5 ms·

Ask HN: Any high frequency trading hackers

• Vivtek 16y ago
  Light speed seems to be a pretty important problem - the added benefit being if you crack that nut, further employment will be unnecessary.
  • deleted 16y ago
    [deleted]
  • pavel_lishin 16y ago
    Yeah, but causal loops would be a bitch.
    • Vivtek 16y ago
      Oh, well, what's one more type of pollution? I think a world with causal pollution would be a more interesting one.
  • astroguy 16y ago
    Ah, quantum teleportation is the promising one to overcome current propagation delay.
    • Dn_Ab 16y ago
      what do you mean? transmission of actual information from quantum entanglement based results are still bounded by classical channels.
• SandB0x 16y ago
  You won't find a better place to ask than: http://www.wilmott.com/index.cfm?&forumid=1 http://www.wilmott.com/index.cfm?&forumid=1
  • deleted 16y ago
    [deleted]
  • SkyMarshal 16y ago
    Great site. OP might find http://collective2.com http://collective2.com interesting as well. Lots of medium-frequency algorithms that might be more accessible if you can't pay big bucks to colo.
    • photon_off 16y ago
      Thanks for sharing. Have you subscribed to any strategies?
      • SkyMarshal 16y ago
        No, I was playing around with creating some basic strategies a while back using MetaTrader4 (http://www.metatrader4.com/ http://www.metatrader4.com/) to see how it works when I discovered that site. Never got around to trying other peoples'.
  • jeffmiller 16y ago
    There is a fledgling Hacker-News-for-quants at http://quant.ly http://quant.ly. The site is still building critical mass, but most of the current users are experienced quants & HF traders. (Disclaimer: I launched the site)
    • arram 16y ago
      I nearly launched quantly.com a year ago. Almost bought the .ly but held off on it. Surprising to see someone using the domain here.
• achew22 16y ago
  There are a lot of problems with HFT (high-frequency trading) that basically boil down to proximity to the exchange. If you haven't paid for a colo inside their datacenters you can't well expect to use the usual HFT tricks of putting in requests for things you don't want and then never making actions on them because your 40ms latency to the exchange will mean that the guys in the colo have acted on your move. I heard someone say that they got a colo for 10,000 a month (sorry, I don't have a source for that) so that kind of edges you out of really good HFT. Another thing to know is that you are running around like a chicken with your head cut off trying to grab pennies off a railroad track that is running bullet trains (I love that analogy). i.e. very dangerous. Slight mistakes can cost you hundreds of dollars ever 20ms until you hit ctrl+C in your script! I do wish you the best of luck and I hope you will write about your progress/experience in HFT on HN in the future.
  • astroguy 16y ago
    Thanks for alerting me! I am a newbie to this field, but love to explore the pros and cons of the current algorithms used in HFT. Sure! I will.
• tiffani 16y ago
  Hadn't started implementing any systems yet, but earlier this year I ordered these and they've been ultra-educational at least for figuring out how to get started, vocabulary, etc.: High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems http://www.amazon.com/gp/product/0470563761 http://www.amazon.com/gp/product/0470563761 Inside the Black Box: The Simple Truth About Quantitative Trading http://www.amazon.com/gp/product/0470432063 http://www.amazon.com/gp/product/0470432063 Quantitative Trading: How to Build Your Own Algorithmic Trading Business http://www.amazon.com/gp/product/0470284889 http://www.amazon.com/gp/product/0470284889
  • astroguy 16y ago
    Add to the list http://helwr.posterous.com/trading-354 http://helwr.posterous.com/trading-354
  • chollida1 16y ago
    For what it's worth.... I really liked Inside the Black Box. I didn't find I learned or enjoyed High-Frequency trading that much though.
• ig1 16y ago
  I'd suggest maybe look at algo trading rather than HF, it's much more accesible to outsiders, plus you can use the algorithms on places like betfair and stand a decent chance of actually making money.
  • mdwrigh2 16y ago
    Do you have any suggestions on where to start reading on Algorithmic Trading? Perhaps also a way that I could test algorithms against the market, without actually risking any money?
    • thinkingeric 16y ago
      You can buy historical 'tick data'. Be forewarned, however, that simulations run on this kind of data are not the same as real trading since it doesn't reflect the bid/ask. Also in my opinion and experience, price alone is insufficient data for analysis. Also don't forget to figure in total execution cost as it makes a huge difference in the evaluation of algorithms, not to mention the 'bank roll' necessary to allow any 'edge' to play out. Trading simulations are an engaging software problem, but they aren't such a great approximation of actual trading, at least in my experience.
      • a904guy 16y ago
        You can also download daily tick data from Yahoo Finance for free, They offer bid/ask, volume, and adjusted closes.
        • i2pi 16y ago
          "Tick data" refers to trade by trade execution data. Daily data is end of day summary data. If you are doing HFT, you need tick data and the market depth. Huge volumes of data compared to daily close data.
          • a904guy 16y ago
            Aye, Tick data is needed for HFT, no doubt there. I was actually talking towards this thread which mentioned that they should try algorithmic trading first. Which you can build a successful system around daily closes, as long as you plan to hold your equity for over a 24hr period.
• fertel 16y ago
  Get in touch with savvis to do a colo at NJ2.
