My stock broker offers a programming API. The trading fee is close to $10/order. With that price point, it seems pretty expensive to do high-frequency algo trading. Are there any much cheaper options for me to experiment with hi-freq trading? Or is it a dumb idea that I should give up?
Ask HN: Is it feasible to do high-frequency trading as an individual?
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Re: Ask HN: Is it feasible to do high-frequency trading as an individual?
#2The only person likely to get rich off that is the broker...
Re: Ask HN: Is it feasible to do high-frequency trading as an individual?
#3Re: Ask HN: Is it feasible to do high-frequency trading as an individual?
#4It's not a dumb idea, but you certainly should give up. The high frequency game is one you will lose, because many of the large investment banks have relationships with the stock exchanges allowing them to get information faster - and respond to that information faster - than other traders.
See this NYT article (including the graphic) for more: http://www.nytimes.com/2009/07/24/business/24trading.html
Re: Ask HN: Is it feasible to do high-frequency trading as an individual?
#5It's not a dumb idea, but you certainly should give up. The high frequency game is one you will lose, because many of the large investment banks have relationships with the stock exchanges allowing them to get information faster - and respond to that information faster - than other traders. See this NYT article (including the graphic) for more: http://www.nytimes.com/2009/07/24/business/24trading.html
Attempting to do this through (presumably) a retail brokers public API is doomed and dumb. The only serious way to do this is with sponsored access via a tier 1 participant. This is quite obviously not something for dabblers
Re: Ask HN: Is it feasible to do high-frequency trading as an individual?
#6It's not a dumb idea, but you certainly should give up. The high frequency game is one you will lose, because many of the large investment banks have relationships with the stock exchanges allowing them to get information faster - and respond to that information faster - than other traders. See this NYT article (including the graphic) for more: http://www.nytimes.com/2009/07/24/business/24trading.html
The old metaphor of 'picking pennies in front of a steamroller' still holds in high-frequency trading.
Except that without (at least) a few million in cash deposited with a prime broker you need to pick up a lot more pennies than a bank. (You'll be giving a lot back on a day-to-day basis)
Re: Ask HN: Is it feasible to do high-frequency trading as an individual?
#7I would ignore the "HFT" moniker and focus on the algorithmic part. HFT is a big-money game for companies who can afford to build a data center next to the exchange. But a longer-term strategy based on technical indicators can still do very well.
My main recommendation would be to take things slowly, browse through the COTS options in the field(which are plentiful), and make some of your own trades in order to learn and develop your strategy.
Re: Ask HN: Is it feasible to do high-frequency trading as an individual?
#8It's not a dumb idea, but you certainly should give up. The high frequency game is one you will lose, because many of the large investment banks have relationships with the stock exchanges allowing them to get information faster - and respond to that information faster - than other traders. See this NYT article (including the graphic) for more: http://www.nytimes.com/2009/07/24/business/24trading.html
If I understood that article correctly it looks like the "high frequency" traders pay the exchanges to get access to trades before everyone else.
So it's not really the fact that these guys are trading at high frequency that gives them the edge (although that is necessary) it's the fact that they get to operate a few milliseconds ahead of the rest of the market.
I wonder how much much you have to pay to get that access?
Re: Ask HN: Is it feasible to do high-frequency trading as an individual?
#9Check out Interactive Brokers at http://www.interactivebrokers.com/. Their brokerage fees are substantially lower than that.
Re: Ask HN: Is it feasible to do high-frequency trading as an individual?
#10Cheaper? How. 10/order makes no sense at all if you are ordering 10-20 shares at a time. It makes a lot of sense if your orders are 100,000-200,000 (or more) shares at a time. Individual traders (most often) only do the 10-20 shares or so... Check to see if your broker has limits on the number of shares/order.
High frequency algo trading, as presently committed to by the big banks, relies (as others have noted) on advanced notification (if only, at times, milliseconds in advance...) which, as an individual, you probably won't get. But that just means you can't make use of the same algorithms as the banks. You'll want to derive your own algorithms to exploit some specific pattern(s) that are different from those that rely on advanced word. It's possible, but unless you're already in possession of some wealth, unlikely that you'll be able to design, implement and tweak your algorithm to profitability in anything like a year or so. I certainly wouldn't try it as anything less than a full time occupation... certainly not something that can be done as an 'experiment'.