Java or C++ for HFT?

Thank you. The reason why I am exploring the idea of HFT is that I need to build more uncorrelated strategies to reduce the fluctuations and increase Sharpe Ratio. Besides, having a different set of HFT strategies would increase the capacity of the fund so that I won't have to debate whether to compromise the return for a larger AUM.

 

If you are far away in time from doing HFT, why you need Lime’s execution? Would IB not suffice? Are you co-located?

 

My current strategies are not very latency sensitive. I plan to choose the more affordable VPN connection offered by Lime which costs $800 per month VS $2400 for direct FIX connection. I have a server that has a latency<2ms to Lime's VPN server. Adding the VPN layer would increase the latency by another 1-2ms which is acceptable for my current strategies.

IB imposes a minimum charge per order which is deal breaker for my strategies. Lime does not have such minimum charges per order or ticker charge. Besides, IB's commission is not as reasonable as Lime's which can be as low as 5mil/share. IB charges even higher commissions for non-smart-route orders.

I am not seeing any disadvantage using Lime at the moment except it will take some time to write the code. If my AUM reaches $5M, I can even open a Prime Broker account with ABN and still execute with Lime. Clearing with ABN and executing with Lime might bring the commissions to 5mil/share without such a high volume.

If anyone had any unpleasant experience with Lime, please let me know and it might save me 2 months of C++ coding with Lime's FIX API.

 

Based on your current latency, I don’t see why you need to use c++. When, and if, you get to the point of needing to reduce latency, FIX engine speed will not be your biggest concern, imho.

 

The reason I need to code in C++ is Lime only offer Java and C++ wrappers for their FIX protocol.

 

I think they offer pure FIX as well - without a wrapper.

 

They do. If that is the case, I guess I can use QuickFIX, right?

 

Yes, I would use that for ease. I use C++ and decided to implement a stripped down FIX engine to integrate with the rest of my framework.

 

Does the fixed charge apply to shares? I thought it was only for options

 

If you're making a living with $2M aum then you're doing pretty damn well, it seems that expanding into something you don't have a background in it the opposite of what you've done to find success so far? If your strategies have the capacity, it would seem increasing your aum would be your first goal.