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HFT US Dollar Index
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HFT US Dollar Index

  #1 (permalink)
Senior Member
Fullerton, CA
 
Futures Experience: Intermediate
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Tundi's Avatar
 
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HFT US Dollar Index

I developed a poor man's HFT system that trades DX 24/7. I say poor man because I don't have access to the super fast severs nor the cash to take enough size and play for pennies. My understanding of HFT is an equities, not futures, based method anyway.

My system takes 85 trades a day with an average trade win of $8.25. I'm currently testing it in sim. It's fast and a gas to watch plotting trades on a chart at a pace that couldn't be traded manually. If I go live, I'll have to find a way to reduce the $4.02 round turn commission.

Is anyone here running a futures system that's always in the market? I'm interested in hearing your experiences.

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  #2 (permalink)
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Tundi View Post
I developed a poor man's HFT system that trades DX 24/7. I say poor man because I don't have access to the super fast severs nor the cash to take enough size and play for pennies. My understanding of HFT is an equities, not futures, based method anyway.

My system takes 85 trades a day with an average trade win of $8.25. I'm currently testing it in sim. It's fast and a gas to watch plotting trades on a chart at a pace that couldn't be traded manually. If I go live, I'll have to find a way to reduce the $4.02 round turn commission.

Is anyone here running a futures system that's always in the market? I'm interested in hearing your experiences.

You are competing with highly paid teams of quants from Goldman Sachs and large hedge funds. You probably don't have access to a server co-located at the exchange and you are paying retail commissions. The results that you have obtained with the SIM trader do in no way reflect real slippage that you will encounter.

Your only advantage is that you have lower fixed cost, which means that you do not need to trade all the time.

Your endeavour is comparable to climbing to the top of the Matterhorn in sandals. This is not impossible, but the odds are against you. Maybe I am too much of a pessimist, so you don't need to agree with me. Could well be that you have found the holy grail.

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  #3 (permalink)
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You could find an enogh cheap sever in Chicago on 1 ms from the CME exchange, for drop the latency.

Take your Pips, go out and Live.
Luke.
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  #4 (permalink)
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Luke and FT,

At this point, I'm focused on lowering my commissions if the sim results are promising. Any suggestions?

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  #5 (permalink)
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Try it on eur/ usd, thats like 50% of the index anyway. 85 trades a day on dollar index futures sounds... ambitious.

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  #6 (permalink)
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cpi65 View Post
Try it on eur/ usd, thats like 50% of the index anyway. 85 trades a day on dollar index futures sounds... ambitious.

Is it? I don't have any benchmark to measure it against. All I can say is this is what the algo has cranked out.

I did test on the Euro FX running 24/7. Results show 1 trade a day averaging +$98.00

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  #7 (permalink)
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Tundi View Post
Luke and FT,

At this point, I'm focused on lowering my commissions if the sim results are promising. Any suggestions?

If you are not a ICE/NYBOT member, you will have to pay exchange and regulatory fees, which amount to USD 2.72 per roundturn.

If you trade more than 3000 round turns per month (85 trades per day x 2 contracts x 20 days), you can find a broker who offers you something like USD 3.80 per round trip, which would include the above fees.

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  #8 (permalink)
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FT, thanks. I got a quote from Crossland at $4.02 all in RT but that isn't satisfactory. What broker will offer $3.80?

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  #9 (permalink)
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Back in the day I used to pay $30/mm (retail rates) through a respectable ECN. One trade a day on spot euro sounds like a better bet than 85 a day on a dollar index future.

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  #10 (permalink)
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cpi65 View Post
Back in the day I used to pay $30/mm (retail rates) through a respectable ECN. One trade a day on spot euro sounds like a better bet than 85 a day on a dollar index future.

I agree. It does sound better, but it's not anywhere near as profitable after costs. I'm not thrilled about about 85 trades a day, but there is a side of my brain telling me that is exactly what keeps traders away from a winning strategy--their thoughts, beliefs, and emotions. This is a contrary opinion strategy in that respect.

I developed this thing to circumvent all of the psychological challenges. I suck as a discretionary trader and I'm not afraid to confess it.

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