I'm interested in wondering how high frequency trading works in the real world. (because I have no idea) Just by playing around with numbers from minute by minute stock feeds, you can see that longing if the stock just went up and shorting if the stock just went down will result in about .01% return per trade. (you wouldn't need to trade every minute, just would have to be able to close out trades quickly if the market moved the wrong way right away). Obviously you need large trade volume per trade to make these trades profitable (vs transaction costs), is this just unrealistic? Are stocks liquid enough for this type of trading? Imagine you could create a high frequency trading system, how much would it need to be able to return per trade to be sensible? For those of you who are in HF trading, are you working more on arbitrage opportunities than consistent returns per trade?