• a904guy 16y ago
  I've been working on an algorithmic trading system using machine learning, it is not HFT currently. It is currently daily (24h+ held equities), the intra-day side (~5-60 minute held equities) will come very quick after I feel comfortable with the machine learning side of things. The source of data will change, and a few tweaks to the actual trading system and it will be running intra-day. The HFT will only come around once I can get a small colo that can achieve the necessary <40ms transactions to get the benefit of the pre-window before orders actually hit the open market. http://edwardworthington.com/ http://edwardworthington.com/ Sorry the interface was thrown together over a weekend (The actual back-end application was the primary focus for the last year as it was just me looking at it via command line) and quickly designed it with a large AJAX load at the beginning, I'll eventually change it to a static load then do ajax polling to update the data. I cannot recommend any particular reading sources as I've been working with my financial buddies, that have been feeding me tips and doing my own discovery on the internet. This was just a side project of mine but has turned into a really nice application. It is always calculating the better strategies (out of over 50 possible different methods/functions with variables ranging from 0-260 that are used to indicate open and close signals in any number of combinations). It has improved its strategy over the last week taking it from estimating ~60% to ~70% gains YTD. I have no doubt it will eventually get over 100%. I'd love to collaborate with anyone wanting to get into this stuff as I'm flying solo.
  • ajays 16y ago
    Where do you get the data? I've found that access to (inexpensive) sources of data to be a problem. For backtesting, I'd love to get historical data; even a sample would do. A long time ago, Island used to make their data available. Then they were bought out by NASDAQ, and no more data :-(
    • a904guy 16y ago
      I've been collecting data from various places, originally while I was building the framework I simply downloaded yahoo daily data to test against. Now I've been downloading and recording tick changes from my broker, Optionshouse.com.
  • 16y ago
• deleted 16y ago
  [deleted]
• JSig 16y ago
  In the big picture view it seems that HFT is becoming a crowded trade. I would think the competition would be a huge challenge. Maybe you should try to start off in foreign markets where there is some breathing room - if that's possible. Here is an article about about wall street programmers leaving the big boys to go at it alone. http://www.forbes.com/2010/07/28/high-frequency-trading-personal-finance-programmer-pay.html http://www.forbes.com/2010/07/28/high-frequency-trading-pers...
  • deleted 16y ago
    [deleted]
• pkghost 16y ago
  What value does HFT create?
  • izendejas 16y ago
    That's a very important question to ask and I myself would like to get a response from some of the readers who're hacking away at it, instead of having you get downvoted. How does one prevent a catastrophy that may result from "rogue algorithms" that are far worse than Infinium's? And is such risk truly worth it?
  • ggruschow 16y ago
    HFT provides liquidity which reduces everyone else's cost and/or exposure to short term risk. Low-latency trading though costs everyone. Nobody actually needs anything faster than a fill in a blink of an eye. The only people who think they do really need smarter match engines or to stop taking advantage of people
    • pkghost 16y ago
      Where does short-term risk come from? And what's the difference between HFT and LLT? If anyone knows of good high-level reading material on the subject, I'd appreciate a link so I can spare you more dumb questions. I admit to having drunk some of Mark Cuban's Kool-Aid, as well as Jon Stewart's and that of some other liberal sources. Their argument, as far as I understand, is that HFT doesn't provide value proportionate with that which it extracts from a system designed to connect investors with entrepreneurs. The idea has an appealing simplicity, especially given recent history, but don't know very much about markets, so I thought I'd ask people on the other side of the debate for their take.
• _grrr 16y ago
  Challenges: * The need for speed, at every level of the architecture (network, tcp/ip, hardware, app) * Reducing order (send/ack) round-trip times, this generally means putting your servers in a data cetre as close to the exchange as possible (co-located, if the exchange offers it). If your trading across multiple exchanges simultaneously it gets trickier. * Sourcing market data - can you source direct from the exchange, rather than through a 3rd party like Reuters? Again, it comes down to how fast you can re-act to the market. * Back-testing - you need historical data to test a model, then you need a way of testing the model - what are you going to test against? How are you going to simulate the exchange? * Expense - it's expensive - market data, co-location etc etc all costs, as others suggested. HFT is generally short term positions, with some arbitrage strategies holding positions for less than a few milliseconds. A medium term (intra-day) type strategy requires less intensive (expensive) technology as your not trading to capture market prices that might only be extant for a few milliseconds.
• retube 16y ago
  HFT is, as the name suggests, all about speed - sub-millisecond latency in some markets. It requires a lot of physical and expensive resources, not to mention an extremely deep knowledge of the mechanics of whatever contracts you wish to trade and the exchanges they are traded on. Basically there's a reason this field is played only by the big banks and hedge funds. (I bank I know spent at least $10m setting up an HFT desk) Algo trading is probably a much better option: basically trading off the back of quant/stat analysis you have done with respect to prices (or relative prices). You'll learn lots about whatever contracts/instruments/markets you're interested in, plus get to flex your geeky skills. And you can do it from a laptop at home over a regular intenet connection with some cheap, if not free, trading platform or api.
  • wladimir 16y ago
    Is it actually still possible (with that I mean realistic) to make a profit that way? You'd say the banks have seized all algorithmic trading oppertunities, if you try something like that at home you'll always be second violin.
• drallison 16y ago
  Maxeler Technologies (http://www.maxeler.com)supplies http://www.maxeler.com)supplies turnkey FPGA-based acceleration that supports high speed trading with trading latencies on the order of a few microseconds. Software development for the accelerated platform begins with a client's "known to work" proprietary code, which Maxeler accelerates. When latency is an important performance factor, the Maxeler trading server needs to be collocated in the exchange.
• vijaymv_in 16y ago
  One of the best book I read about electronic trading is Trading and Exchanges: Market Microstructure for Practitioners.