I'll break this up into 3 separate issues we're addressing: 1) Am I only concerned with processing time (internal latency) and disregarding...
I don't know, try another thread/forum. When you talk about a timeframe much longer than seconds I get lost.
Yep. Prices, sizes at prices, trades, and time. It bewilders me how many ways you can amalgamate those individual variables into alphas. That...
Actually we don't care about official time at all. Most times are measured in diffs between our time only. In other words, we got some market data...
Definitely not PNL-based in market-making. Market-takers will use it sometimes though. Predictive model is more like it, though it varies from...
In general, rule of thumb is that bigger tick sizes/values lead towards more market-making, and vice versa. So there's more HFT MM strats on ES...
EdgeRequired can scale linearly or in a number of ways as you suggested. As far as hedging, ideally you want to hedge FOR edge, but as your...
Yeah, a combination of the above. Complete liquidation is usually the last resort, but it's certainly there as an option.
Yes, your formula is correct. 1. You test different sizes of buckets and analyze them. That VPIN wiki article is just an example of a way to...
I mean if you're going to put on a position due to some fundamental or macroeconomic factors that you will hold for days/weeks/etc, the firm's...
HFT firms don't really filter out strategies with < X trades per day. It will matter more what your projected Sharpe is and the overall scope of...
That's pure semantics, and in-trade time isn't as important as response time. If I can average a few tenths of a tick edge by hitting prices that...
That is admittedly not far from the truth. Archaic as they might be, they are still effective as long as they are implemented properly. For...
Own vol measures, for obvious reasons.
You can definitely do it between US exchanges, why couldn't you? It's more competitive, but the rules of arbitrage dictate that someone has to do...
You can make plenty of money in HFT without FPGA's. Profile your hotpath and only pursue it when it makes sense given the full context of your...
It impacted them a lot. That's all I'll say about it due to ongoing discussions. I do wonder what retail investors think about it though. Do...
It's the same both ways. You still need to convince a clearer to let you do it and need the credentials to do it (seat leases are relatively...
What does sweeping profit mean?
Simple example: EdgeRequired = 0.1 ticks MktImbalance = BidSize/(BidSize+AskSize) TheoPrice = BidPrice + MktImbalance * (BidPrice + AskPrice)/2...
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