And that's exactly what the world needed. As if Wall Street was not enough to destroy the world. I also question the validity of posting this link to where entrepreneurs, a.k.a value creating people, frequent.
High Frequency Trading Development Kit
21–30 of 83 posts
Re: High Frequency Trading Development Kit
#22I am waiting for one of these shops to open up the opportunity to hobbyists/devs. I would love to try and create my own decision/trade algorithms but dont have the kind of money it would take to mitigate the cost effect of the trade volume (ie, at $8 per trade and making 1000 trades per day with an average return of 2% per day you would need to be working with more than 400K to even cover your tx cost). Strikes me th…
There are plenty of prop shops that would let you trade with a very modest (low 5-figure or even 4-figure) dollar amount. Some will leverage your money, some will flat-out stake you in addition to your input. These places have the benefit of offering you relatively low costs -- minuscule compared to the cost of a retail trade at your average discount broker -- but they do not necessarily have the sort of investment i…
If there are plenty, could you please point one out?
Re: High Frequency Trading Development Kit
#23My guess, as is usually the case with these HFT technology vendors, is that this company is trying to sell the residual technology IP from a hedge fund that bellied up.
To those "hobbyists", what would you look for in a solution?
Re: High Frequency Trading Development Kit
#24Earlier quoted context omitted.
It looks like you got a few downvotes because people assumed you're being snarky (maybe you are?) -- but I think that most people (even hackers) who work outside of the financial sector are going to wonder why this is on the front page. In short though, it's a 1U blade server with a full-size FPGA in it; implementing your algorithms in hardware makes them extremely fast (thus the mention of the C-to-HDL compiler), wh…
Thanks, I came to ask that question also. So is there any reason that this can't be done using OpenCL instead?
We've tried using OpenCL for pricing, the biggest bottle neck is getting data into and out of video card memory.
It's just too slow to move it from main to video memory and back.
Also OpenCL works best when working on large pieces of data at once, with High frequency trading often you want to work on very small pieces, 50 bytes, and process them as fast as possible. Batching up the data and working on it in a SIMD type fashion just takes too long:(
Re: High Frequency Trading Development Kit
#25Earlier quoted context omitted.
Set it up, trade 'virtually' (i.e., just simulate), prove your algos, get bankrolled by someone who is convinced of the algos worth. Quite straightforward. I'm highly skeptical of a hobbyist beating the competition though (maybe in micro niches, where one would add domain specific knowledge to get an edge - that's my pet idea on this topic :) )
It is straightforward, but impractical. Getting good historical market data is very, very expensive. Even recording current market data is not cheap and not without significant difficulty.
True, but it's not impossible to get data sets to work from - on all quant forums the question comes up at least daily and the answers are always the same.
Re: High Frequency Trading Development Kit
#26Virtually no hobbyist would be able to compete against big financial firms' hardware and algorithms. It might be a smart move for a large high frequency trading firm to put out these sorts of tools for free. An incredibly easy to use free api with good (though not superior) speed would be pretty popular. More subpar competition == more money for them. Though, admittedly, probably nowhere near what they are making now.
Re: High Frequency Trading Development Kit
#27Earlier quoted context omitted.
The problem is that a high-bandwidth link overruns the CPU with thousands of interrupts per second. It can paralyse the system, where the CPU is so busy handling I/O that it doesn't get around to actually scheduling processes. Disclaimer: I sometimes consult for HFTs but we don't use FPGAs (yet).
So it is more an architecture issue with conventional hardware ? It makes much more sense to me with this explanation - the issue is the same as in most real-time systems then (like in embedded hardware for audio gears, which is more familiar to me than HFT). Don't things like real time linux or soft real time patches for linux help, though ?
> Don't things like real time linux or soft real time patches for linux help, though ?
I don't see how it could.
The CPU essentially drops everything it's doing when a packet comes in. Have that happen often enough and there won't be time left to do anything else, unless you start dropping packets.
Re: High Frequency Trading Development Kit
#28Earlier quoted context omitted.
So it is more an architecture issue with conventional hardware ? It makes much more sense to me with this explanation - the issue is the same as in most real-time systems then (like in embedded hardware for audio gears, which is more familiar to me than HFT). Don't things like real time linux or soft real time patches for linux help, though ?
> Don't things like real time linux or soft real time patches for linux help, though ? I don't see how it could. The CPU essentially drops everything it's doing when a packet comes in. Have that happen often enough and there won't be time left to do anything else, unless you start dropping packets.
We see this behavior on high pps routers -- but isn't this why you have multiple CPUs and thread-based interrupt handling?
Re: High Frequency Trading Development Kit
#29Why is this interesting?
It looks like you got a few downvotes because people assumed you're being snarky (maybe you are?) -- but I think that most people (even hackers) who work outside of the financial sector are going to wonder why this is on the front page. In short though, it's a 1U blade server with a full-size FPGA in it; implementing your algorithms in hardware makes them extremely fast (thus the mention of the C-to-HDL compiler), wh…
How one donwvotes? I do not see a downvote link?
Re: High Frequency Trading Development Kit
#30I am waiting for one of these shops to open up the opportunity to hobbyists/devs. I would love to try and create my own decision/trade algorithms but dont have the kind of money it would take to mitigate the cost effect of the trade volume (ie, at $8 per trade and making 1000 trades per day with an average return of 2% per day you would need to be working with more than 400K to even cover your tx cost). Strikes me th…
Set it up, trade 'virtually' (i.e., just simulate), prove your algos, get bankrolled by someone who is convinced of the algos worth. Quite straightforward. I'm highly skeptical of a hobbyist beating the competition though (maybe in micro niches, where one would add domain specific knowledge to get an edge - that's my pet idea on this topic :) )
It's not really that simple. You can't really ever simulate your trading with 100% confidence since you're never entirely sure what your participation in the market will do to the results you see when you /aren't/ participating.
There is also plenty of anecdotal evidence that as you try and increase the amounts of capital you're putting to work in the market that it becomes tougher and tougher to maintain an edge in the markets.