What does a HFT data feed actually look like?

I hate to break it to this thread, but HFT doesn't revolve entirely around flash orders. I'm not sure why this is all over every ET thread about HFT.

 

you could share your thoughts.

 

Not much to share, other than the fact that HFT infrastructure is a kind of luxury. You have information before everyone else, you can use it. The mechanism doesn't have to be through flash orders, it can be just by virtue of removing liquidity first or getting to the front of the queue somewhere else. This opens up opportunities in terms of the types of strategies you can use. Many strategies do not even require this kind of infrastructure, but it never hurts to have it + very small commissions.

Consider HFT today like being on the floor of the NYSE in the 80s vs. phoning your broker from a land line at home.

 

good said.

 

HFT does not affect the average investor. So the Average long term holder pays a penny more for a stock. Big deal.

HFT really only affects a small subset of day traders trying to scalp pennies in front of bulldozers.

All this doom and gloom about HFT by the media is another distraction device to keep the sheep from looking at the real problems in the industry.

 

I think it affects him because the market structure changed. it is not only the penny thing.

 

HFT is more than a "luxury", it's a strategy in and of itself. Many of the strategies deployed by HFT firms, particularly the pure arb stuff are enabled entirely by the technology. Then there are all the games played (ie flash orders or the ability to see where liquidity is before others) that very few of us are probably even aware of.

Most HFT strategies are far from rocket science or even that savvy, hinging mainly on how good the programming is and how efficiently the programs and the technological infrastructure deal with (reduce) latency.

When a strategy is entirely dependent on technological infrastructure, the technological edge is--in essence--the strategy itself, is it not?

 

A lot of this thread is BS. You pay a lot of $$ for good CLEAN tick level data but you pay just as much to put your computers in very close proximity to your data provider and your execution platform.

It looks the same as your TD Ameritrade or E*Trade does (except that E*Trade does not pay for/provide all ECNs to customers). Simple book & tick data, bid, ask, size, depth, T&S, etc.

The BS in this thread is that it is delivered to you faster (NOT EARLIER) than most people.

Think about it - can a market maker execute a trade and then only deliver it to some people and not everyone? Its not that you don't know - its that you don't pay enough to get it as fast as everyone else.

 

absolutely. when you are running a strategy on an infrastructure that allows standing orders to be reallocated you get better fills. and getting fills is the name of the game.

 

I can agree with this, but I think a lot of firms overestimate what the technology is doing for them. In some cases, investments have been made in infrastructure but no additional edge is extracted. When that happens, the "luxury" not really enabling the edge as much as technical managers think. I would venture to say that most managers have no idea what the quantitative link between performance and profit extracted really is, just that they know when they aren't fast enough.

I suppose you could refine what I said to "excess performance is a luxury."