Homemade HFT - how close can a retail trader get?

Discussion in 'Automated Trading' started by WiktorK, Oct 24, 2019.

  1. Could be wrong but I believe by notional traider wanted to know how much actual currency is represented by "1 Lot" - typically $100,000, sometimes $10,000. At Dukascopy for example, buying "1" contract is $1,000,000, buying "0.1" is $100,000, etc.

    As for this "HFT" business, are you making markets i.e. placing your owns quotes directly into the order book? or perhaps statistical arbitrage (does your platform separate out those 17 liquidity sources and allow you to buy/sell in and out of each or does it simply show you the best bid/offer across the entire pool with the promise of best-execution)?

    If you're doing Latency stuff, not sure who you're actually doing it against if you're not directly connected to an exchange or bank and also figuring out how to turn quotes around at least 100 times quicker (0.4ms - still slow) even on a limited budget.

    I hear a lot of "HFT" stuff about trying to get 200 trades a minute out of a basket of 4 currencies. My ex writes market making models to help quote on over 4,000 instruments at a time - to me "HFT" is this type of activity spanning 1000s of instruments simultaneously, trying to get 4000 split-second quotes out the door and into order books. 40ms is enough time to send ONE message (ex.1, ex.2) holding 4000 instrument and pricing codes to a co-located server that executes them all - the 40ms is one thing - it's how they are being used that makes the difference.
    Last edited: Oct 24, 2019
    #11     Oct 24, 2019
    WiktorK likes this.
  2. lmao, are you seriously trying to be taken serious?



    #12     Oct 24, 2019
  3. WiktorK,

    I was here at during the beginning of HFT. WiktorK I want to tell you to not give up. There are old handles here that stumbled through this and then they stopped posting. They were on the ground breaking discovery of "SPEED". They are prolly billionaires now...I would love to have a cup of coffee with them and discuss old times..

    good Thread.


    P.S. I am grinding it out trading manually with several systems. I am profitable...barely...it's a grind.

    #13     Oct 24, 2019
    WiktorK likes this.
  4. WiktorK


    Anything wrong with them? Use arguments please
    #14     Oct 25, 2019
  5. WiktorK


    could you suggest any specific brokers?
    I've come through many of them and found FXPig the best so far, but If you say so maybe there is a better one somewhere
    #15     Oct 25, 2019
  6. WiktorK


    I've misunderstood the question, national is 100.000 $.

    Im not making markets neither using arbitrage, to be honest you would be probably disappointed with the simplicity of my strategy. I profit from small price changes, nothing sophisticated.

    About the liquidity providers, Im getting only the best bid/ask and as you have said it "the promise" of best execution
    #16     Oct 25, 2019
  7. You mean what is wrong aside this being a total bucket broker? Good luck, I hope you can get your investments back in the future.

    Last edited: Oct 25, 2019
    #17     Oct 25, 2019
  8. WiktorK


    Could you kindly suggest a better solution for a retail trader like me?
    #18     Oct 25, 2019
  9. No, I don't and I tell you why: Because you seem to do ZERO research on your own. Happy to help after you have done your own research. There are numerous fx brokers that are highly recommended on this website. If you can name some then I am happy to help further. But I am not doing your homework.

    And a brief glance at FXPIG should have told you everything one needs to know:

    * Wide spreads, their own statistics on, for example GBPUSD, show 1.1 - 1.2 AVERAGE spreads. That is incredibly wide. Good fx brokers show around 0.3-0.4 wide spreads in this pair during London trading hours and that even right now during heightened risk due to Brexit. So, either they are blatantly lying and mark up their spreads, or, more likely, they have a secret agreement with their liquidity provider to have the liquidity providers actually mark up the spreads for them (so they look like a clean shop to retail) and get massive kickbacks from their liquidity providers.

    * The broker deregistered in NZ and moved to Vanuatu, a destination out of which tons of poorly capitalized small sized brokers operate out of. Similar to Cyprus.

    * Financial Commission covers a top of 20,000 in case of claims against the firm. Ridiculously low.

    I can add more to the list, but the above should make everyone run as fast as possible.

    Enough said.

    #19     Oct 25, 2019
  10. WiktorK


    Well then, finally some arguments.
    FXPig is the only broker that offers FIX with low minimum requirments as well as the demo I needed to build and test the engine.
    Ive reserched a lot and found no other broker that meets these criteria, but maybe you know some...

    They do not have avarege spread stats, I have no idea where your data comes from. On their webside only the live spreads are displayed.
    As Ive already mentioned Im trading only EURUSD and XAUUSD which spreads are like 0,2-0,3 and 1,5-1,7. Also I have build in mechanism that stops trading activity when spreads are above these values.

    I do not care where are they registered as long as they are honest to me (and they are). 20k is in deed rather poor amout, yet Im a conservative guy and wont trust anyone to hold a bigger amount of my cash (even if they are registered in the White House). I keep my deposit as low as possible to let my system work.

    The broker that seems to be the most popular here is IB which seems a bit shady and has a ton of strange fees.
    #20     Oct 25, 2019