Algorithmic Trading Group Forum - Ultra high frequency FX

FXJunkie

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Re: Ultra high frequency FX
Reply #45 - 01/28/10 at 16:41:44

Very interesting site and discussion.... im looking for a FX savvy quants / programmer who can develop / build my vision but also add their own insightful input... I have access to some of the best fx pricing/execution in the world (stable .2 for EURUSD up $5)....but lack the math / programming sophistication....

Let me know if your up for the challange and adventure. For the right person £££ can be involved...

FXJUNKIE

ps- im hyperparanoid about hurting my currently position so bare with me Cool

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BlackMage

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Re: Ultra high frequency FX
Reply #46 - 01/31/10 at 16:23:06

FXJunkie wrote on 01/28/10 at 16:41:44:

I have access to some of the best fx pricing/execution in the world (stable .2 for EURUSD up $5)

I assume you mean up to 5 million $? What commission are we talking about?

I would generally be interested in knowing more about what's the best obtainable pricing. Currently the best I am offered is approx. 0.3 average on EURUSD (ranging from 0-1.0) with a commission of 20$ pr. million (with potential volume rebates). This is for sizes in a couple of millions. While liquidity and execution looks good, 20$ a million seems a bit expensive (same commission is obtainable with retail brokers...).

Anyone got comments on this?

Another thing to look for is how badly the banks are able to screw you with "dirty tricks" on a particular platform Wink

FXJunkie wrote on 01/28/10 at 16:41:44:

ps- im hyperparanoid about hurting my currently position so bare with me Cool

Understandable. The field of HF/auto trading is about as secret as it gets...

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Nishant

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Re: Ultra high frequency FX
Reply #47 - 02/03/10 at 06:15:30

FXJunkie wrote on 01/28/10 at 16:41:44:

Very interesting site and discussion.... im looking for a FX savvy quants / programmer who can develop / build my vision but also add their own insightful input...

... and I am a programmer looking to program some strategies

... i am currently developing very very basic strategies ... i am keenly looking for opportunities on learning business.

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Algo Designer Forum Administrator Offline Nihil desperandum Posts: 182 Sydney Gender:	Re: Ultra high frequency FX Reply #48 - 02/25/10 at 14:15:20 Nicolas, how are your AI strategies doing? Have you tried training and running them on bars shorter than 60m?
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ManInMoon

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Re: Ultra high frequency FX
Reply #49 - 05/14/10 at 10:32:44

qroach,

I am in London area.

I am keen to discuss HF.

qroach wrote on 01/19/10 at 22:27:12:

I just wanted to revive the thread. I am working for a high-freq shop myself at the moment but considering starting something of my own in some not so distant future.

I am very interested in this discussion if there is still anybody around.

Also, is anybody here who is doing quantitative trading/research in London area?

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AlgoHFT Newbie Offline I like this forum! Posts: 1	Re: Ultra high frequency FX Reply #50 - 08/13/10 at 14:19:25 Hi, New to this forum. Is this thread still active? J
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Algo Designer Forum Administrator Offline Nihil desperandum Posts: 182 Sydney Gender:	Re: Ultra high frequency FX Reply #51 - 08/13/10 at 22:57:24 It has been inactive for a while, but I would like to revive it.
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Jeff S

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Re: Ultra high frequency FX
Reply #52 - 09/28/11 at 14:20:06

I'd also be very interested to see this thread become active again.

I'm very much a beginner when it comes to quantitative trading, but it seems to me that the profitability of HF strategies deployed in the FX market would be dependent upon superior execution algorithms. I backtested a very simple but very robust trading rule with 1-min currency data that showed excellent results initially, but proved to be an unmitigated disaster after slippage and transaction costs were accounted for.

The trading rule I used modelled the mean-reversion of the time series and, because the trading frequency was so high, the variance of the returns asymptotically approached zero. I couldn't (and still don't) understand how anybody could make money trading at such high frequencies when even this extremely profitable strategy wasn't able to stand up to the effects of slippage.

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kamensk

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Re: Ultra high frequency FX
Reply #53 - 02/19/12 at 16:33:17

ultra high frequency ? you talking about 10b/s data prosesing ?
how math money do i need to start in ultra HF ?
i think CME link form $600- $12000 ,
data enter server just rack space $125,
so so server SSD drives $5000,
CME lease seat chapest one idem-4 $70 just for DOW
or any good !! not scam for $ 1000 , currenex account starts from $50000 and up
. low latency data $1000 p/mo
Do you think possible to start Ultra HFT for litle less then $200000 ?
Grin

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90delta

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Re: Ultra high frequency FX
Reply #54 - 02/29/12 at 18:25:47

Most HF FX strategies are liquidity providers as opposed to crossing the spread. Triangular arbitrage opportunities occur so infrequently that it's near impossible to trade and even harder to build out an entire desk/strategy based on triarb opportunities.

Most firms are making markets on multiple legs and instruments and trading the bid/ask spread against each other (spot cash vs. equity vs. future).

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Algo Designer Forum Administrator Offline Nihil desperandum Posts: 182 Sydney Gender:	Re: Ultra high frequency FX Reply #55 - 02/29/12 at 22:11:31 Absolutely agree with your comments. kamensk, setting up an HFT desk will cost a lot more than USD200K.
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FXHFT

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Re: Ultra high frequency FX
Reply #56 - 04/27/12 at 16:30:55

Cooper wrote on 04/06/09 at 13:46:12:

It seems to me that forex spreads are so wide as to make ultra-high frequency very difficult. I stick to medium-high frequency.

If you execute UHFT with low volume (range $1-$3 million), I can recommend you Tier2 with spreads 0.1-0.5 at the fifth decimal - only for institutional players of course). Send me PM.

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FXHFT

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Re: Ultra high frequency FX
Reply #57 - 04/27/12 at 16:34:26

Algo Designer wrote on 02/29/12 at 22:11:31:

Absolutely agree with your comments.

kamensk, setting up an HFT desk will cost a lot more than USD200K.

Hum, read about http://www.streambase.com/products/streambasecep/streambase-studio/#axzz1t9LB4Qi.... A couple of large Tier1 are using it, some decent HFT FX hedge funds and some market makers - as far as I am informed.

The good thing is, you can change HFT strateges "on the fly" - means you don´t need a developer "department"...

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DTD

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Re: Ultra high frequency FX
Reply #58 - 06/20/12 at 05:01:02

I was wondering why everyone only uses bar data to generate signals here. Obviously there is the risk of over-trading when you sample at a much higher rate (say seconds) than your desired trading frequency but surely this can be accommodated by using EMAs?

For example, I am attempting to train a ANN to forecast the sign of the difference of an EMA which naturally doesn't change nearly as much as the underlying high frequency data. Yet I hopefully am not throwing out as much signal as simply sampling at 60min? :-/

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