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High Frequency Trading EA 8 replies

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High Frequency Trading 9 replies

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High Frequency Trading!

I suppose avoiding getting screwed by banks is always good to shoot for lol. Are you meaning something more specific?
Quoting Pip Hunter E
I suppose avoiding getting screwed by banks is always good to shoot for lol. Are you meaning something more specific?
It's not so much getting screwed (which happens royally at the retail level); it's avoiding getting shut down or "blacklisted" if you're detected.
Virtually (if not entirely) all ECN clearing is anonmyous. How could you be blacklisted?
Quoting Pip Hunter E
Virtually (if not entirely) all ECN clearing is anonmyous. How could you be blacklisted?
"ECN clearing?" It sure sounds good, doesn't it? - Only if it was true!

Despite what the firms (institutional or retail) out there are claiming, banks are calling the shots. They decide who trades with them and who doesn't. There's no such thing as a completely anonymous FX ECN out there. Believe it or not.
lolz ok bud, I'm going to go with "not". I see the L2 and my name isn't there.
Quoting Pip Hunter E
lolz ok bud, I'm going to go with "not". I see the L2 and my name isn't there.
Timber!!!
Quoting dominicanosrus
Timber!!!
Was that the sound of an axe crashing through your favorite deal desk? heh.
Quoting Pip Hunter E
Was that the sound of an axe crashing through your favorite deal desk? heh.
Nah; deal desks are for chumps. Aggregation is the name of the game!
  •  TrevA
  • | Joined Oct 2007 | Status: my brain has a mind of its own | 166 Posts
Quoting Pip Hunter E
From my brief research into HFT this evening, it would seem it encompasses 4 things:

1. Automated trading
2. High number of varying instruments traded simultaneously
3. Tick-level data analysis
4. Possibly some proprietary modeling algorithms
I'm really interested in this field of study too and have been trying to track down tick data for some currency pairs...

Does anybody know where it can be sourced?

Thanks.
Quoting TrevA
I'm really interested in this field of study too and have been trying to track down tick data for some currency pairs...

Does anybody know where it can be sourced?

Thanks.
Great question. Unfortunately, quality tick data is not easy to come by (and usually has to be collected via API). We've collected data from the CAX since it was made available to us via API for some of our high frequency systems. I also have a DVD with around 6 months of data from last year for BGC's Currenex. We used that to run a lot of our initial tests. Currenex charges you for their tick data. I'm assuming other institutional portals do to. Talk to the one you plan on using for your trades and ask them if they make tick data available. You should test all systems with the broker or liquidity source that you plan to tap into to run your systems.
Quoting Oksana17
I guess your still a beginner.
That should be "I guess you are still a beginner" or "I guess you're still a beginner"
Quoting Lukester
That should be "I guess you are still a beginner" or "I guess you're still a beginner"
Oh, no; here we go! Spelling bee!
Quoting TrevA
I'm really interested in this field of study too and have been trying to track down tick data for some currency pairs...

Does anybody know where it can be sourced?

Thanks.
Hey buddy. Don't mind Dom. While being very excitable, he also seems a lil low on the old "I-have-any-idea-what-I'm-talking-about-ometer".

eSignal has contributer-specific tick data for all contributors 10 days back. They roll this off, so it's best to start collectin' as soon as possible if eSig would meet your needs. They allege they are expanding this some time this year... they have more data than that, just not letting it out. They seem to be citing infrastructure issues.
Quoting Pip Hunter E
Hey buddy. Don't mind Dom. While being very excitable, he also seems a lil low on the old "I-have-any-idea-what-I'm-talking-about-ometer".

