HFT strategies for FX - anyone ?

DepthTrade · Mar 13, 2018

victorycountry said:
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
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Gotta agree with that, you can have every thing on autopilot, but you still need to be able to read the weather so you don't get killed in a storm.

QuantLC · Feb 8, 2019

Hello,

We have a strategy based on AI (DeepL).

Please contact me for more information.

wwatson1 · Feb 24, 2019

wintergasp said:
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.
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So....what are you selling again?

magnumopusfx · Aug 31, 2019

I understand that you don't read/post to this thread but I have a system that has had a consistently profitable performance in FX on an 18 year backtest, trading the majors but cannot profit due to spreads and fees, ideally looking for spreads under 0.4 pips and the ability to trade between 10-50 trades a day. This is not an arbitrage algorithm and there is no toxic flow. The average duration of a trade can last anywhere between 5 minutes to 45 minutes. If this aligns with that you originally had in mind, I would glad be speak with you if this opportunity still stands.

guestuser976 · Apr 29, 2020

dumpdapump said:
$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.
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Still paying that much? @dumpdapump

guestuser976 · Jul 28, 2020

@dumpdapump still active?

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HFT strategies for FX - anyone ?

DepthTrade

QuantLC

wwatson1

magnumopusfx

guestuser976 Guest

guestuser976 Guest