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High Frequency Trading!

  • #1
  • First Post: Edited Jun 22, 2009 3:03pm Jan 8, 2008 11:06pm | Edited Jun 22, 2009 3:03pm
I would like to start a thread for a HIGH FREQUENCY TRADING SYSTEM.

From what i found on google, this is the type of trading involved with ticks on the highest frequency, where trades last second to minutes.

On mql4.com i found two EAs that convert tick data into a database, SQL & FXT. I assume the tick database can be processed for entries and prediction of the next tick direction. The question is: what analysis must be done for prediction of the next tick.

I cannot seem to figure out the entry/exit, take profit, stop-loss for a high frequency system. What type of analysis is done on ticks to determine direction? Is this based on a neural network method?

Thanx...............................
  • #2
  • Jan 8, 2008 11:38pm Jan 8, 2008 11:38pm
Quoting c0d3
I would like to start a thread for a HIGH FREQUENCY TRADING SYSTEM.

From what i found on google, this is the type of trading involved with ticks on the highest frequency, where trades last second to minutes.

On mql4.com i found two EAs that convert tick data into a database, SQL & FXT. I assume the tick database can be processed for entries and prediction of the next tick direction. The question is: what analysis must be done for prediction of the next tick.

I cannot seem to figure out the entry/exit, take profit, stop-loss for a high frequency system. What type of analysis is done on ticks to determine direction? Is this based on a neural network method?

Thanx...............................
I guess your still a beginner.
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  • #3
  • Jan 8, 2008 11:55pm Jan 8, 2008 11:55pm
Quoting Oksana17
I guess your still a beginner.
What difference does this make? cOd3 is asking an excellent question here.
  • #4
  • Jan 9, 2008 12:05am Jan 9, 2008 12:05am
Quoting Oksana17
I guess your still a beginner.
Oksanachka!

Why are you hating? Are you that advanced already to drop your two pennies on any question.
  • #5
  • Jan 9, 2008 1:10am Jan 9, 2008 1:10am
HFT is kind of a hot topic at the moment, as such, I don't think anybodies going to be giving any secrets anyway, your kind of touching on the vast world of automation that lies beyond the MT4 sandbox. I suggest you pickup some books of Amazon on the subject and start reading, but I would be prepared because the stuff I have seen is pretty rough going on the Maths front.

You can often tell how new (or hot) a topic is by looking at the amount of publicly available research on a given topic, note the conspicuous absence on the subject of HFT.
The breaking of a wave cannot explain the whole sea.
  • #6
  • Jan 9, 2008 1:16am Jan 9, 2008 1:16am
Quoting Craig
HFT is kind of a hot topic at the moment, as such, I don't think anybodies going to be giving any secrets anyway, your kind of touching on the vast world of automation that lies beyond the MT4 sandbox. I suggest you pickup some books of Amazon on the subject and start reading, but I would be prepared because the stuff I have seen is pretty rough going on the Maths front.

You can often tell how new (or hot) a topic is by looking at the amount of publicly available research on a given topic, note the conspicuous absence on the subject of HFT.
Excellent point!

In terms of complexity, this is what i have found for matlab and high frequency trading and what the top dogs are doing. Check this webinar for Algorithmic Trading with Matlab for Financial Applications. Really good information, heavy on everything i know so far.



http://www.mathworks.com/cmspro/webconf15645.html
  • #7
  • Jan 9, 2008 1:25am Jan 9, 2008 1:25am
This is a fantastic link.... I can stay on it for hours. Now we are seriously talking!
  • #8
  • Jan 9, 2008 1:29am Jan 9, 2008 1:29am
Quoting WHTenn
This is a fantastic link.... I can stay on it for hours. Now we are seriously talking!
Yes, it is very complex! I agree, and boi ohh boi, i'm downloading all the functions for spatial econometrics, well i downloaded them already, i have to read how to start using all this info. The webinar is amazing, watching for the 3rd time.


There is just to much, it never ends......The learning i mean.

I think the reason why no-one really talks about this is because it is so complex, the webinar proves it, if you are not into heavy analysis, explaining this to a monkey is impossible...........
  • #9
  • Jan 9, 2008 1:34am Jan 9, 2008 1:34am
I found this:

http://www.ebs.com/pdf/HighFrequency...ingFXandMM.pdf
  • #10
  • Jan 9, 2008 1:34am Jan 9, 2008 1:34am
Here is link to the classical pairs trading model implemented for Matlab. I believe this is co-integration and it is applicable for High Frequency Trading. Check it out if you have Matlab.


http://www.mathworks.com/matlabcentr...bjectType=file
  • #11
  • Jan 9, 2008 1:36am Jan 9, 2008 1:36am
hey, there is no need to use so complex instruments. The key has always been simplicity and full understanding of what you are doing.

