hft

HFT ECB Report on NASDAQ Market, NYSE

ECB published a study on the impact of HFT today (NASDAQ, NYSE) to financial markets. The main conclusion, in fact - HFT killed scalping. You can download it here: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1602.pdf The main findings are as follows: HFT makes markets more efficient, reducing pricing errors. If the regulators will wet the HFT, then the market efficiency will decrease, volatility will increase In times of strong market shifts, HFT can increase market volatility. In the overview, all price changes are divided into two types: permanent price changes pricing errors (noise) So HFT improves efficiency, when trading against noise. The noise level is reduced, the price becomes more efficient. But when HFTs start to play in the direction of large orders, they play in a permanent shift direction, and enhance the movement.

How to lose 465 million, Knight Capital report

This, perhaps, most painful bug report, which I have ever read. He colorfully describes the steps, which led to the loss 465 million dollars by Knight Capital due to software bug, which appeared last year and bankrupted the company. This report has all the characteristics of technical debt in a huge, deprived of support and running code base (the error occurred due to the execution of the code, which was not used by almost 9 years) and a terrible and sad story of interaction between software developers and IT professionals.

The sad story of the best Russian programmer VS Goldman Sachs

A month after that, how in 2009 Sergey Aleinikov, the leading programmer of Goldman Sachs, left the company, he was detained. Not the FBI, no jury, seems, did not fully understand, what did he do?. Goldman Sachs accused him of stealing ten megabytes of computer code, and a 41-year-old father of three received eight years in prison. This is the story of the confrontation between an ordinary workaholic and an accusatory machine..

Prop trading: changing dynamics

Regulatory changes are forcing firms to reevaluate their business models at every point in the sales cycle Prop firms were not immune to costs due to low volumes and high compliance, that poison the lives of most organizations in the industry, and what many have struggled with last 18 Months. This led to market consolidation. Here are some recent examples: Getco buys Automat, Marex Spectron преобретает Schneider Trading Associates, Webb Traders merges with Caerus Trading. However, along with the changes, there are also opportunities for prop firms.. Volcker's Rule (Volcker Rule) in the USA and steps, undertaken in Europe to separate prop-trading units from retail banks, reduce the volume of prop trading in banks and further promote traditional prop firms. In the short term, this will reduce liquidity, and also provide an opportunity to recruit talented people, leaving banks. But prop-trading firms also have big short-term problems.. Rising technology costs hit the bottom line, while lower volumes reduce traders' opportunities.

Citadel Securities: Computers, stock market managers

Citadel Securities trading platform has quietly become one of the largest forces in the US stock market. From the 35th floor of an office building in downtown Chicago, Citadel closes one stock deal in every eight in the United States. She trades approximately 900 millions of lots of shares per day. More promotions go through Citadel systems, than through the New York Stock Exchange (New York Stock Exchange, NYSE), which trades approximately 700 millions of lots of shares per day. If you own a retirement account or have ever used the services of an online broker, then your trades almost certainly went through Citadel. The most striking fact about the floor of the exchange is, how eerily quiet he looks. The trading floor is "run" by approximately 40 human, but they only watch computers, which use algorithms to fill in and send exchange orders.

Video: Money and Speed” Inside the Black

Money and speed: "Inside the Black Box" is an action-packed film, based on real events, which takes you to the very heart of our automated world. Based on participant stories and video data played back to the millisecond, he takes us back to events - Black Tuesday 6 May 2010 of the year: the fastest and lowest drop in the American stock market, ever in history. 1 Part 2 Part

500 000 $ behind 1 year (Robot – HFT)

An interesting article was written by Jesse Spaulding in his blog how he made money using high-frequency trading 500 000 dollars from 2009 on 2010 year. This post details how with 2009 on 2010 G. I earned about 500 thousand. dollars using high frequency trading. Since I traded completely independently and no longer use my program, then happy to tell you everything. I traded mainly on Russel 2000 and DAX futures contracts. I believe, that the key to my success was not complicated financial equations, but rather in the complete development of the algorithm, who connected many simple components and used machine learning to optimize and maximize revenue. You don't need to know complicated terminology, because after i installed my program, everything else was based on intuition (Andrew Ng's amazing machine learning course (Andrew Ng) was not yet available then, but if you follow the link, then you will be taken to my current project: CourseTalk - Review Site for Massive Open Online Course (Massive open online course, MOOC)). Продолжение статьи на русском языке можно прочитать у mehanizator

New game in town

For those , who are interested in how High frequency trading works. The above clip shows the most primitive strategies. In fact, there are much more complex algorithms.. I discovered some ideas, some were still used in manual scalping in the past, but now with the help of programs it is much more efficient.
Therefore, the winner of the LCI2009 must have used something close to this., that is, without a complex algorithm and, as it were, manually. Of course you can say, that this is an incomplete automaton since many strategies are already built in and you just need to run them.
Cyborg trading has a lot of video material and they offer such a module , which can be downloaded to some well-known trading platforms.

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