AMA: HFT

Raving_Cute
Raving_Cute

I'm a high frequency trader for a major prop firm. Ask me anything.

Pic related: It's me and my bitch.

Harmless_Venom
Harmless_Venom

absolutely 0 images that are the same on the internet I swear

Boy_vs_Girl
Boy_vs_Girl

Your bitch looks like Edward Snowden

Soft_member
Soft_member

you got me. my forearms aren't nearly as hairy. I swear my boss has an old Island mousepad kicking around though.

happy_sad
happy_sad

If you traded ES/NQ today, you traded with him.

idontknow
idontknow

I'm a HFT
Sooo you do what then? Watch your algorithm do everything and pretend you do things?

Gigastrength
Gigastrength

Research signals and run simulations mostly. Test out new logic to make sure it's operating how I expect in live markets.

The whole thing is pretty black-box, doesn't need much babysitting except in extreme circumstances. I do have to watch to make sure nothing bad happens but the system will go on lockdown or ping me with alerts if shit hits the fan.

Methnerd
Methnerd

What degree do you have, opie?

PackManBrainlure
PackManBrainlure

Signals huh. Anything comprehensible to humans? Do you use any sort of screeners in your personal life/trading?

But yeah babysitting was what I imagined. Requires someone to figure out what exactly goes wrong though to reset it. What's the worst fuckup your algo has done?

SniperGod
SniperGod

EECS

Sure. A really basic one is supply/demand imbalance in the limit order book, but everyone in the business knows that one. Usually I try to combine a lot of small predictive signals to build a good "meta model" for forecasting. Some of my models just look for certain events that predict a large directional move.

Personally I just own VTI. I'm not allowed to actively trade my PA and have no edge as a retail guy anyway.

I can't fuck up too badly. Our infra guys built a risk layer that everything runs on top of. Once your algo does something outside its risk parameters, the risk layer liquidates its positions and shuts it down. One time I fucked up my bids and offers in some rarely-triggered piece of logic so I was aggressing the market back and forth losing money as quickly as I could trade. Luckily my clip size is small and the risk layer shut me off. Lost a few thousand and almost shat myself though.

RumChicken
RumChicken

So the supply/demand imbalance would be primarily used to stop hunt correct? Do discount brokers sell their order book info to a lot of institutions or usually just one?

Not being able to trade on my own would kill me... Is that the same for every institutional investment company employee? Even non quants/algos? Makes sense though so you can't frontrun your employer.

The risk thing makes a lot of sense, preventing huge disasters is probably the main concern since one error would wipe you out if left unchecked. What's the largest your algos have outperformed the s&p500 by in a year?

Those are probably all my questions. I'm only a fee based advisor so I can't really go into advanced stuff with you. I actively trade on my own time for fun but never use any sort of algorithms.

JunkTop
JunkTop

No just as a (noisy) measure of value. Like if there are more bids than offers at the inside market, an uptick is more likely. I am generally playing for a few ticks so microstructure features of the market are important. I look at public exchange order books like CME and Nasdaq, not a broker's book.

Not sure what rules other people have. All broker dealers need some kind of personal trading policy. At the very least, they will get duplicate confirms on all your trades.

I never look at performance vs. the index in that way. My trades are indifferent to overall market direction and capacity constrained, so it doesn't really make sense. Usually I benchmark on absolute P&L or P&L vs. volume, market share in the products I trade, etc.

PurpleCharger
PurpleCharger

SPX 2300 this year?

StrangeWizard
StrangeWizard

How do feel about the fags at quantopian?
I feel that they're waiting for someone dumb enough to submit an algorithm that meets their benchmarks in python and then they'll take it apart and inplement it in a real language.
You'd think they would figure out someone smart enough to write an efficient trading algorithm in python is probably smart enough to not give it away for "10% of profits"

New_Cliche
New_Cliche

Wow I have a very poor understanding of the role you play. That makes a lot of sense though, you aren't JUST P/L but also market share to help with your firms actual directional plays (or clients)

The % thing though I asked would make even less sense if you always traded different amounts of $ depending on what they want you to do/focus on.

Retail investors really don't have a remotely fair shot at beating institutions when you take into account all that they do.

Thanks!

Nojokur
Nojokur

Seems like an okay platform for the automated retail guy, but I would bet most of them fail. On a retail platform you will never compete with HFT firms on automated MM or arbs because you're too slow and fees are too high. You end up having to forecast longer to make any money and trade on less obvious signals. It's possible, but the guys you're up against are PhDs at stat arb hedge funds, and they can also build or buy ultra fast execution infra.

I wouldn't bother with it personally. It's not really something you want to do half-assed as a hobby.

Illusionz
Illusionz

How does it feel to not contribute nothing of value to humanity?

Nude_Bikergirl
Nude_Bikergirl

No clue.

Market share helps keep costs low. A lot of exchanges will lower your fees if you are a top volume player. It's also a sign that a competitor is encroaching on your space, getting faster than you, or discovering a similar inefficiency if you see your share dropping off.

Nobody on earth is quoting stocks or futures 1 tick wide manually or keeping prices in line with value at microsecond timescales without automation. HFTs make the market way more efficient.

haveahappyday
haveahappyday

What's the actual point of your job?

StonedTime
StonedTime

Is it even remotely possible to invest in a non completely determined by luck way in the markets or Forex? If you were fired right now would you be able to make money on your own by investing?

Booteefool
Booteefool

So basically back office, not a real trader

Dreamworx
Dreamworx

what kind of skills did you have to learn? for example,
programming in *some language*
digital signal processing, z-transforms etc

Fried_Sushi
Fried_Sushi

How does it feel to contribute zero tangible value to the world?

How much do you hate your life?

Emberfire
Emberfire

C++, Python, regression/ML
Sure. Arbitrage/basis trade FX futures on CME vs. FX cash on any spot FX platform. Trade triangles if any of the legs get mispriced (like USD/JPY GBP/USD GBP/JPY). Of course you're too slow to do this.

It's kinda boring.

Deadlyinx
Deadlyinx

C++, Python, regression/ML
do you have an engineering degree? how can i do what you do?

CouchChiller
CouchChiller

I'm getting started with my education again and decided to get my Computer Science degree. I always wanted to get into the financial industry though. I also played lots of video games such as Runescape and World of Warcraft so I'm familiar with arbitrage and economic speculating for fun. I haven't done any real world trading but I heard to check out mini-futures trading. How do I earn a seat next to you?!?

Anyways, as far as my education goes, would it be worth the cost to dual major in Economics or Finance, or should I just try to learn outside of school?

New_Cliche
New_Cliche

What mu do you use?

massdebater
massdebater

EECS. Study hard. Be lucky.

No don't bother with finance. Study as much machine learning, math, physics, and statistics as you can.

tau?

Burnblaze
Burnblaze

How do commission fees work for you guys if at all?

TalkBomber
TalkBomber

am going to college for cs/math what do you recommend studying before i go?

massdebater
massdebater

how often do your current algo strategy's break?

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