Be the fastest. Got it
0+: A double digit Sharpe HFT strategy
11–20 of 66 posts
Re: 0+: A double digit Sharpe HFT strategy
#12Former HFT quant here.
Thinly-disguised clickbait/advertising.
Reminds me of being pamphleted in the airport in the early 1990s.
Re: 0+: A double digit Sharpe HFT strategy
#13Whatever happened to that long term stock market exchange thing
Re: 0+: A double digit Sharpe HFT strategy
#14Slightly on topic, but could Elon turn starlink into a giant arbitrage opportunity? Once satellite - satellite laser links are up, it could be the quickest link between say NYC and Tokyo
Re: 0+: A double digit Sharpe HFT strategy
#15Glad I didn't pursue this dead end career
Re: 0+: A double digit Sharpe HFT strategy
#16Earlier quoted context omitted.
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.
Right, so that's "stacking to many levels of depth." To add some color to my point about how it "adds risk," the day Kim Jong-Il died, the market spiked lower and I was instantly lifted on every stacked offer I had in every put. I managed to recover a bit but it still took out about a quarter of a year's PNL in one fell swoop.
Re: 0+: A double digit Sharpe HFT strategy
#17Slightly on topic, but could Elon turn starlink into a giant arbitrage opportunity? Once satellite - satellite laser links are up, it could be the quickest link between say NYC and Tokyo
The Earth is concave. Don't transpacific cables travel less distance?
Re: 0+: A double digit Sharpe HFT strategy
#18Slightly on topic, but could Elon turn starlink into a giant arbitrage opportunity? Once satellite - satellite laser links are up, it could be the quickest link between say NYC and Tokyo
The Earth is concave. Don't transpacific cables travel less distance?
Yeah I'm pretty sure cables will always beat satellites over the same distance. One interesting idea I heard was to string stationary drones that would relay microwaves across the ocean, similar to what was done with the relay towers between Chicago and New York.
Re: 0+: A double digit Sharpe HFT strategy
#19Interesting, 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
Yale finance could argue that the https://en.wikipedia.org/wiki/Perpetual_bond has priority with the oldest example being 1624 as the holder has the option to collect coupon payment. Currently, Yale has the opportunity to write up and sell the option on the coupons (back to the water board if they wanted to make it a little less unfeasible of being "perpertual") and turn the original "bond" into a zero coupon "bond"? (more of an annuity given the principal can never be collected - unless doubtfully they were written as callable).
Re: 0+: A double digit Sharpe HFT strategy
#20Slightly on topic, but could Elon turn starlink into a giant arbitrage opportunity? Once satellite - satellite laser links are up, it could be the quickest link between say NYC and Tokyo
No, Starlink would not be faster than a terrestrial fiber connection