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Quant版 - WSJ Today's News: Algo Trading vs High Frequency Trading
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1 (共1页)
p***o
发帖数: 836
1
This could be breaking news. This article discusses how Sell Side anti-game
High Frequency Traders --- Good insight for those who want to enter HFT world .
.. or even the Algo Trading business.
Thor Enters the High-Frequency Trading Arms Race
http://blogs.wsj.com/marketbeat/2011/01/14/thor-enters-the-high
"Putting the hammer to high-frequency traders"
http://www.theglobeandmail.com/globe-investor/putting-the-hamme
f*******y
发帖数: 988
2
想法不错,不过有一个问题,就是这个想法需要
所有的venue的网络线路的jitter很小
,这样才能保证child order
最大和最小相差在某个阈值之内
随着venue数目N的增大,误差会越来越大,
保持在阈值里面的可能性越小;而且一般
dark pool的线路会糟糕一点,
有一条线路的jitter很大这个方法就废了
这还是只考虑了线路的jitter,
要是考虑matching engine本身对
load敏感度,恐怕有点危险
不过应该比现在的做法肯定有improvement
和Algo Trading没有任何关系,甚至对
HFT也没啥大影响,HFT这个行业基本已经饱和,
尤其是美国股票类,几年之内主要的player
应该都会在朝廷的压力下招安,做exchange的
法定MM,利润空间不会太大了

anti-game
HFT world .
frequency-trading-arms-race/
high-frequency-traders/article1871294/

【在 p***o 的大作中提到】
: This could be breaking news. This article discusses how Sell Side anti-game
: High Frequency Traders --- Good insight for those who want to enter HFT world .
: .. or even the Algo Trading business.
: Thor Enters the High-Frequency Trading Arms Race
: http://blogs.wsj.com/marketbeat/2011/01/14/thor-enters-the-high
: "Putting the hammer to high-frequency traders"
: http://www.theglobeandmail.com/globe-investor/putting-the-hamme

z****g
发帖数: 1978
3
As the old saying in the trading community: Any strategy that relies on
execution will fail eventually.

game
world .
frequency-trading-arms-race/
high-frequency-traders/article1871294/

【在 p***o 的大作中提到】
: This could be breaking news. This article discusses how Sell Side anti-game
: High Frequency Traders --- Good insight for those who want to enter HFT world .
: .. or even the Algo Trading business.
: Thor Enters the High-Frequency Trading Arms Race
: http://blogs.wsj.com/marketbeat/2011/01/14/thor-enters-the-high
: "Putting the hammer to high-frequency traders"
: http://www.theglobeandmail.com/globe-investor/putting-the-hamme

1 (共1页)
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这个职位怎么样(trading 相关)low latency和high frequency trading是一回事吧
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话题: trading话题: frequency话题: high话题: algo话题: news