on?
    - briancurtin 14y ago
      If I was correct in guessing that he used XTAPI (via X_TRADER Pro), IIRC that costs around $1k/mo depending on who you go through for the front end license. I was only a developer so I'm not sure what licensing costs are for gateways, but those are the servers you connect to in order to place orders on the exchanges. He was trading the Russel on ICE, and DAX on Xetra (maybe Eurex?), so he would have needed two gateways. If he posts the code, you're a long way from running it.
mej10 14y ago
Do you think you got lucky or that your skill as a trader made you this money? Or rather, which of these do you think mattered most?
- jspaulding 14y ago
  1) Being connected to friends who taught me a scalping style of day trading 2) Being really good at designing algorithms. 3) I only wish I could have started automated trading back in 2001
retube 14y ago
why do you think your technique stopped working over time?
psionic_ 14y ago
I wonder if running your program nowadays can have same successful results as two years ago.. anyone is going to try? :)
mgl 14y ago
How do (did) you cope with increased stress level? Trading futures, especially in a an automated way, can easily drain your margin unless the algorithm is really well tested for edge cases.
- jspaulding 14y ago
  My automated program was much less stressful than trading manually. The best was going to Hawaii, waking up, and having the entire day done. I was making like 6k every day on that vacation. The best!! :)

Wouldn't the term "Statistical Arbitrage" be a more apt description of what you were doing? If you are relying on a broker-supplied pricefeed over the internet you are far outside the real of what is traditionally understood as "High Frequency Trading".

jspaulding 14y ago
It wasn't anything over the internet. I had a server rented at my broker who were situated close to the exchanges in Chicago and had direct lines. For sure I was not the fastest but only behind by a couple milliseconds perhaps.
- mej10 14y ago
  How much does that cost?
- fr0sty 14y ago
  Ok, that wasn't clear to me. You talked about programming hotkeys (and then automating the hotkeys) so I assumed this was running on your desktop.
  - jspaulding 14y ago
    oh right.. well in the very beginning it was.

kamaal 14y ago

Do you know of any resources/books to learn trading/HFT in general?

jcromartie 14y ago

I have one question: Why doesn't every hacker do this to make extra money? Is it within the grasp of anybody who can program to automate trading like this? EDIT: Sounds like it's not really for everybody. You have to own or rent a server with access to direct lines to the exchanges, or else your lag will be such that profiting from HFT is impossible. How much do these cost?

amalag 14y ago
I tried at one point to do it with Ninjatrader. The programming skills for the trading software is not complicated. What is complicated is tweaking it so it will make money, there are tons of indicators out there and many people have tried this with neural networks and the like. A lot of effort is put into it. I personally thought there were smarter people than me who barely had an edge. I honestly didn't think it was within the grasp of a single programmer nowadays, but this author has proved me wrong. He of course has much more sophisticated algorithms than what I was attempting.
jetti 14y ago
"Why doesn't every hacker do this to make extra money? Is it within the grasp of anybody who can program to automate trading like this?" I have flirted with HFT in a hobby-like manner and it isn't the programming that will get you the money, it is the domain specific knowledge coupled with the programming. On top of that, there are quite a few risks and potential to lose a lot of money.
beagle3 14y ago
> You have to own or rent a server with access to direct lines to the exchanges, or else your lag will be such that profiting from HFT is impossible. A profitable predictor is a much, much harder problem. At a place like Goldman Sachs, a quant with a working predictor gets paid 5 times as much as the IT guy who makes that predictor talk to the market quickly enough. Because, as your question implies, it is (relatively) easy to do the IT work or hire someone to do it. Not so for the predictors.
- otakucode 14y ago

dude_abides 14y ago

Thanks for the post. Is this the software you used? http://www.ctsfutures.com/t4.aspx http://www.ctsfutures.com/t4.aspx Would be even more awesome if you could share some code on github.

jspaulding 14y ago
Yes, however, I forgot to mention that pretty early on I converted my program to use an API from https://www.tradingtechnologies.com https://www.tradingtechnologies.com. It's odd, but I can't remember exactly why. I think it was simply because I found a broker who could offer me a lower commission rate and they only supported TT. With regard to posting code yes I may do that. We'll see.
- briancurtin 14y ago
  XTAPI, or did you write something to talk to a FIX gateway? (former TT employee)
  - jspaulding 14y ago
    I'm pretty sure it was XTAPI. Is that the simpler one? I used the simpler one. Whatever the case.. the code that dealt with the API was trivial compared to the rest of my program. So good work!
- kami8845 14y ago
  >With regard to posting code yes I may do that. We'll see. What does it depend on?
  - briancurtin 14y ago
    If I was correct in guessing that he used XTAPI (via X_TRADER Pro), IIRC that costs around $1k/mo depending on who you go through for the front end license. I was only a developer so I'm not sure what licensing costs are for gateways, but those are the servers you connect to in order to place orders on the exchanges. He was trading the Russel on ICE, and DAX on Xetra (maybe Eurex?), so he would have needed two gateways. If he posts the code, you're a long way from running it.

mej10 14y ago

Do you think you got lucky or that your skill as a trader made you this money? Or rather, which of these do you think mattered most?

jspaulding 14y ago
1) Being connected to friends who taught me a scalping style of day trading 2) Being really good at designing algorithms. 3) I only wish I could have started automated trading back in 2001

retube 14y ago

why do you think your technique stopped working over time?

psionic_ 14y ago

I wonder if running your program nowadays can have same successful results as two years ago.. anyone is going to try? :)

mgl 14y ago

How do (did) you cope with increased stress level? Trading futures, especially in a an automated way, can easily drain your margin unless the algorithm is really well tested for edge cases.

jspaulding 14y ago
My automated program was much less stressful than trading manually. The best was going to Hawaii, waking up, and having the entire day done. I was making like 6k every day on that vacation. The best!! :)