I strongly feel that structural advantages are fine they are open to anyone having to meet certain obligations to obtain them. For instance, if...
The range is really too wide to quote an average. 500% ROC could be considered normal - say making $100M/yr on $20M in working capital. I...
1. Yes absolutely. 2. No I wouldn't say so. It's a zero-sum game, but as market-makers we're getting paid by market-takers that compensate us...
1. Profit sharing. There's enough jitter and variation in the way you do things that no one absolutely dominates. Like others have said before me,...
I disagree on both counts. The manner in which you obtain HFT edge is dictated by regulations, but there is intrinsic value in the service we...
Last-look is vital to market-making in FX. It's not all free money though. Similar to how you can last-look deals, you can receive reports on how...
When you apply for a connection at CME, you'll need to be pre-approved by a CME approved clearing firm before you're allowed to connect. You then...
Yes, there are some non-banks that I just don't have experience with that would be competitive as well, I know NewEdge in particular is just as...
Answers are the same for both types of trading (futures and equities). 1&2. Big banks. GS, JPM, ABN, etc. 3. About $1M in commissions generated...
That's essentially the underlying problem to be handled when making markets, regardless of the market. It is what we spend our livelihoods trying...
No I sure don't. Maybe my statement was unclear when I said "I can do that" - I meant I could give you that signal, not make money on it. Like you...
In-house custom C++.
Depends on the specific circumstance. In some markets, you can specify a minimum fill quantity (so if you're resting $1M at hotspot, you can...
Nothing out of the ordinary. Linux, (Bash/sed/etc), Python, and R for analysis. C++ for production. LibreOffice and Thunderbird for...
I'm not quite smart enough to understand that full paper. But from what I can gather, they're predicting mid-price market movement. Conceptually...
Fair enough, I'll give numbers from one of my strategies from yesterday: 2% market share Remove vs. Add: ~ 1:1. Slightly more adds than removes...
Glad to see a post from a fellow HFT'er :). Good questions to ask, that's why I can't answer many of them :p. 1. There's quite a few that come...
1) I've really done a bit of everything, from low-level market connectivity development to high-level alpha research, management, and everything...
I cannot, sorry. A) I'm too lazy to strip out detailed timestamps and other proprietary data we attach to it. B) We sign contracts not to...
Well no one *must* trade through an intermediary. So if you *choose* to do so (by not opting paying for direct market access), you're at the whim...
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