eSignal has contributer-specific tick data for all contributors 10 days back. They roll this off, so it's best to start collectin' as soon as possible if eSig would meet your needs. They allege they are expanding this some time this year... they have more data than that, just not letting it out. They seem to be citing infrastructure issues.
True that eSignals has tick data available, but if you're back testing / forward testing a high frequency system using data that you're not really going to use to trade, you're asking for trouble. I work with guys who do this for a living (designing, running and licensing high frequency models) and they'll laugh at your idea (we are setting up a few of those guys at the CAX as we speak). Although a trader might be able to use eSignal data to test some systems, the robust way to do this is to use the ticks from the actual source that you'll be trading on. Even when you use the actual tradable data source, most high frequency systems don't work nearly as well as they do during testing because they are so execution dependent. Even when you collocate a server in the same datacenter as the execution server (as is normally done), the latency in the bank's "reaction time" can completely throw everything off.

Whether you want to believe any of this or not is your problem; but please ask around before you embarass yourself with your comments.
  • Post #35
  • Quote
  • Edited at 9:54am Jan 30, 2008 9:52am | Edited at 9:54am
Hi Dom. eSignal has scores of banks and broker-specific contributors. You simply don't know what you are talking about:

http://kb.esignalcentral.com/article...ticle=3108&p=1

Cheers.
Quoting Pip Hunter E
Hi Dom. eSignal has scores of banks and broker-specific contributors. You simply don't know what you are talking about:

http://kb.esignalcentral.com/article...ticle=3108&p=1

Cheers.
It doesn't matter. Just because they show a bank on the list, it doesn't mean that everyone that trades with that bank in one capacity or another has access to the same prices. Banks do whatever the hell they want. That's why it's so important to collect the data yourself from the aggregated pool you'll be using to trade. Hedge funds, prop shops, and professional traders successfully running high frequency models aggregate their own bank lines or portals directly and they collect tick data that's relevant to their systems. They don't use eSignal to do it. There's a difference between what successful HF systems traders do and what people who never have traded high frequency systems [or are thinking about trading them] think is logical to do. I don't even know you and you obviously don't know me - but ask around if you wish smarty pants.
There are some discussion in High Frequency trading group on LinkedIn about new book "High-Frequency Trading" by Irene Aldridge.
Books will be available about December - one could pre-order it from Amazon.

Irene wrote about it:

"First, let me note that the book is a comprehensive guide to high-frequency (HF) trading, with thorough academic and industry references provided throughout for further reading. In the first few chapters, the book details the business case and the motivation for high-frequency trading in lay terms suitable for senior management considering entering the HF space, or an investor deciding whether the strategies are suitable for him. (The first part of the book also includes a chapter on strategy performance analysis).

The high-frequency strategies themselves are discussed in the next part in much quantitative details. The strategies discussed include:
1. Inventory microstructure strategies;

2. Information microstructure strategies;

3. HF event arbitrage; and

4. High-frequency stat-arb.

The strategies cover all asset classes. Specific examples are included. A chapter on high-frequency portfolio management with algo optimization methods is included as well.

The last part of the book covers the steps and analysis required in back-testing, implementation, risk management, optimal (best-price) execution and monitoring of high-frequency systems.

While the statistics and econometrics necessary to understand the high-frequency strategies are discussed in the book, a reader may feel that he needs to keep an auxiliary econometrics manual handy.
..."


Regards,

Andrew
I signed up for her daily newsletter at Able Markets and I was far from being impressed...

But it's gonna be interesting to take a look at the book. As already noted in this thread, books on high frequency trading are not exactly floating around in the book stores.

...and she is also good looking
I always assumed that HFT was beyond the realms of the typical retail trader. Because of latency and execution being so important, you need a technical edge as well as a strategic one, and to maintain that edge I'm guessing would require some serious and continual investment.

I'm guessing noone here's HFT, or if they are, they'll not be interested in telling me if they're successful. But interested to hear if anyone thinks I'm being unduly pessimistic about its potential
Interesting thread that I missed the first time around.

I'm glad it got bumped up to the surface.

While I think that it still just barely applies to me - I'm gonna
study the topic some for possible future use.

Like Dylan said: "The times they are a changin'."
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