However, the link is interesting. Thanx for sharing
  • #12
  • Jan 9, 2008 1:49am Jan 9, 2008 1:49am
Here is the link to download the toolbox for spatial econometrics research that is used in that Matlab Algorithmic Trading webinar. This toolbox is for Matlab.



http://ideas.repec.org/c/boc/bocode/t961401.html
  • #13
  • Jan 9, 2008 1:57am Jan 9, 2008 1:57am
This sounds interesting.

http://www.progress.com/apama/produc...sp?ref=hpflash

I am a firm believer in automated trading. The only way I can fathom not having heard of something like the above is that I'm not in the "institutional circuit" if you will. Thanks for the post. Let's see what else we can dig up for the "little man"
  • #14
  • Jan 9, 2008 2:03am Jan 9, 2008 2:03am
Quoting Pip Hunter E
This sounds interesting.

http://www.progress.com/apama/produc...sp?ref=hpflash

I am a firm believer in automated trading. The only way I can fathom not having heard of something like the above is that I'm not in the "institutional circuit" if you will. Thanks for the post. Let's see what else we can dig up for the "little man"
That systems is very similar to Simulink that comes with Matlab, i'm not sure of the cost associated with using such system. It also looks very similar to StreamBase. StreamBase is very expensive to use, i have Matlab to mess around with, thank god!


Yes, lets keep digging and find the hidden...........
  • #15
  • Jan 9, 2008 2:37am Jan 9, 2008 2:37am
I watched the MATLAB link, MATLAB looks like an awesome research tool, but those MA/RSI models were just curve fits, you can do that type of optimization in MT4.
The breaking of a wave cannot explain the whole sea.
  • #16
  • Jan 9, 2008 2:42am Jan 9, 2008 2:42am
Quoting Craig
I watched the MATLAB link, MATLAB looks like an awesome research tool, but those MA/RSI models were just curve fits, you can do that type of optimization in MT4.
What about finding the best sharpie ratio? And with MT4 you can't distribute your processes. The guy said that the MA/RSI sharpe ratio was computed on different frequencies, which later he generated a ISO surface in 3D, where the RED area was the desired sharpe ratio, so using the RED area combinations for MA/RSI will give best results in your returns. I"m not sure if MT4 can do that, but if you develop these functions in matlab, all of these functions can be accesed by MT4, when you deploy your code.
  • #17
  • Jan 9, 2008 2:44am Jan 9, 2008 2:44am
Another interesting webinar, related to hedging and High Frequency Trading.


http://www.mathworks.com/webex/recor...cy_081106.html
  • #18
  • Jan 9, 2008 2:56am Jan 9, 2008 2:56am
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

Am I missing anything?

On #1, this is nothing new. Yes there have been advances, but this is always the case as tech improves. #2 goes somewhat along with the tech improvements I think. The more data you can crunch, the more you can do. With trading, or whatever computational task you are working on. #3 doesn't seem new at all to me. Though even at FF you'll find a million people saying you can't possibly trade on anything less than a 15 minute periodicity. That of course, isn't true. For #4, it seems that everyone is selling canned algorithms these days TBH.

So at the risk of sounding overly cynical, is it possible that the trading community at-large is just now waking up to automation, tick level data, and whatnot? That HFT, with the possible exception of mass numbers of simultaneous trading of diverse instruments, is only a buzz word for what us smart traders have already known? lol
  • #19
  • Jan 27, 2008 12:37am Jan 27, 2008 12:37am
I'm going to give this a bump. I'm interested to know if folks have any thoughts on HFT.
  • #20
  • Jan 27, 2008 1:42am Jan 27, 2008 1:42am
Quoting Pip Hunter E
I'm going to give this a bump. I'm interested to know if folks have any thoughts on HFT.
We are getting some HFT traders funded by our group. Succeeding in HFT is not just about running a certain model; it's also about knowing how to minimize the chances of getting screwed by the banks. The guys that are really making this work know how to add code to their systems to take care of this. As someone mentioned earlier, most that are getting this stuff to work are hush-hush about it.
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