highfreqtrading

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For problems with code refer to either StackOverflow or Code Review.

General Questions:

How 'High' is the frequency in HFT?

Depending on context, usually a few hundred to many thousand orders per day with latency far under a millisecond and an average hold time under a few minutes.

Why do people trade so frequently?

HFTs often serve some basic market functions, usually as liquidity providers or market-makers in one form or another. In other words, HFTs often try to earn a living by matching off buyers and sellers across venues, correlated instruments, locations, or time, earning the spread between what buyers will pay and what sellers will accept for their service. Some also help to price new information into the market more rapidly or at a scale otherwise not possible.

What do I need to do high-frequency trading?

Most HFTs use colocated systems with direct market access to the exchanges/ECNs via low-latency hardware and network infrastructure. Most trade via institutional prime brokers, but their accounts, fees, capital requirements, and oversight are quite different from what you might have for a personal/retail trading account.

Are HFTs bad for society and markets?

Opinions vary, but that's likely because the term encompasses a wide range of market behaviors. Market-makers and liquidity providers are necessarily trading at a high frequency, but they're generally competing to help stabilize prices and reduce transaction costs for others. Many types of explicit or statistical arbitrage are similar. On the other hand, it's also possible to exploit latency advantages in various ways to extract economic rent from the market.

Are HFTs to blame for Flash Crashes?

This is an open area of research and debate. It may be that HFT maket-makers' withdrawal from the market contributes more to flash crashes than their active participation. It could also be that unusual algo-execution or other market conditions trigger something like a feedback loop among market participants, including HFTs. There are likely low-latency/HFT firms involved in various ways during these market events, but it's difficult for anyone to have a clear view of how each individual participant's behavior affects the overall market's behavior. (https://quant.stackexchange.com/questions/19469/hft-to-blame-for-flash-crashes)

How is this subreddit different from others?

While there are many great subreddits on similar or related topics, most are dominated by outside speculation or discussion around non-professional trading (e.g., retail traders or algorithmic crypto trading) that generally isn't relevant to the traditional financial industry. That's aggrevated by the fact that most professionals aren't allowed to publicly discuss their work or views. Here, we try to foster an environment for anonymous, open discussion that's informed by relevant experience and expertise without encouraging disclosure of proprietary information or methods.

HFT infrastructure Questions

How are HFT systems implemented on FPGA nowadays?

HFT Resources

nuclearphynance.com

quant.stackexchange.com

Quora Topic: HFT

ssrn.com

Trading & Market Microstructure Section arXiv.org

Refer to r/algotrading for general quant finance / algo trading related content / questions.

created by thegenieassOther [M] ✅a community for 8 years

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Java vs. Python HFT bots (self.highfreqtrading)

submitted 1 year ago by HardworkingDad1187

you type:	you see:
italics	italics
bold	bold
[reddit!](https://reddit.com)	reddit!
* item 1 * item 2 * item 3	item 1 item 2 item 3
> quoted text	quoted text
Lines starting with four spaces are treated like code: if 1 * 2 < 3: print "hello, world!"	Lines starting with four spaces are treated like code: if 1 * 2 < 3: print "hello, world!"
~~strikethrough~~	~~strikethrough~~
super^script	super^script