Interesting practice project; I think the distinction between algorithmic trading and HFT is largely one of semantics. I think we just generally label the high

Interesting practice project; I think the distinction between algorithmic trading and HFT is largely one of semantics. I think we just generally label the higher latency, lower frequency strategies old fashioned 'stat-arb' -- this better connotes that the 'edge' from these trades is derived out of superior mathematical modeling and not better execution. I highly recommend decoupling the simulation/back-testing framework from your strategy work. Building a reasonable simulator is no small task -- market data is often NOT an accurate depiction of what is executable and there's a fair number of corrections/assumptions that must be made to reflect this. Either way, I've always liked PSO -- I highly recommend playing with DE (differential evolution) as well. I've used DE to tune parameters for many strategies with great success where SGD would have been, well, painful.