Algorithmic Trading Group Forum - Ultra high frequency FX

Algo Designer Forum Administrator Offline Nihil desperandum Posts: 182 Sydney Gender:	Ultra high frequency FX 03/23/09 at 04:02:00 Does any of our forum members specialise on ultra high frequency FX algorithmic development/trading?
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esmondo Newbie Offline I like this forum! Posts: 1	Re: Ultra high frequency FX Reply #1 - 04/06/09 at 13:03:54 If you are talking about FX Futures, then i might eb able to assist you.
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Cooper Newbie Offline I like this forum! Posts: 5	Re: Ultra high frequency FX Reply #2 - 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.
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BlackMage Newbie Offline I LOVE this forum! Posts: 7	Re: Ultra high frequency FX Reply #3 - 04/06/09 at 13:58:37 What is your definition of "ultra high frequency"?. This often means different things to different people. Spreads in spot forex is generally lower than in e.g. CME currency futures, so this should not necessarily be prohibitive for (ultra) high frequency trading.
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Alexander Temerev Newbie Offline Mercata facti consequens Posts: 4 Geneva, Switzerland Gender:	Re: Ultra high frequency FX Reply #4 - 04/06/09 at 14:36:08 Algo Designer wrote on 03/23/09 at 04:02:00: Does any of our forum members specialise on ultra high frequency FX algorithmic development/trading? I do. Any questions?
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Algo Designer

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Re: Ultra high frequency FX
Reply #5 - 04/06/09 at 14:47:43

esmondo wrote on 04/06/09 at 13:03:54:

If you are talking about FX Futures, then i might eb able to assist you.

I am experimenting with a number of high-frequency trading algorithms generating quant signals and making market "around them" as well as crossing the spread. FX Futures is one of the instruments the models can employ.

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Algo Designer

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Re: Ultra high frequency FX
Reply #6 - 04/06/09 at 14:59:42

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.

Very true, especially in the current market conditions. What it means from my perspective, is that even if the market local / global microstructures are identified and the theoretical signal are statistically sound, most of them cannot be traded upon. This is where a robust execution strategy would come in handy to work the signal while it is valid and avoid crossing the spread to avoid significant transaction costs that kill the Sharpe ratio and the overall risk profile of the strategy.

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Algo Designer

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Re: Ultra high frequency FX
Reply #7 - 04/06/09 at 15:15:14

BlackMage wrote on 04/06/09 at 13:58:37:

What is your definition of "ultra high frequency"?. This often means different things to different people.

Spreads in spot forex is generally lower than in e.g. CME currency futures, so this should not necessarily be prohibitive for (ultra) high frequency trading.

In my definition, anything that averages at least one signal a minute (more or less). The number of real trades can be lower or higher depending on the market liquidity and the rate of change.

Yes, FX ultra high frequency trading is easier to implement on FX spot due to its liquidity.

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Algo Designer

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Re: Ultra high frequency FX
Reply #8 - 04/06/09 at 15:30:19

Alexander Temerev wrote on 04/06/09 at 14:36:08:

Algo Designer wrote on 03/23/09 at 04:02:00:

Does any of our forum members specialise on ultra high frequency FX algorithmic development/trading?

I do. Any questions?

Great! Lots of them. FX algorithmic space is a fascinating new area compared to relatively well established cash equities for example.

I would like to engage a group of like-minded individuals to discuss topics varying from signal generation to optimisation of executions strategies that deliver them to the real market, including but not limited to:

Research tools
Quant libraries
Data management tools and systems
Market data vendors
Market makers and liquidity providers
Strategy design and persistent patterns
Testing methodologies and techniques
Crash analysis
Order optimisation and execution strategies
Risk management
Performance Monitoring
Active strategy selection

The list goes on and on...

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Alexander Temerev

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Re: Ultra high frequency FX
Reply #9 - 04/06/09 at 23:56:42

Algo Designer wrote on 04/06/09 at 15:30:19:

I would like to engage a group of like-minded individuals to discuss topics varying from signal generation to optimisation of executions strategies that deliver them to the real market, including but not limited to:

Research tools
Quant libraries
Data management tools and systems
Market data vendors
Market makers and liquidity providers
Strategy design and persistent patterns
Testing methodologies and techniques
Crash analysis
Order optimisation and execution strategies
Risk management
Performance Monitoring
Active strategy selection

The list goes on and on...

My own little business is taking a trading idea from quants and turning it into fully automatic strategy deployed in production and running 24x5. I develop connectivity links to data providers / liquidity providers, smart order routers / executors etc. Also I solve problems like temporarily thin / absent liquidity, dealing with reconnections / network failures, optimizing execution for lowest slippage, and other grease monkey tasks no one else wants to take.

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Nicolas Macherey

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Re: Ultra high frequency FX
Reply #10 - 04/07/09 at 10:29:08

Hi,

I am developping automatic forex trading strategies in a middle High Frequency mode. (60 min to daily charts).
My business is oriented toward the developpement of fully automated trading strategies starting from historical price data and going to order generation. (Market neutral, Absolute returns...)
If you need any info...

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Nicolas

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Algo Designer Forum Administrator Offline Nihil desperandum Posts: 182 Sydney Gender:	Re: Ultra high frequency FX Reply #11 - 04/08/09 at 13:05:24 I am experimenting with a set of fully automated engines in 10 - 15s range (spot FX) taking care of all the essential layers, market data, pre-processing, prediction engine, optimisation, back-testing, walk-forward testing, trade simulation, order execution strategy, OMS, market links, etc.
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ManInMoon Newbie Offline I like this forum! Posts: 7	Re: Ultra high frequency FX Reply #12 - 04/15/09 at 11:24:27 Hi guys, Is anyone actually running Forex HF models right now? Moon
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Nicolas Macherey Newbie Offline I love systematic trading Posts: 12 Lyon (FRANCE) Gender:	Re: Ultra high frequency FX Reply #13 - 04/15/09 at 11:44:35 It depends what you mean by High Frequency, I am running 60 min and Daily Forex models on EURUSD and USDCHF
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ManInMoon Newbie Offline I like this forum! Posts: 7	Re: Ultra high frequency FX Reply #14 - 04/15/09 at 12:24:00 Hi Nicolas, 60 mins sounds interesting. Can you give me an idea of your daily tradecount for those? i.e. do you trade just 1 or twice a day on average, or much higher? Moon
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