Do you colo with a broker or go directly to the exchanges?
Do you arbitrage the roll of ETFs that track commodity futures (e.g., VXX, USO)?
Do you roll your own backtester or use an open-source or off the shelf one?
In general, what is the win/loss and Kelly's expected payoff of your various strategies? Do you aim for out-of-the-ball-park home run's or consistent singles? Thanks.
I've always colo'd with the exchanges I've traded on.
I've never traded a US equity.
I've used both off the shelf analytics solutions and built my own. (I don't design trades typically, rather I write systems for folks that do).
I don't usually go in for deals that involve expected payouts of PnL. I build technical solutions for a fixed price for people that have a particular technical requirements set. I'm not sure I even know what a Kelly's expected payoff is.
Are you using Scala specifically as your JVM language, CUDA for your FPGA? Also, have you dealt with Complex Event Processing (CEP) as way to combat stale quotes and feeds that require long time to process? These are area's that I haven't explored, so curious about your $0.02 if you have any experience/opinions, thanks.
Agreed, the article was pushing an agenda of IEX, but to a casual reader this stance seems aligned to the needs of regular traders big and small alike as opposed to those seeking to exploit the system no offense meant.
The built in 320ms latency of IEX in particular seems reasonable.
Does the world really need nanosecond order execution times which give those with the closest boxes an ability to front-run?
This community has a severe bias against HFT and are for the most part completely ignorant about how markets work (or how they used to work). This is very frustrating and often makes me angry. Instead of having that response I was hoping to eliminate some of the ignorance with my responses.
That said, A) I reject the entire premise that the current markets are tilted against large institutional investors. or B) that a large purchase order from such an investor shouldn't move the market price.
Large block transactions move the markets not because of nefarious poorly understood bogey man algorithms, but because of basic market forces. This has been the case long before HFT came on the seen. That an execution trader at a major financial institution getting paid a million dollars of client fee money didn't know this is pretty appalling.
I will say I think their marketing is brilliant. Most other dark pools get painted with the same murky brush as HFT. That a dark pool backed by billionaire investors and Goldman Sachs can position themselves as defenders of the little guy is really impressive. Their long fiber cable gimic is also really nice showmanship.
Tick to Trade Latency: Are you asking about my average times, my median times, my 2 9s or my 4 9s;)? Basically call it tens of mikes.
Fill rates: I've worked on systems that fill on nearly every order they place and other systems that skirt with getting banned.
Adding/Taking liquidity: Mostly adding liquidity in my experience, but I have worked on strategies that only take.
Contracts: All the ones that make money, none of the ones that don't.
That sounds a lot like the "price discovery" flavor of securities fraud.
I won't pass a value judgement on that.
The pay off is getting to work on interesting technical challenges and those technical challenges can be trivially linked to the success or failure of the group. As far as compensation, I make about the same as what I made when I was writing software for a software company.
I got started by being recruited to join a group, but it isn't some secret society or something. Trading groups are advertising positions like anyone else and they hire at lots of different experience levels.