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Nashequilibrium
Topic Author
Posts: 30
Joined: November 21st, 2006, 2:15 am

Highfrequency trading on FX exotics

November 6th, 2008, 4:56 pm

Is there a lot of players in this field? I would guess that many get frightened off by the huge transaction costs that is incurred by the spread, i wanted to know what is the transaction costs like for those who are doing HF trading on exotics? I don't expect to get an answer since most just focus on g7 with low spreads but lets see.......
 
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aiQUANT
Posts: 91
Joined: June 4th, 2008, 6:20 pm

Highfrequency trading on FX exotics

November 6th, 2008, 9:15 pm

heh... never heard of HF on exotics.... I think you've asked the question 30 years too early!
 
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Alan
Posts: 10020
Joined: December 19th, 2001, 4:01 am
Location: California
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Highfrequency trading on FX exotics

November 7th, 2008, 12:06 am

Sorry - deleted -- answered a different question.
Last edited by Alan on November 6th, 2008, 11:00 pm, edited 1 time in total.
 
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nazzdack
Posts: 256
Joined: March 3rd, 2004, 9:50 am

Highfrequency trading on FX exotics

November 7th, 2008, 6:40 am

You could attempt to be a "hero" by clamping down on the bid/ask spread and see if you get filled on both sides.
 
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Nashequilibrium
Topic Author
Posts: 30
Joined: November 21st, 2006, 2:15 am

Highfrequency trading on FX exotics

November 9th, 2008, 6:56 pm

In the real world, the "hero" always dies!
 
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Nashequilibrium
Topic Author
Posts: 30
Joined: November 21st, 2006, 2:15 am

Highfrequency trading on FX exotics

November 9th, 2008, 6:59 pm

The issue that i see is that many of the brokers spreads vary by a huge margin, you could find usd/zar going from a 60 point spread to a 300 then 600 point spread during the day. Its hard to model for that, if the varance of the spread was smaller it would make everything a lot more simpler.
 
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BornToBeTrader
Posts: 107
Joined: November 14th, 2004, 12:23 am
Location: New York

Highfrequency trading on FX exotics

November 13th, 2008, 1:09 am

Your spread depends on the liquidity of the pair. E.g. there are ECNs out there that will give you spread of as low as 1 pip on EUR/USD (the most liquid pair). During Japanese trading hours, you'll see spreads very low on USD/JPY . I'm not surprised to hear spreads of 60 pips on USD/ZAR since I'm not sure how liquid this pair is. But, 300 - 600 PIPS r u sure? Where are you getting your quotes from?
 
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BornToBeTrader
Posts: 107
Joined: November 14th, 2004, 12:23 am
Location: New York

Highfrequency trading on FX exotics

November 13th, 2008, 1:14 am

So...You think there is a chance we will see a very liquid OTC market for Exotic options ever? Considering how people blame the quants and exotics for the recent crises, I'm not sure if it will ever get there..... (I could be wrong, which is why I'm asking why do you say " 30 years too early")
 
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BornToBeTrader
Posts: 107
Joined: November 14th, 2004, 12:23 am
Location: New York

Highfrequency trading on FX exotics

November 13th, 2008, 1:15 am

P.S. sorry for multiple posts but the last message (Wed Nov 12, 08 09:14 PM) was for aiQUANT.
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