How much money can you really make with expensive HFT hardware and colocation costs if you are trading stocks that only have 30-50k average daily volume? If you average .0050 per share profit and you were 20% of the volume on a 30k stock, you're looking at 30000 * .20 * .0050 = $30? Say, say 5 cents .. $300? Maybe do 100 stocks? I guess it's an interesting niche. I mean I know you're an IB customer, so IB is gutting you 1.30 per side on 100 shares, so you have to be looking for wide, wide spreads. You obviously aren't crossing the spread either, so you must be doing spread extraction on illiquid names. If those so-called robots are doing these weird patterns, maybe they are just probing for hidden liquidity.
+1 Internalization has created a 2-tier market .. the same liquidity is just not available to all. When was the last time a resting retail order got crossed at mid?
If you want to be worked like a dog, for small pay, then CompSci. If you just want to monitor stuff, and adjust a couple of parameters, for large pay, then Economics / Finance. Also helps to know some ppl & be a good talker. Ability to sell crap to morons etc. The CompSci route is over crowded -- massive supply of eager skill sellers, such that it has become a bit funny / tragic. HFT firms scooping up the top 1% of grads for next to nothing. "The dumbest smart ppl".. * Also: There is no path from tech to trading.
Any automated system connected to an API is HFT. Low latency trading requires being next to the data feed and works much better when co-located next to the exchange you want to route orders to. However, you don't have to be a member. You can direct connect if you need to through a member.
Direct connect through their [potentially slow] filtering, no? It's still second tier latency .. often with top tier costs.
We'll probably have to go back to entering trades by phone. Hopefully the days of mailing orders are not coming back too.
Good read from the bank of canada on the potential risks regulators are looking at (starts on page 47): http://www.bankofcanada.ca/wp-content/uploads/2011/06/fsr_0611.pdf
Good read on the potential risks regulators are look at from the Bank of Canada (page 47) http://www.bankofcanada.ca/wp-content/uploads/2011/06/fsr_0611.pdf