The accidental HFT firm

The Kickstarter for those interested in the story of a small HFT firm that succeeded in a modest way against the big guys. A trick or two not found in any textbook may be of interest.


Sunday, 10 June 2018
The accidental HFT firm - the book

Wednesday, 24 January 2018
The accidental HFT firm


Collecting intentions and topics for feedback. Not really expecting hard subject areas but covering such topics in the narratives, but tell me different if you have a preference or suggestion.

Intentions


  • KRX hacking
  • ASX reverse engineering
  • OSE hacking - why negative latency doesn't help
  • TMX - Nasdaq interlisted arb - giant hiccough and making a strategy work
  • FPGA for markets - a little history and practice
  • AI / ML / quant
  • The ATS that wasn't
  • Deals to no deals
  • Building the world's fastest switch, matching engine, and OMS/EMS
  • Brief legal wrangling and personality bumps
  • Simulation, agility, productivity
  • Asset management and HFT
  • The canaries and some other specific tricks (as per particular venues)
  • Coding and machine architecture for HFT


Requests


  • Experience with portfolios and combining strategies, how to run many strategies
  • Experience with edge evaporation, adjusting strategies over time
  • Be careful with technical topics, especially hardware, and make sure novices may follow (13 June)
  • May it as techy as possible, as opposed to the previous point (18 June) ;-)
  • Risk management - banks vs funds, style for trading (13 June)
  • General thoughts on market structure and stock exchanges: what makes a good stock exchange, what makes a bad one. Is it that HFT's grab a share of the buyer/seller surplus? (13 June)
  • Option trading specifics (15 June)
  • FPGA market data feed parsers - architecture (15 June)
  • "gotchas" you've encountered over the years that a new trader could avoid
  • "love to see some things about fast vol/option modelling actually, but maybe that's for the sequel" (15 June)


Probably not, unless wanted


  • Traditional prop trading and systematic modelling (BT / Felix Fund)
  • Risk management, portfolio, prime, VaR, scenario
  • Vol modelling
  • Option trading specifics



2 comments:

  1. love to see some things about fast vol / option modeling actually, but maybe thats for the sequel

    ReplyDelete
  2. Please make it as techy as possible, that would be a real value

    ReplyDelete