What are some methods employed in optimizing position size when trading listed equities in a high-frequency environment? I realize that it surely depends on the specific strategy employed, but are there some general concerns folks consider? What are the issues faced when NOT optimizing sizing (slippage, etc.)? Further, what are the risk management techniques in this space? Given trades are turned in seconds, the major risks are surely systemic. But are there others to consider?
This is great, but a little dense for my purposes. Instead of a purely professional method and implementation, I'm looking for more of a general or philisophical approach to what folks consider.
Slippage is always a factor. If you carry 10k shares but the book only offers 200-500 shares at a time per level, it's going to be a real challenge to get out unless you have some smart algorithms and a lot of connectivity to a lot of exchanges. Even if you're the fastest gun on the street, unless you have some long-time-frame alpha, your size is going to have to be somewhat proportionate to what the book will absorb readily.