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Unfiltered data feeds and HFT, detecting algos with orderflow?
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Unfiltered data feeds and HFT, detecting algos with orderflow?

  #11 (permalink)
Trading Apprentice
New York, NY USA
 
Futures Experience: Advanced
Platform: R-Trader
Favorite Futures: Currency - EUR
 
Posts: 11 since Mar 2012
Thanks: 4 given, 6 received


cashinvestor View Post
yes, I am a programmer by trade. Even though I've been a software engineer for 30 years, I've been out of the loop as a full time programmer. So there are a lot of technologies that I don't know. I've only been coding on ninja for a short time. But I like C# as a language and it has career enhancing properties.

From my research, I know that most of the HFT programs are running as C++ under Linux on big PC-based hardware hanging off the exchange. This is the fastest it can get.

The London Exchange tried going to a Microsoft infrastructure and it died. They had to scrap it and go to a Linux based structure.

So writing C#/.Net/Windows over the open internet is not a good formula for fast transations. But that's not what we are doing anyway.

I'm also looking into what protocols the HFT's are using, like FIX. This is supported by the CME and many vendors use it. But I'm thinking that to go that route, you have to write a custom C++ app for talking to the exchange directly and not using any visual charts, etc.

There is an open source java-based framework that does a similar thing. No graphics, just algorithms and order management.

Right now I'd just like to experiment with what ninja can do at the bid/ask level and see how far that can go. One interesting example is the indicator that plots the speed of order flow. I can't remember what it's called, but it is freeware. When orders pick up speed, he displays the bars in a different color and I think there is an audio alert.

I would like to do something like measure the orders based on whether they are at the bid or at the ask. This should give indication as to where the transaction flow might be headed.

That sounds cool and all, but you still got to beat the big algos to the market. i am in new york, where trader are everywhere, real big algo traders - sorry California and no one is ever talking about what the programs are doing...it is how can i be faster than the other algos. this is not a traders market any more...it is a technology race

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  #12 (permalink)
Banned: Duplicate users/proxy servers
Australia
 
Futures Experience: None
Platform: Paper
Broker/Data: Mirus/Zen
Favorite Futures: TF
 
Posts: 48 since Feb 2011
Thanks: 34 given, 32 received


Lornz View Post
Are you a programmer by trade? I became increasingly frustrated with the limitations of all the platforms I've used, I finally decided to take some CS classes this year. It seems that nearly all of my ideas require custom programming not supported by retail platforms, and I am tired of doing things semi-manually in Excel.

Have you heard about TradeLink? (google for tradelink googlecode, I'm not allowed to post liks here yet) I think you may find it useful

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  #13 (permalink)
Membership Revoked
Oslo, Norway
 
Futures Experience: Advanced
Platform: CQG, Excel
Favorite Futures: CL
 
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Posts: 1,198 since Apr 2010
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Bogan View Post
Have you heard about TradeLink? (google for tradelink googlecode, I'm not allowed to post liks here yet) I think you may find it useful

Seeing as you are from Australia, did you mean this?

Tradelink: The Bathroom Specialist for Australia's leading brands of Bathroom and Plumbing Supplies

My systems might be bad enough to flush down the drain, but I'm still deeply offended!

Or were you perhaps referring to this?

tradelink - 100% open source since 2008... 20,000+ installs across 10+ countries. - Google Project Hosting

I've actually heard of TradeLink, but I've never actually tried it. I've always been terrified of programming, but recently I've found that it's not that hard after all. All I needed was to learn LISP first. I'll give TradeLink a try. I also found another open-source platform called Marketcetera a while back. Do you have any experience with that compared to TL?

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  #14 (permalink)
Banned: Duplicate users/proxy servers
Australia
 
Futures Experience: None
Platform: Paper
Broker/Data: Mirus/Zen
Favorite Futures: TF
 
Posts: 48 since Feb 2011
Thanks: 34 given, 32 received


Lornz View Post
I also found another open-source platform called Marketcetera a while back. Do you have any experience with that compared to TL?

No and I don't have any experience with Tradelink either, just stumbled upon it a while back and thought it was worth noting. And I can see it now supports more data providers compared to a bit over a year ago when I first found it.

