HFT, Arbitrage - page 4

[[Deleted]]

_new-rena:
you should also not make money on slippages.... the time you gave the "close/open" command is not included in the report, it's the execution time. so try to check if the execution price has not flown out of the candle. imagine what happens if a tick history appears? it cannot be that other quotes are tipped just because of your order.

Well, thank goodness they are not vested with the meta-quotes power to give prices individually - even ticks (although...anything is possible). They are common to all clients within the same DC. Only the execution can regulate. But that is enough for them. ) And within different brokerage companies the ticks are specifically different - each one has its own filters. But, mainly by snapshot...frequency, spreads. The arbirage between different brokerage companies is within costs and slippages... Although, I did not check it... only few brokerage companies.

[Mikhail Filimonov]

Good afternoon!

Today, REAL HFT (order execution speed <= 1ms) is not available to the private sector.

Huge financial costs! ( One machine, as required by the exchange, will cost 150 rubles).

Plus demand exchanger interval in the activity of your machine - no more than 5 minutes.

Plus - the worst market!

It is true, a few people united, can implement their ideas in a REAL HFT.

Everything else is "fast trading". I think there is no point in discussing HFT further.

It is much more interesting to create a topic:

FORTS:Strategies and how to implement them

https://www.mql5.com/ru/forum/42542

[[Deleted]]

Mikalas:

FORTS:Strategies and how to implement them

Scalping strategies, for example. Although, HFT is an elastic concept. On the HDI, if there are more than 300 transactions per day, they already equate to HFTs... like an "active trader".

[TheXpert]

HFT can be called any strategy for which the greatest risks are the execution risks.

[[Deleted]]

Mikalas:

Good afternoon!

Today, REAL HFT (order execution speed <= 1ms) is not available to the private sector.

Huge financial costs! ( One machine, as required by the exchange, will cost 150k r).

That's right.

"The owners of the robots that won the "Best Private Investor" competition in 2011 spent between 100 and 500 thousand roubles per month on services related to direct access. However, given that some traders (although they were not so many) managed to reach a yield of 8000% and earn millions of rubles per month (taking into account all broker and exchange commissions), these costs are quickly enough recouped."

Source http://habrahabr.ru/company/itinvest/blog/204620/

[alseek]

Mikalas:

Good afternoon!

Today, REAL HFT (order execution speed <= 1ms) is not available to the private sector.

Huge financial costs! ( One machine, as required by the exchange, will cost 150 rubles).

Plus demand exchanger interval in the activity of your machine - no more than 5 minutes.

Plus - the worst market!

It is true, a few people united, can implement their ideas in a REAL HFT.

Everything else is "quick trading". I think there is no point in discussing HFT further.

It is much more interesting to create a topic:

FORTS:Strategies and how to implement them

https://www.mql5.com/ru/forum/42542

Facts in the studio.

Here's the cost of Co-location services, or placing equipment in Moscow Exchange's Data Centres

http://moex.com/a1374

20 tr. 1 computer and 2 tr line to the exchange for 100 Mbit / s + external connection 2 tr. Total 24 tr + VAT,

For HFT, the market is not critical, they catch any movement. Slippage is HFT.

Another question is who does it and is it real for a mere mortal to get into it?

I recommend "Flash Boys: The High Frequency Revolution on Wall Street".

[Mikhail Filimonov]

alseek:

Facts in the studio.

Here are the costs of Co-location services or equipment deployment in Moscow Exchange's Data Centres

http://moex.com/a1374

20 tr. 1 computer and 2 tr line to the exchange at 100 Mbit/s + external communication 2 tr. Total 24 tr + VAT,

For HFT, the market is not critical, they catch any movement. Slippage is HFT.

Another question is who does it and is it real for a mere mortal to get into it?

I recommend reading "Flash Boys: The High Frequency Revolution on Wall Street".

And why do you think your knowledge is superior to that of others?

Now calculate how much it will cost (it's your own blood money to buy):

• HP Proliant DL 360.
• Two power supplies.
• Two processors.
• Redundant memory.
• Redundant disk subsystem.
• Integrated Lights-Out Advanced remote management system.

[Vladimir Karputov]

Mikalas:

And why do you think your knowledge is superior to that of others?

Now calculate how much it will cost (you have to buy it for your own money):

• HP Proliant DL 360.
• Two power supplies.
• Two processors.
• Redundant memory.
• Redundant disk subsystem.
• Integrated Lights-Out Advanced remote management system.

Where are the prices? Roughly, at least.

[Mikhail Filimonov]

barabashkakvn:
Where are the prices? At least approximately.

Yandex Market to the rescue!

[Vladimir Karputov]

Mikalas:
Yandex Market to the rescue!

By the way, about the memory, the information is wrong :).