HFT - Strategies

Discussion in 'Automated Trading' started by cepturion, Jul 27, 2020.

  1. Hey,

    I could get a Server in LD4 and NY4 (LMAX UK connection to LD4 would be 0.4ms - LMAX US connection to NY4 about 0.45ms)

    Is there a way to profit from HFT?

    Maybe something like arbitrage?


    Would be up working with someone else if they had an idea - I got the servers.


    (PLEASE just post something useful not like: "hft is just for big firms etc.." - I know that but i still want to test because maybe there is some altency trading one could do)
     
  2. SteveM

    SteveM

    I'm pretty certain someone could still arb the 3x etf pairs against the underlying and each other if you developed an algo (example: QQQ, TQQQ, SQQQ).

    I've seen premarket sessions where SQQQ was off by as much as 1.5% vs where it should have been based on where QQQ and TQQQ were trading, and I was able to get filled before it closed.

    Pretty sure you could clean up flipping all the mining etfs off each other too (JNUG, JDST, GDX, GDXJ, NUGT, DUST).
     
    cepturion likes this.
  3. This is 2nd tier latency once you add your w2w to the flight times. You are not likely to participate in any type of pure arbitrage flow with that setup, it's a very competitive business (unless you are planning to pay for shortwave, FPGAs etc).

    However, there is plenty of lower (from HFT perspective) turnover stuff you can do with that kind of latency though, especially if you're small. SteveM is spot on, doing quasi-arbitrage in ETF/ETNs might work for you if you are willing to trade outside of the market hours and hold positions overnight. The general idea would be to build up an arbitrage inventory and market-make around fair. Other possible games (that not necessarily involve nylon flight times) would be various HF statistical arbitrages, both in equities and non-equity products.

    Anyway, a lot of your direction is going to depend on the costs/fees/coms. If you somehow getting the shared server for free, I'd gravitate towards smaller games which are plenty but very capacity constrained and very labor intensive. If you are getting charged and have to cover that, you have no choice but to push towards high capacity stuff which is more competitive.
     
    SteveM, cepturion and eternaldelight like this.
  4. SunTrader

    SunTrader

  5. Have you seen the volumes on lmax?
    Lmax is a micro exchange.

    If you build a software for latency arbitrage they won't let you steal money from their market maker. Their market maker then turns some of the money over to lmax's offshore accounts.
    Lmax is a total scam. Like fxcm ig gain and all the retail brokers. 99.5% of retailers lose money. The owners of lmax come from the betting industry.
    They pretend to be a serious broker, but the volumes don't prove it. There are no professional customers. They do not allow competition between various arbitraggists (professional hft companies) there is only one mm.

    But they are beautiful because they pass themselves off as regulated mtf. Lol.
    look at spreads on indices and commodities. You can put yourself in ask and bid and wait for the chicken that hits you with a market order and then cover you on cme or ICE. But they won't let you. They're a scam.
     
  6. LMAX was just an example... I just wanted to show that the latency to brokers is quite small (compared to other retail traders). I could use any broker which has its own server in NY4 or LD4:).
     
    Last edited: Jul 28, 2020
  7. HFT strategies are only profitable if you can trade with close to zero commission and slippage like the big banks.

    You might want to check out my videos, where I constantly updating to review different trading strategies and finding the most profitable trading ideas for retail traders:
     
  8. trader221

    trader221

    very interesting your latency.
    In addition to your latency, you should take into account the response time of your broker's server.
    I think that to do HFT on the forex you need direct access to the interbank market (without going through a retail broker).

    With your technology you can develop profitable stat trading strategies without doing HFT trading because the competition is tough. in HFT, to be profitable you have to be the fastest of all.
     
  9. borgh

    borgh

    Do you know how fast is your routine? If you have 0.45ms of latency but your code need 4ms to be executed you'll lost some data
     
  10. SunTrader

    SunTrader

    LMAX is Forex which for the most part has nothing to do with HFT.

    Forex people use the term "exchange" loosely. Night and day difference from the futures world.
     
    #10     Jul 28, 2020