Just thought I'd chime in here. HFT strategies are generally capacity constrained. So, that 500% return is on a smaller dollar amount than say a hedge fund with millions or billions under management. Some HFT strategies are extremely constrained on what they can deliver. Throwing more money at it will do absolutely no good on the bottom line. Much easier to get 500% return on $1MM than it is $100MM. Naturally, the Hedge Funds won't get that sort of return, especially when you combine them with whatever type of strats they are running. So, imo, you need to leave them out of the mix.
No, i have only ever traded my own money. My opinion about the matter is that LL may have served a legit purpose, but today even the traditional sell-side MMs should have caught up in technology, and there is really no good reason why it is still there. Every other liquid market works perfectly without it. Obviously, a for-profit venue will cater to those who bring in the bulk of the fees, so the rules are how they are. Altho it appears that some buyside clients are increasingly not ready to put up with it - hotspot threw out almost half of their LPs last year, apparently people complained too much about too high rejection rates. Increasing regulatory pressure makes it seem likely that more stuff will move to MTFs/OTFs/SEFs/RIEs or what ever the current favourite acronym of the bureaucracy is (kinda hard to keep up2date with this). And its probably not for the worse. A continous auction market, central limit order book with price/time order matching, only one order type (limit ioc/gtc/gfd). Noone needs anything more than that, one ruleset for everybody. That is, in a nutshell, my opinion. As for the general attitude towards HFT on this board, i often find it a bit funny. I do remember the fx market from 10 years ago, and i don't want it back (from a primarily price taker POV). P.S. are you active on some of the newer venues like Fastmatch, LMax, GTX, ParFX, SolidFX and so on? There is a new one every other month - are those interesting to HFT firms?
1. I'd recommend FIX since it's easier and will probably save you some work connecting to multiple exchanges. Since you don't have DMA, you don't care about speed anyway. Better yet, write to your broker's API and let them handle all the custom interactions with each exchange themselves. 2. Multiple threads are one way. Simply firing up connections to each and using them accordingly is pretty straight-forward.
+1 And it's even harder/impossible when it's $500M or larger as many hedge funds employing different types of strategies are.
You just rewrite what you already know. It varies a lot. For a place like Getco, since they provide you with so much infrastructure to plug into, their payouts are way lower. I don't know exactly what it is but I'd expect in the 10-30% of your PNL range. Base salary even varies between hires let alone employers, but you could expect in the 100K-300K range, and bonus structure varies a lot between employers too. Many do it based on a combination of personal/desk PNL as well as firm PNL, plus firm politics.
I'm not personally since I feel I have bigger fish to fry on limited resources, but I could see other firms/guys taking a stab at it for some limited PNL if their systems easily support connectivity there.
Since there are too many data, what data are your company rely on for stocks, options and futures? 1. Direct from exchange or from third party vendor? 2. Tick data of filtered data? 3. Full feed or just what you trade? The question is about too many data, and how your company decide which level of data is enough for hft, the real case. For example, if strategy is about stock/options combo, since options has too many variants, I think it is impossible to process a full feed.
I agree with you Pippi. There is no justification for last look provision. Yes there should be one "ruleset for everybody" such as: "A continuous auction market, central limit order book with price/time order matching, only one order type (limit ioc/gtc/gfd). Do you have any new updates/insights on the viability of LMAX, ParFX and SolidFX? I like their structure and wish they gain good liquidity.