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  #15 (permalink)
Trading Apprentice
San Francisco, CA
 
Futures Experience: Advanced
Platform: inhouse
Favorite Futures: equities
 
lookOutBelow's Avatar
 
Posts: 40 since Sep 2010
Thanks: 5 given, 19 received

First of all. Saying that HFT is front running isn't exactly how I'd describe them. That is usually the claim by traders who can't trade and need an excuse for their short comings.

As far as this Barbara character, I don't know how anyone could watch order flow and detect when HFTs are running or not. HFTers are going around the clock on any stock with volume.






cashinvestor View Post
I recently attended a webinar for Shadow Traders. The CIO, Barbara, says that she is primarily a programmer, not from a trading background. And since she has coded for some trading houses has inside knowledge of HFT structure and behavior. Also that trading is no longer a technical analysis game, but a programming game. I can attest that writing strategies using standard TA tools (like stochastics and macd) are very hard to make profitable. It seems like more time is spent trying to stay out of bad trades than getting into good trades.

I'm also a programmer and know where she is coming from. I'm not a Wall Street coder, but I am doing a lot of study about it. Goldman makes $50M a day front running stock quotes. The Quants are PhD physicists, mathematicians, statisticians, etc. They are coding up some nasty looking math equations. But their algorithms work best when the market is acting nice. As soon as things get wonky, their models don't apply any more.

I'd like to hear from any experienced coders from Wall Street. Is it true that the HFT robots can be detected by watching the order flow database? I googled "order flow database" and only got back a single page of hits, most of the references being on people's resumes. Can Shadow Traders really detect when the HFT engines start trading, or is increased volume activity just the outside behavior and they are attributing it to HFT.

I know that an unfiltered data feed is better overall, but is it really a make-or-break scenario? Tradestation has a lot of customers trading every day. Can they really be all losers because they aren't getting rocket speed unfiltered data?

Is watching the order flow database in this fashion only good for scalping? If I want to catch 60 ticks and stop for the day, do I really care if the HFT's are running the market around. I'm looking for setups and building stop movements around the bigger move.

I don't have enough inside knowledge and experience to validate what Barbara is saying. Does anybody here?

Thanks.


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  #16 (permalink)
Trading Apprentice
San Francisco, CA
 
Futures Experience: Advanced
Platform: inhouse
Favorite Futures: equities
 
lookOutBelow's Avatar
 
Posts: 40 since Sep 2010
Thanks: 5 given, 19 received


Lornz View Post
I've actually heard of TradeLink, but I've never actually tried it. I've always been terrified of programming, but recently I've found that it's not that hard after all. All I needed was to learn LISP first. I'll give TradeLink a try. I also found another open-source platform called Marketcetera a while back. Do you have any experience with that compared to TL?


Marketcetera = probably the best open source platform for HFT. user community sucks. Have to pay large sums of money for support.

Tradelink = viable. Decent user community. Not a fan of the guy or how he runs the open source project.

Algotrader = Another open source platform worth looking into.

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  #17 (permalink)
Trading Apprentice
San Francisco, CA
 
Futures Experience: Advanced
Platform: inhouse
Favorite Futures: equities
 
lookOutBelow's Avatar
 
Posts: 40 since Sep 2010
Thanks: 5 given, 19 received


MooneyNYG View Post
That sounds cool and all, but you still got to beat the big algos to the market. i am in new york, where trader are everywhere, real big algo traders - sorry California and no one is ever talking about what the programs are doing...it is how can i be faster than the other algos. this is not a traders market any more...it is a technology race

There are different ways to do HFT. There is the race to the trade types. Where you have to be the fastest. Losing proposition for just about everyone unless you are one of the big boys. Then there are strategies that can be executed by an individual or small team that don't rely on being the fastest. It takes creativity and a simple edge.

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  #18 (permalink)
Market Wizard
Houston, Texas
 
Futures Experience: Advanced
Platform: NinjaTrader; BloodHound
Broker/Data: NinjaTrader Brokerage, Kinetick, Rithmic
Favorite Futures: ES, CL, 6E, UB, 6J, 6B, ZS
 
Posts: 921 since Oct 2012
Thanks: 672 given, 877 received


lookOutBelow View Post
There are different ways to do HFT. There is the race to the trade types. Where you have to be the fastest. Losing proposition for just about everyone unless you are one of the big boys. Then there are strategies that can be executed by an individual or small team that don't rely on being the fastest. It takes creativity and a simple edge.

Finding momentum is not the problem. It is trade management I am learning.

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