SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 8 matches

by maxw
December 13th, 2013, 11:58 pm
Forum: Trading Forum
Topic: HFT Algorithms
Replies: 20
Views: 9117

HFT Algorithms

<t>This might sound like a stupid question. But where do I find a mentor? Look up hft firms and see if someone will talk to me?I tried contacting someone who did it at elite traders. He told me to give up before I even started seeing I didn't have the infrastructure to compete with the big boys. I'm...
by maxw
December 9th, 2013, 11:56 am
Forum: Trading Forum
Topic: HFT Algorithms
Replies: 20
Views: 9117

HFT Algorithms

Indeed! And how do you know if your strategy development process doesn't have a leak (accidentally using future data to trade the past) or has overfitted the backtest data? ----This is the problem I ran into. But I'll give the Monte carlo algorithm a try and see what happens.
by maxw
December 9th, 2013, 11:54 am
Forum: Trading Forum
Topic: HFT Algorithms
Replies: 20
Views: 9117

HFT Algorithms

<t>1) What order types are you using?I use limit orders and only use market orders when I'm trying to unwind a position that has gone bad on me and I want to get out. 2) are you posting bids when attempting to buy?No I don't do that. I buy at the ask, or sell at the bid so I get quick fills.3) What ...
by maxw
December 4th, 2013, 2:16 am
Forum: Trading Forum
Topic: HFT Algorithms
Replies: 20
Views: 9117

HFT Algorithms

<t>Hello All,I'm new to hft (have collocated box in NYC). I just got started in August with little success. I had been researching and implemented about 10 strategies which relied on pattern recognition, machine learning, beysian algorithms, random motion prediction as well as some artificial intell...
by maxw
December 12th, 2012, 2:02 am
Forum: General Forum
Topic: HFT Order Submission Types
Replies: 5
Views: 9850

HFT Order Submission Types

<t>Thank you for the response. I'm with Interactive Brokers and the orders are at the bid and ask levels for buys/buying cover and selling/selling short respectively. I'll be collocated tomorrow, I'll know by tomorrow or Thursday if latency was the issue. They weren't much help as to what types of o...
by maxw
December 9th, 2012, 8:36 pm
Forum: General Forum
Topic: HFT Order Submission Types
Replies: 5
Views: 9850

HFT Order Submission Types

I'm wondering why I haven't received some direction. Is this in the wrong section?
by maxw
December 8th, 2012, 1:23 am
Forum: General Forum
Topic: HFT Order Submission Types
Replies: 5
Views: 9850

HFT Order Submission Types

I'm using fix to talk to the order servers.
by maxw
December 7th, 2012, 11:29 pm
Forum: General Forum
Topic: HFT Order Submission Types
Replies: 5
Views: 9850

HFT Order Submission Types

<t>I've been working on a hft system for a few years now (part time). I just started testing it against production (not back testing). I use limit immediate or cancel orders limit. Many of them are getting canceled. This could also be due to my latency. Right now Im' 14ms away from the order servers...
GZIP: On