High Frequency Trading
nyone know of U.S.-based clearing firms with technology for IBs that has multi-currency and multi-exchange
Written by Administrator Tuesday, 24 May 2011 15:59
Anyone know of U.S.-based clearing firms with technology for IBs that has multi-currency and multi-exchange (automated OMS/direct link to foreign markets esp. Canada)? Other than Penson or Pershing?
Not sure there are many options. Why avoiding Pershing and Penson?
R.J. O'Brien and NewEdge should meet your requirements.
http://www.jitneytrade.com/en/, try them. Multi currency and Multi asset and experts in Canada. Have tecnology for Prop Traders and BD and Instiutional
Master's in High Frequency Finance
Written by Administrator Monday, 02 May 2011 13:15
Master's in High Frequency Finance http://jonathankinlay.com/?p=375
I have been discussing with some potential academic partners the concept for a new graduate program in High Frequency Finance. The idea is to take concept of the Computational Finance program developed in the 1990s and update it to meet the needs of students in the 2010s.
I would be interested in feedback and suggestions as to the proposed content of the program.
I know a professor at NJIT who is focusing on HFT as well but mostly on tech side, quant side might be an interest to them. Please let me know if you like an intro.
High frequency trading: what latencies are required of a trading system to be com,petitive in this space
Written by Administrator Monday, 02 May 2011 13:08
Curious to hear what latencies are required of a trading system to be competitive in this space (measured as reaction to mkt data, calcs, etc & out to mkt). Appreciate any thoughts & insights
Based on prior questions you'll need to narrow down this question a fair amount to propagate a good discussion
We are having a problem to short shares in our high frequency box
Written by Administrator Wednesday, 27 April 2011 12:54
We are having a problem to short shares in our high frequency box. Shares that are hard to Borrow need to be located before order is executed, wich is a proplem for HFT. Any insights?
• Well, you can get the abused ones on the list from OCC web.
ave a look at Merrill Lynch or Goldman's Stock Loan desk. They should be able to assist you on the Prime Broker side
I don't see why the need to locate ahead of a short is a problem. We locate thousands of names for our clients every day. We operate via standing locates (found every day), weekly lists supplied by clients, start-of-day requests, as well as intra-day locates with very fast turn-around from our clearing broker partners. All of these solutions are employed by our HFT customers with no problems.
how large is your 'huge universe'? We typically have customers with a couple thousand locates on a daily basis and this is no problem.
Not that huge heheheh.... So the solution would be to locate all shares in the begining of the day for a standard lot?
Normally the prime broker side would have a list of stocks that are easy to borrow: so you have eliminated the very liquid ones and the rest of the universe you have to get an update at the beginning of the day as to how much you will be able to borrow and the HFT can update this in real time as you get fills. If you are looking at prop HFT applications then you will have to take long and short positions of other applications into consideration in real time as well
When you perform your search? Is it in a pre-/post-market time or regular hours? If you do your screening at the time LIMIT commands are available, the best solution is to issue for each such security a SELL SHORT LIMIT command with a very high limit, like 1M. In case the security is not shortable you'll fail. Otherwise just cancel the command.
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