High-Frequency Trading Strategy

Discussion in 'Automated Trading' started by algonxt, Oct 8, 2009.

  1. algonxt


    I am serching for examples that will help me understand.

    can some one give me an example of a High-Frequency Trading Strategy... it doesnt have to be proftibel... just an example that will help me get the idea...
  2. Send an email to GS
  3. algonxt


    :) I am not talking about "front runing"...
  4. sum up the buy volume on the book
    sum up the sell volume
    calculate the ratio

    do this everytime the book changes and you have a HF indicator you can test.
  5. algonxt


    lets say i have alot of HF indicators.... can i implement it in a high frquancy way...
    I have a prdeiction for the next 2 min... how can i trade without "shoting my leg" with the "spread" & tradng cost.
  6. 1. use limit orders that cancel+replace as the market
    2. use limit orders with IOC
    3. use limit orders with time-in-force set to expire after X seconds
  7. CyborgTrading

    CyborgTrading ET Sponsor

    Here is one of our HF trading tools:

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  8. rosy2


    trading spreads at your fair value levels. basically a lot of cancel/replaces and working legs
  9. iuykcif


    Here is some <a href="http://www.datatime.eu/public/gbot/2009Oct02/default.htm" target="_blank"> Example</a>

  10. Only use limit orders that pay to add liquidity.

    Lots of canceling and refreshing.

    Try to collect spread if not then just rack up the rebates.

    Rinse and repeat.

    Hedging does eat into your profits but that's the price for being consistent and you buy yourself time if things do turn sour.

    Its a real grind I might need to automate soon.
    #10     Oct 9, 2009