Hi folks, I am running an HFT strategy in FX and have an infrastructure that costed me quite a lot of money (and still costs a lot monthly). I'm making money net of all these expenses but am looking to potentially provide the structure and capital to other traders who need high-frequency (but not quite ultra-high-frequency, so anywhere between HFT and UHFT). If you have a strategy that looks good but can't sustain the high execution cost that you get through a broker (IB, Saxo, whatever), maybe we can work together and split the profit... Currently doing 95k$ a month in profit, potentially willing to take the same amount of risk on someone else's strategy and share 10%-15% of the performance (or 10-15k$ a month). What I have: I have a very good setup to trade FX, I clear with both NewEdge/SocGen and JP Morgan and have direct connection to most venues in FIX 4.4. or 4.2 (EBS, Reuters, Currenex, HotSpot, FXAll, FastMatch, Integral, ParFX, LMAX and CME). I have servers in London and New York and am planing to add one in Tokyo, they are cross-connected to the venues directly. This is a setup for high frequency trading, I am currently doing 3 billion USD a month in transaction across these venues. I pay 5$ per million for clearing and have soft flow only with access to non-last-look order books. What I'm looking for: Someone with an HFT or HFT-ish strategy on FX. Soft flow only, NO arbitrage strategies. I'm looking for someone with a good strategy but not the ability to trade it directly because of a low average trade profit (e.g. "We're making billions in theory but 0.2 pip of transaction cost kills the performance so we're not trading it.") Typically, whether you're executed now or in 150ms doesn't matter much... but whether you're executed market or limit and what slippage you have on market orders. If 100-150ms latency kills your strategy then you're probably doing toxic flow and we'd rather not get involved. We have the infrastructure, capital and execution logic (processing low latency limit order scenarios instead of dumb market orders) to make such strategy work. Typically 100 to 1000 trades a day. If any of you have something like this, could you please PM me a short presentation of your strategy and pedigree, I'd be interested to know roughly what machine learning process you're using, how do you aggregate market data, what's your dependency to in-sample data, and whether the process is cross-validated and market dependent (if we send you proprietary in-sample data and then ask for fast responses of simulated trades on out-of-sample data, what tracking error do you expect?) If you have any questions, shoot.
$5 per million all in? That is a very good deal. I trade around 1bln usd notional equivalent per month and pay around 14 per mil at best. Would be interested to see the typical spread in, let's say gbpusd, eurcad, and gbpjpy you are getting via your liquidity pool.
Nice, ... just one thing you're missing is that not only HFT trade on order imbalance but also on macro info. They make more money with macro info though lol
Not all-in, that's for clearing only. Some venues just don't negotiate their fees (e.g. FastMatch charges 5$ for matching, it's non negotiable), all-in-all we're usually around 10$ (and that's 1 way so if you buy and sell 1m$ you paid 20$). EUR/USD spread is about 0.1 pip and that's actual spread you can hit, not last-look shit. But > 95% of my trades are limit based, so other factors such as weather we're getting smart or dumb takers is more important than the raw spread
Something just isn't right here, if your clearing $1.1mn per year then either your environment is decaying or ... You put up the request but ask "could you please PM me a short presentation of your strategy", it just doesn't work that way. Anyway, too busy so someone else can work it why.
You have servers in London and New York, You have a set up with (EBS, Reuters, Currenex, HotSpot, FXAll, FastMatch, Integral, ParFX, LMAX and CME? And you are making a lousy $95k per month? Seems, you are a couple of years away from being a hot shot HFT Spot FX "algo trader".... From someone who executes more than $1 Trillion per year..... Nighthawk
If you're interested in quantitative strategies I have some pattern-matching algos that might be worth testing. Basically, I translate candlestick and price points to character streams, and then use C++ libraries: either string function or regular expressions, to match patterns. Example: Assume the following average prices over 15 minute candles: Code: $11 12 11 10 11 12 11 10 11 12 As a rudimentary chart, this would be: Code: x x x 12 x x x x x 11 x x 10 This can be represented as: Code: b c b a b c b a b c Then we scan the currency pairs (or any financial instruments) for the pattern; aka "our trade." In this example, "a b c" (or "c b a if you're inclined to short ), and make the bet. 3 out of 5 you profit. This is, of course, a simple example. These patterns can be much more complicated, and apply all sorts of mathematics and strategies. Plz message me if interested. Thx, Keith =)
That sounds about right, commission wise. I pay thus only slightly more. Regarding the remaining content I do not see why I or someone else would take you up on your offer. Just being very honest. Someone with sufficient capital and latency sensitive strategies in fx space can easily open accounts with Baxter or Pepperstone and receive very similar liquidity pool access at similar cost. I am almost certain you are trading via either of those two venues? In any case its hard to see the value proposition here in exchange for giving away one's entire IP. Not shooting you down just providing some honest feedback and thoughts.
Hi, what is the minimum account size needed to open with Baxter or Pepperstone? Do they act as prime broker and connect you with the banks directly?
Is there a way to make the patterns more generic? How about clustering them based on some similarity measure?