What is good book on high frequency trading?

Discussion in 'Order Execution' started by ggelitetrader000, Feb 15, 2019.

  1. I am looking for any good introductory book on high frequency trading can anyone recommend it? I am also cisco networking company employee and of the book content also coverage on end to end network latency coverage that would be dramatic. Thx.,
  2. lylec305


    Have you read flash boys?
  3. fan27


    I found this video informative. Really cool how they would hard code the order placement logic directly on the FPGA chip.

    tommcginnis, Nobert and digitalnomad like this.
  4. Metamega


    I don’t know if you’d find much besides something like Flash Boys which doesn’t get into the technicals of it. It’s kind of just kept to the industry as no retail investor would have the capital or time to try and compete. Plus their all slowly edging themselves out. Might be room in the options market making part but still be very time and capital intensive.

    Was just listening to a chat with traders podcast and the guest was talking about using FPGA chips. Was something I never heard of. Manufacturing a chip with a strategy to avoid computing latency.
  5. Start with the ABC's of micromarkets first. Have fun reading these :)

  6. schweiz


    If that is needed to make money the edge is horrible and sucks.
  7. traider


    I guess you think a sharpe ratio > 10 is a horrible edge...
    qlai likes this.
  8. schweiz


    If you need milliseconds to frontrun the market and then quickly take very small profits it means that you have no clue what the market will do. Because otherwise you would not go for frequent microprofits but make real runs.
    DepthTrade likes this.
  9. RedDuke


    Yes, all HFTs do is keep improving speed and processing to front run and subpenny. The flip side of HFT (positive), spreads are narrow. I do not trades stocks, so not sure how fills are for regular folks.
  10. tommcginnis


    Everybody who trades for years thinks that those who trade over months are idiots.
    Everybody who trades for months thinks those who trade for weeks are idiots.
    Everybody who trades for weeks thinks that too of those who trade for days.
    And everybody who trades for days thinks that intraday traders are dummies.
    And those who trade intraday think that those who work the hours are crazy.
    But those who trade within hours are amazed that anyone would ever trade for minutes.
    Like those who trade for minutes wonder at those who work the second-clock.
    And those who are sub-second look at the others and think "Whaaaaaat?"

    So the bottom line message is......."__________________________." o_O
    Last edited: Feb 15, 2019
    #10     Feb 15, 2019
    JigsawTrading, bklrnr and Nobert like this.