HFT Profit Per Share

Discussion in 'Automated Trading' started by clearinghouse, Feb 15, 2012.

  1. I was reading the Tradeworx web site for comments from their partners and founders on the average profit per share, and they seem to use the ballpark figure of .0010 per share -- which I believe is a reasonable number, after all fees.

    Anyone care to throw out some numbers on what sort of including-exchange-and-sec-fees-only profit per share numbers are for HFT algorithms? Anyone care to guess at a 95% confidence interval on average profit per share for a competent HFT rebate trader? Don't include clearing and execution fees, since those vary for everybody.
  2. Without clearing & execution I'd say your right on target to maybe a little higher. .001 to .0015
  3. loogling


    A few news articles report the 0.001-0.002 range. My personal belief is that it's higher, in the 0.002-0.003 range. You should ask WinstonTJ and/or MarkBrown. Those two should be able to throw in some actual numbers if they don't mind.


    depends on price per share. aapl's 600/share would pass 0.001 assuming you do buy low sell high strategy


    I saw this paper, they are aggressive strategies and holding period is less than 10 sec estimation.