finance - High Frequency Trading -

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In the last few weeks I have come across many articles about high frequency trading. They all talk about how important computers and software are, but since they are all financially written, there is no information about what the software does.

What is a high-frequency business that can explain from a programmer's perspective? And why is computer / software in this area so important?

Paul said that to expand:

executing HFT or UHFT The server is almost always coordinated in the data center of the exchange, it reduces the latency and permits permission to use alga order (which may soon be banned) for first viewing on the order flow before the order is transmitted to the market Gives several algms in a few milliseconds Been afraid of evaluation and it is a game where the case Misekend. Trading groups are known to hire all the shutters to hire custom developers to hire kernel developers in order to optimize better time between NICs when order is received and resultant action is taken. .

Large bucket of commonly used strategies:

Firstly, doing business in front of big block order. To use Paul's example to buy IBM's one million shares, it will seek to pressure the purchase of HFT LAG. Computers will need to share information in different exchanges and deep pools because the order will be split and will usually be executed in many exchanges and dark pools. An HFT LEGO will use a statistical / machine-learned model to predict the size of the purchase pressure, and if it determines that enough, then it will also collect all the shares of the markets and sell them for a higher price Will try.

The second liquidation exemption is the trade where the exchange market will pay the participants to add liquidity. () The shares purchased or sold can be held for a short time only. The goal is to collect only the ribbons and break everything else.

In the type of these two strategies, make a penny (or fraction) on a business and do so many times per day.

As you may have noticed that many HFT jobs are available and thus business is becoming more crowded. I look at it in a situation like the early 2000's and eventually business will not be very profitable because many players have tried to make it.

So why the software is important: the matter of milliseconds is very important for latency and the code should be tight, fast and rock solid stable. Your market is not very profitable when an Elgo crashes and is caught with stocks. Engineering is essentially different for these requirements and different skills are required. Due to shortage of full order book in real time, some horsepower and good algorithms are essential. It's fun and interesting.


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