0+: A double digit Sharpe HFT strategy
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0+: A double digit Sharpe HFT strategy
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Re: 0+: A double digit Sharpe HFT strategy
#2It seems like the information being disseminated by the article is just the mapping between the name and the concept, since every participant already knows that they want to be at the front of big levels and can take from the orders behind them if they don't like the fill.
Re: 0+: A double digit Sharpe HFT strategy
#3It seems like the information being disseminated by the article is just the mapping between the name and the concept, since every participant already knows that they want to be at the front of big levels and can take from the orders behind them if they don't like the fill.
Yeah I was hired by a prop trading firm of old Chicago floor traders in 2009 and then shortly asked to come up with an algo strategy in Kospi 200 options, with no help from any experienced algo traders. I worked something out completely on my own which was very similar to 0+, it just follows naturally once you understand the dynamics of a microstructure with low fees and FIFO queues.
They really gloss over "getting to the front of a strong queue," which generally requires stacking to many levels of depth in the market (which adds risk), or finding some way to join or remain in weak queues before they become strong, which requires some other method of estimating a theoretical value. Estimating and tracking depth in the queue at each level was definitely a significant part of the more sophisticated code I wrote.
The article may overstate the importance of lower latency as well. I definitely was not the fastest at the time, running some fairly non-optimized Java when I knew there were some faster C++ players in the market, and I was still able to do relatively well.
Re: 0+: A double digit Sharpe HFT strategy
#4> Top equities on US exchanges like NASDAQ and NYSE might be out of the scope for the average hobby quant, but a thinly traded penny stock, or a low-cap cryptocurrency on a smaller crypto exchange, might not be.
These kinds of markets tend to exhibit the kind of price moves and thin liquidity which make pulling off 0+ style trading very difficult.
Re: 0+: A double digit Sharpe HFT strategy
#5Interesting, everstrike is a option market that sells a type of option they call an everlasting option. They say it was co-invented by non other than SBF: https://www.paradigm.xyz/2021/05/everlasting-options
Re: 0+: A double digit Sharpe HFT strategy
#6Interesting, everstrike is a option market that sells a type of option they call an everlasting option. They say it was co-invented by non other than SBF: https://www.paradigm.xyz/2021/05/everlasting-options
vanilla options (edit: pricing model) were invented by LTCM and they blew up on degenerate bets too
looks like it just comes with the predisposition
Re: 0+: A double digit Sharpe HFT strategy
#7I find it interesting how HFT apparently creates no economic value whatsoever. The value is siphoned off more traditional market trades.
Re: 0+: A double digit Sharpe HFT strategy
#8Interesting, everstrike is a option market that sells a type of option they call an everlasting option. They say it was co-invented by non other than SBF: https://www.paradigm.xyz/2021/05/everlasting-options
vanilla options (edit: pricing model) were invented by LTCM and they blew up on degenerate bets too looks like it just comes with the predisposition
I don’t think vanilla options were invented by LTCM. But the pricing model and thereafter the popularity was.
Re: 0+: A double digit Sharpe HFT strategy
#9I find it interesting how HFT apparently creates no economic value whatsoever. The value is siphoned off more traditional market trades.
Lots of things dont create economic value but that doesnt make them bad. Why so you find it interesting?
Re: 0+: A double digit Sharpe HFT strategy
#10It seems like the information being disseminated by the article is just the mapping between the name and the concept, since every participant already knows that they want to be at the front of big levels and can take from the orders behind them if they don't like the fill.
Yeah I was hired by a prop trading firm of old Chicago floor traders in 2009 and then shortly asked to come up with an algo strategy in Kospi 200 options, with no help from any experienced algo traders. I worked something out completely on my own which was very similar to 0+, it just follows naturally once you understand the dynamics of a microstructure with low fees and FIFO queues. They really gloss over "getting t…
Can't you start off by spreading your OCO limit orders 10-11 ticks away from the last price and then just wait it out? Those queues are usually very thin.