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syswizard

Registered: Jun 2004
Posts: 3606

12-12-11 01:36 AM

Savage - great post.
Speed requirements in the millisecond range IMHO only make sense for algo's that work in the 1-10 second time-frame.

They're most likely taking advantage of the level 2 distribution of bids and asks using a statistical model of probabilities of movements based on certain bid/ask metrics.

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RewriteQuran

Registered: Nov 2010
Posts: 597

12-12-11 05:14 AM

Buy off the shelf HFT solution from http://www.milleniumit.com/media_ro...ss_releases.php

The new release of Millennium Exchange can handle sustained volumes of over 100,000 orders per second, with core latency remaining below 1 millisecond. Moreover, the platform scales evenly, with each increase of 1,000 orders per second typically requiring only $50,000 of hardware

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syswizard

Registered: Jun 2004
Posts: 3606

12-12-11 07:04 PM

Quote from RewriteQuran:

The new release of Millennium Exchange can handle sustained volumes of over 100,000 orders per second, with core latency remaining below 1 millisecond. Moreover, the platform scales evenly, with each increase of 1,000 orders per second typically requiring only $50,000 of hardware

This will immediately become worthless if the exchanges start charging for Cancels or Cancel and Replace orders.

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stock777

Registered: Jul 2001
Posts: 15407

12-19-11 02:18 AM

kill all hft traders

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annawatson

Registered: Dec 2011
Posts: 1

12-20-11 12:02 PM

I don't think so.

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