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Ask me anything about hedge funds and HFT
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Created: by artemiso Attachments:3

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Ask me anything about hedge funds and HFT

  #21 (permalink)
Market Wizard
Cleveland Ohio/United States
 
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What is the most important thing for HFTs? Absolute dollars? Risk adjusted return? Percent Return? Something Else?

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #22 (permalink)
Elite Member
Manchester, NH
 
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kevinkdog View Post
What is the most important thing for HFTs? Absolute dollars? Risk adjusted return? Percent Return? Something Else?

Capacity of strategy.

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  #23 (permalink)
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artemiso View Post
Capacity of strategy.

@kevinkdog

I should probably explain my answer because the question merits more detail and there are other very good choices that I glossed over: Most of my strategies just tell me that I'm going to make infinite/arithmetic overflow amount of money in a month with optimal allocation. Which is really nice to know... but obviously unrealistic.

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  #24 (permalink)
Trading Apprentice
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Trying to remain unbiased - would you say HFT does more good or bad for retail traders? Some say the liquidity it provides is a major benefit, while others disagree. Thoughts?

Also, what rough % of market trades are actually HFT?

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  #25 (permalink)
Trading Apprentice
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i dont know about other hft operations but we have one. we do interbank arb only. our rt's are less than 1 second always. we average 45us per 5 min. per mm net. we have 10mm on deposit for margin as we trade 24/7 and only have prime accts at banks that do real time netting of account balances. we see hundreds of thousands opportunities a day but only make a few thousand trades a day. we rotate our book constantly and we use multiple omnibus accounts to mask our activity. we have colo ny4 and ld2 with split algo's time synced which trade opposite sides of the pond without execution confirmation.

would love to see someone post details this specific to another hft operation because we don't really know if anyone is beyond academia theory. we also believe that there is certainly not many aggregate servers out there we have our own which has a 50 separate data source input. let alone the execution software and algo logic, it took us ten years of faith to develop something that was not even possible when we started.

mark

ps we also use dual fpga cards with algo's in lisp. also our capacity is 10mm we are there now, beyond that we would self destruct. profitability is impacted most by latency.


Last edited by markbrown; April 30th, 2013 at 05:39 PM.
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  #26 (permalink)
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Bau250 View Post
Trying to remain unbiased - would you say HFT does more good or bad for retail traders? Some say the liquidity it provides is a major benefit, while others disagree. Thoughts?

I would like to expand on this question and I mean no offense when I ask this, seriously... do you think what you do is BS? In other words, do you feel you are gaming the system, albeit legally?

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  #27 (permalink)
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MrYou's Avatar
 
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Artemiso...

Do you have any comments on the general public or medias view/influence on HFT or algorithmic trading?

Specifically situations that occur such as when algorithmic trading responds to a hacked AP Twitter feed, dropping the Dow down 150 points and back up. On one hand these situations effect day traders more so and the general public/investors less so. Yet everyone begins to ask themselves/each other if algorithmic trading should be restricted.

Thanks!

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  #28 (permalink)
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markbrown View Post
i dont know about other hft operations but we have one. we do interbank arb only. our rt's are less than 1 second always. we average 45us per 5 min. per mm net. we have 10mm on deposit for margin as we trade 24/7 and only have prime accts at banks that do real time netting of account balances. we see hundreds of thousands opportunities a day but only make a few thousand trades a day. we rotate our book constantly and we use multiple omnibus accounts to mask our activity. we have colo ny4 and ld2 with split algo's time synced which trade opposite sides of the pond without execution confirmation.

would love to see someone post details this specific to another hft operation because we don't really know if anyone is beyond academia theory. we also believe that there is certainly not many aggregate servers out there we have our own which has a 50 separate data source input. let alone the execution software and algo logic, it took us ten years of faith to develop something that was not even possible when we started.

mark

ps we also use dual fpga cards with algo's in lisp. also our capacity is 10mm we are there now, beyond that we would self destruct. profitability is impacted most by latency.

Thanks for your opinion. I'll politely ask you to consider starting another thread as someone has forwarded to me one of your disclosed "strategy" implementations, written for Tradestation no less.

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  #29 (permalink)
Trading Apprentice
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artemiso View Post
Thanks for your opinion. I'll politely ask you to consider starting another thread as someone has forwarded to me one of your disclosed "strategy" implementations, written for Tradestation no less.

No problem I will leave your playground.

ARB - YouTube

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  #30 (permalink)
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Could you please describe roughly an old obsolete simple strategy to illustrate the inner mechanisms to a novice?
I suspect you are not looking at moving average but order flow?

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