Quant版 - WSJ Today's News: Algo Trading vs High Frequency Trading |
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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
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