HFT mindset — I you're interested in examples of what high frequency traders (including yours truly) might be looking at when designing trading strategies, yous should take a look at tr8drs last couple of posts: url

Systematic trading

A large part of HFT strategies are centered around earning (a part of) the spread - usually combined with a commission rebate for providing liquidity.

Systematic trading

That is actually a really cool lecture. I'm all ready beginning to miss University...and Lie Algebras It's definitely worth viewing the entire lecture - Simons is surprisingly humoristic.

Systematic trading

MBTrading is and has always been a retail broker, so you probably have to eat their tech issues if you wanna play with them. How is the data quality of the quote feed? Last time I checked (a few years ago) spreads where all over the place with ...

Systematic trading

Hmmm - interesting development for the retail FX market. Its not clear though whether this applies for FIX trading as well. Now, if only their FIX engine could be trusted... Craig?

Systematic trading

This interview might be of interest: url He (naturally) doesn't give anything away, but it's interesting that GA's apparently are used quite a few places.

Systematic trading

This might have some interest: url url

Systematic trading

I'm glad I'm not the only one who thought this was a rather strange concept... Let's hope for some vol in October

Systematic trading

Practically all ECN's that are accessible to other than big funds has liquidity where quotes are indicative (with the exception of Hotspot as far as I am aware). Liquidity providers can and will use this against you at varying degrees. That said, we ...

Systematic trading

Regulators seriously needs to get up to speed in understanding and banning these manipulative behaviours before the morons how utilize this destroys it for all the others who play by the book. Sooner or later exchanges needs to rethink their intire ...

Systematic trading

Sometimes NP is a funny place...first they bitch about him sounding like an idiot...and then they bitch about him leaking to much important info... I found the reddit thread quite interesting. Here is another piece of info: url Seems everyone and ...

Systematic trading

Congrats on making it to the live test stage. I will be more than happy to supply you with liquidity on IB...

Systematic trading

As Craig pointed out, the primary advantage of HFT is the ability to trade low-expectancy systems (and thus exploit smaller edges) combined with low variance in the return distribution due to the high frequency of trades and short holding periods ...

Systematic trading

Nice share - and quite informative. Some of the myths surrounding HFT needs to be debunked... For those who are interested there is an increasingly large list of comments to the SEC proposals here: url

Systematic trading

We normally reboot the server once a week for reasons which are not related to the gateway, but between reboots the gateway runs stable without restarts. I have so far experienced two minor episodes: - One time after the nightly FIX log out, the ...

Systematic trading

Ok, I can see that in your special case it might make some sense to go with duka at least for a while. Just realize that small size == bad execution. When its a non-HFT strategy and trading very small sizes is a concern, I would personally look into ...

Systematic trading

I have interfaced to the FIX api of both. For a bunch of reason, which I'm not gonna state in public, Duka is inferior in basically any way compared to IB...

Systematic trading

Since forex is not exchange traded there is no NBBO like in US equities. Therefore a forex broker cannot guarantee that somewhere on this planet someone is willing to offer a better price than the one you get at the broker.

Is MBT really an ECN ?

Do you have first hand experience with Lime? For what I know they don't seem to be big on otc fx - but I might have gotten it wrong. Which is why you should use their FIX connection...

Algorithmic Trading - Institutional Level

It is possible that HFT will improve liquidity on some FX ECNs, however as a retailer FX trader you trade in an artificial market so it will not benefit you directly. Not all high frequency strategies are liquidity providing though. Some are taking ...

High Frequency Trading!