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Comment by TacticalCoder | Hacker News Reader

> Show HN: High-Frequency Trading... > currently for Binance Futures and Bybit

There is no high-frequency trading in the cryptocurrencies world. It's medium frequency trading at best.

These cryptocurrencies exchanges (really broker+exchange mixed as one) aren't serving the data feed anywhere near quickly enough nor executing orders quickly enough to approach HFT.

Firm doing HFT are co-locating near the exchange and using direct data feeds, at times using algorithms running on FPGA. Stuff like that.

That's HFT.

What's shown for Binance/Bybit is simply not HFT.

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I partly agree with you. Firstly, this is primarily a backtesting tool, allowing you to test under different latency setups. The example in the project demonstrates its use. Secondly, crypto exchanges is slow. Even though they provide low-latency APIs to higher-tiered traders, but I believe they are still slower compared to trad-fi. But, the market data is public, there might be differences in the data received by higher-tiered traders. These enable individuals to analyze the market and start projects like this.

As long as orders are processed in a FIFO fashion, then you can have HFT type strategies, regardless of whether it takes one microsecond or one year to process those orders.

So how is the latency floor for HFT calculated?

Order fill ratio. Whoever has the fastest hardware/software wins.

That’s not really true in traditional HFT because resting orders no matter how slowly placed will take precedence over orders that are new.

Typically you’d have some combination of order fill for orders that cross the book, successful cancellation (which is where the real race is) and mechanical observation of tick to trade.

> That’s not really true in traditional HFT because resting orders no matter how slowly placed will take precedence over orders that are new.

No. Not everything is FIFO.

You can be last to place a passive resting/limit order at a price and still be the first to receive a fill at that price. And yes, you had the advantage of seeing all the other passive orders at that price.

Examples: Pro-rata markets (SOFR interest rates, some US treasuries), designated market makers (futures, equities), etc.

Source: I work in HFT.

Is designated market maker able to get filled before an order in the FIFO order queue at NYSE, NASDAQ or CME?

I think on-the-floor traders actually do. I can't find the source to back that up, though.

This is NYSE specific: https://www.nyse.com/article/parity-priority-explainer

Thank you! I know that NASDAQ and CME also have designated market makers, but I couldn't find any specific privileges they have over non-market makers, apart from the different fee schedules. Is the ability of NYSE designated market makers to handle order fills a common practice across other exchanges?

> Is designated market maker able to get filled before an order in the FIFO order queue at NYSE, NASDAQ or CME?

“Unfortunately, I cannot comment at this time.”

CME documentation states:

"LMM – CME Designated Lead Market Makers are each allocated a configurable percentage of an aggressor order quantity before the remaining quantity passes to the next step."

Certain matching algorithms allocate orders to LLM before considering FIFO - specifically algorithm T (LMM w/o Top). So I guess it depends on how strict is your definition of "FIFO order queue".

https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSAN...

(I don't know the internals of the mentioned exchanges)

lol no one thinks like that

Yes there is hft (just like how there was hft in tradfi 20 years ago when latency was measured in the ms)

Yeah, it's awful. Used to work for a crypto market maker.

Binance run all their stuff on AWS behind CloudFront. If you want to make orders, you have to use a slow REST API via their CDN. Lots of jitter, and spikes. Their tech is probably not very well engineered for latency.

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