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High-Frequency, HFT, Algo, Flash, New-Thread
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High-Frequency, HFT, Algo, Flash, New-Thread

  #1 (permalink)
Elite Member
Germany
 
Futures Experience: Advanced
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High-Frequency, HFT, Algo, Flash, New-Thread

Anybody working on High Frequency - Setups or wants to join starting a new thread?

 
  #2 (permalink)
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  #3 (permalink)
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Locust View Post
Anybody working on High Frequency - Setups or wants to join starting a new thread?


Hi Locust
I am in - if you call 100 orders in 3 hours HFT.
I have tried a system ( my own) in the forex market (eurusd and gbpusd), Combining supertrend with a short 2 period mov avg. The setup has been implemented on 3 period chart - using multichart. backtest shows a nice profit.
But as soon as I start papertrading it - the fills are very bad. The orders are filled ― to 1 pip off compared to the backtest pip on each trade . It kills the profit .
I am keen to hear about your experience and setups ?

rgds -- mengelbrecht

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  #4 (permalink)
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Locust - can you please define what you consider HFT ?

Thanks,
gulabv

 
  #5 (permalink)
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Itīs tough to define but letīs say everything that is based on tick by tick, rougher than minutes.
My ideas so far are based on the next few ticks, in order for that to work one will need a very low clearing fee and
possibly an exch. membership to reduce costs and provide the execution speed.

Locust

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Is not simple, if not imppossible, for a retail trader done the real HTF, cos u need to connect directly to the exchange api with a custom Algo programmed with a low level program language to made it fast as possible and also a colocate server to the exchange for the Algo execution to skip the latency, all this to match the actual HTF Algos that execute trades in microseconds.

Take your Pips, go out and Live.
Luke.
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HFT is one of those funny things where everyone has their own definition of what it is. I believe, since HFT has such a wide definition, there is a shift to refer to the really fast trading as Ultra Low Latency. Works for me.

So with that in mind, I'd say that HFT is any trading that is done faster than you can click a mouse. Not necessarily requiring co-location or dma. My current strategies are only generating a 100 or so RTs a day across one instrument. I wouldn't consider that HFT personally, even though it may fit my own definition. It just feels funny to look at it that way.

A new strategy I'm working with could generate more than 1000 trades a day. However, I don't think I'll ever put it into live trading. The fees would kill. But if I did, I'd say that was HFT, but no where near Ultra Low Latency.

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  #8 (permalink)
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lookOutBelow View Post
HFT is one of those funny things where everyone has their own definition of what it is. I believe, since HFT has such a wide definition, there is a shift to refer to the really fast trading as Ultra Low Latency. Works for me.

So with that in mind, I'd say that HFT is any trading that is done faster than you can click a mouse. Not necessarily requiring co-location or dma. My current strategies are only generating a 100 or so RTs a day across one instrument. I wouldn't consider that HFT personally, even though it may fit my own definition. It just feels funny to look at it that way.

A new strategy I'm working with could generate more than 1000 trades a day. However, I don't think I'll ever put it into live trading. The fees would kill. But if I did, I'd say that was HFT, but no where near Ultra Low Latency.

What about a definition along the lines: High freqency = trading in such speeds that a human being CAN NOT (!) control the trading.

Note that control is not meant "because you get bored". A 1 minute chart I can control trading - it may be stressy, but I can. An algo analyzing ticks is not something I can trade manually.

This leaves a lot of time from sub-second to some second algos and should be wide enough for anythign here.

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  #9 (permalink)
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lookOutBelow View Post
HFT is one of those funny things where everyone has their own definition of what it is. I believe, since HFT has such a wide definition, there is a shift to refer to the really fast trading as Ultra Low Latency. Works for me.

So with that in mind, I'd say that HFT is any trading that is done faster than you can click a mouse. Not necessarily requiring co-location or dma. My current strategies are only generating a 100 or so RTs a day across one instrument. I wouldn't consider that HFT personally, even though it may fit my own definition. It just feels funny to look at it that way.

A new strategy I'm working with could generate more than 1000 trades a day. However, I don't think I'll ever put it into live trading. The fees would kill. But if I did, I'd say that was HFT, but no where near Ultra Low Latency.

Can you tell me, who is your broker and which language/api do you use?

Causality is the relationship between an event (the cause) and a second event (the effect), where the second event is a consequence of the first.
 
  #10 (permalink)
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lookOutBelow View Post
HFT is one of those funny things where everyone has their own definition of what it is. I believe, since HFT has such a wide definition, there is a shift to refer to the really fast trading as Ultra Low Latency. Works for me.

So with that in mind, I'd say that HFT is any trading that is done faster than you can click a mouse. Not necessarily requiring co-location or dma. My current strategies are only generating a 100 or so RTs a day across one instrument. I wouldn't consider that HFT personally, even though it may fit my own definition. It just feels funny to look at it that way.

A new strategy I'm working with could generate more than 1000 trades a day. However, I don't think I'll ever put it into live trading. The fees would kill. But if I did, I'd say that was HFT, but no where near Ultra Low Latency.

From my point of view 1000 trades per day per instrument is already well within the boundaries of HFT.
Which contract are you talking about and what are the stats like avg. trade profit before cost and max position size.

I was looking at a pretty simple approach based on 25 tick bars and positive pyramiding. Given a volatility level above 15% you are well in the green zone.

Locust


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