Market Data Trader » HFT

High-Frequency Trading Models Workshop

Alpha — Wed, 06 Apr 2011 20:31:05 +0000

Irene Aldridge will be giving a couple day workshop on HFT models, tools, etc. It’s targeted for Quant Desk Traders, Research Analysts, and PhD students in Finance, Economics, and of course… Math and Physics.

I am most curious about the content on the “reading ticker tape with the machines / what information is accessible from HFT ticker-tape reading.” Personally, being trained by someone who traded only from Time and Sales data alone for years, I have a lot of personal intuition about the space. It would be interesting to hear where my intuitions line up with common industry understandings.

I can save you time if you are curious about cutting edge technologies… build vs. buy. Of course, buy if you can… and have nothing… and start with Streambase if you can afford it. For those of you who are interested, more information can be found out here.

Retail Trading Isn’t Dead

Alpha — Wed, 28 Jul 2010 13:25:37 +0000

I spent last weekend in Chicago with a large group of traders. It was a wonderful group, quite an international group. We had individuals from Germany, China, Taiwan, Switzerland, Croatia, and more. I was pleasantly reminded that there ARE individuals out there who have exceptional trading skills and manage themselves just fine in the financial markets. This blog entry is dedicated to the retail trader.

On the brokerage front… my favorite retail broker remains thinkorswim. PFG was popular with many of the traders. I also think quite highly of Interactive Brokers. Rumors of a high frequency service for retail are out in the press.

In terms of markets… the crowd was largely focused on simple approaches towards US futures markets. Very few even understand options strategies. Little have interest in stocks and even claim that stocks are harder to “grasp” than commodities. They all seem to be smart enough to stay away from the “forex” buzz. And, I didn’t run into anyone who was playing around with any thing too complex or exotic such as high-frequency or exotic derivative or complex interest rate products. Very few intraday traders were represented.

Popular references from the weekend:

CEP, Streambase, and HFT

admin — Fri, 16 Jul 2010 06:48:17 +0000

If you are interested in High Frequency Trading (HFT), you better get to know Complex Event Processing (CEP). I suggest taking a look at Streambase’s site. They have some good recorded web casts and white papers. They’ve been at it much longer than anyone else that I’ve come across. If you have the dollars to spend, they seem like the premium solution.

Very cool space emerging there. I’m looking forward to watching the CEP industry mature. As time allows, I will explore regressions on High Frequency data sets. Fun!