What are the current challenges in high frequency trading?
Can anyone suggest me few tasks [like implement foo algorithm], so that I can directly jump into those tasks during my free time
Ask HN: Any high frequency trading hackers
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Re: Ask HN: Any high frequency trading hackers
#2Light speed seems to be a pretty important problem - the added benefit being if you crack that nut, further employment will be unnecessary.
Re: Ask HN: Any high frequency trading hackers
#3You won't find a better place to ask than: http://www.wilmott.com/index.cfm?&forumid=1
Re: Ask HN: Any high frequency trading hackers
#4There 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.
Re: Ask HN: Any high frequency trading hackers
#5Light speed seems to be a pretty important problem - the added benefit being if you crack that nut, further employment will be unnecessary.
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Re: Ask HN: Any high frequency trading hackers
#6You won't find a better place to ask than: http://www.wilmott.com/index.cfm?&forumid=1
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Re: Ask HN: Any high frequency trading hackers
#7You won't find a better place to ask than: http://www.wilmott.com/index.cfm?&forumid=1
Great site. OP might find 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.
Re: Ask HN: Any high frequency trading hackers
#8Hadn'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
Inside the Black Box: The Simple Truth About Quantitative Trading http://www.amazon.com/gp/product/0470432063
Quantitative Trading: How to Build Your Own Algorithmic Trading Business http://www.amazon.com/gp/product/0470284889
Re: Ask HN: Any high frequency trading hackers
#9There 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…
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.
Re: Ask HN: Any high frequency trading hackers
#10Hadn'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 Inside the Black Box: The Simple Truth About Quantitative Trading http://www.amazon.com/gp/product/0470432…
Add to the list http://helwr.posterous.com/trading-354