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20/58
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Introduction:

High frequency trading has been around since 1999, it started when the US Securities and Exchange Commission decided to authorize electronic exchanges in 1998. At the start of twenty first century the execution time of HFT trades was around several seconds but due to the advancement in technology, the time has dropped from 2-4 seconds to milliseconds or even microseconds. Outside the financial sector, high frequency trading was not known to many until an article published by New York Times on HFT brought the subject to few people's attention. So, here are some details on high frequency trading.
High Frequency Trading(HFT):

High Frequency trading or simply HFT is typically algorithm based trading characterized by high speeds, high order-to-trade ratios and high turnover rates. HFT's main features are highly sophisticated algorithms, very short-term investment horizons and specialized order types. Simply put, HFT uses super fast computers to execute many orders in a very short time, it uses complex algorithms to analyze different markets and open trades according to market conditions. In the year 2009, it was estimated HFT was accounted for about 60-70% …
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Milian avatar
Milian 21 Sep.

nice work

scramble avatar
scramble 25 Sep.

It's been said that these HFT machines can make a gigantic profitable return over a year with an impressive profitable ratio. Considering the huge costs for it to work, they are the clear representation of the sentence "money makes money, nothing makes nothing"

fxsurprise8 avatar

HFTs are great, they've drastically lowered trading costs

Illya avatar
Illya 7 Oct.

Another word about HFT!!! Very well!

Uladzimir avatar
Uladzimir 11 Oct.

интересно

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15/38
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Hello dear community members !
I want to discuss about the latest public debate that concerns all community trading :High Frequency Trading or short ( HFT ). Have you heard before about HFT and the impact it has on the market ?I hope so ...Ok , in this article i want to discuss about :
  • What is HFT ?
  • Who are the big flash boys ?
  • It is good or bad for society ?
  • It is fair or not that someone has the power to be the first in every single order ?
  • What we should to do get protected from them ?

High speed trading is a hot topic nowdays and a huge money maker… They are calling with different words such as “The New Normal “, “The Crazy Race of Humans vs Machines” , “The Algos Battle “ recently I ‘ve heard even “The Fast and the Furios “metaphor…Definitions differ, but at its most basic, high-frequency trading implies speed .High Frequency Trading ( HFT ) is a computer complicated algorithem that makes trades in the most shortest timeframe ever : in a fraction of one second, wining and losing millions of money in a blink of an eye…This technological environment has been successful for market makers and HFT trading firms scalping the market in milliseconds for making us belive that a…
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Fxtrader500 avatar

I don't think HFT is a problem for forex at the moment.

Erialda avatar
Erialda 5 June

Thank you all for your kind comments and support , happy trading to all of you and best of luck :)))

portugaluvaloda1 avatar

Really cool article.thanks!!

ssg786 avatar
ssg786 11 Mar.

pls suggest me five stocks in which bid price is greater than ask price in nyse
so that i can exploit this arbitrage opportunity

ssg786 avatar
ssg786 11 Mar.

pls tell me five stocks in nyse with negative bid ask spread

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18/30
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Introduction
On 31 March 2014, Michael Lewis published his book Flash Boys which focused on high frequency trading. In this book he makes sensational claims that the financial markets are rigged in favor of High Frequency Traders, sending the whole system into a frenzy. Ever since High Frequency Trading has dominated financial news and United States Federal Bureau of Investigation (FBI) has since announced an investigation into High Frequency Trading on the possibility of front-running, market manipulation and insider trading. It is impossible to ignore such an activity that seems to tilt the playing field in favor of a select few and has had the whole world talking.
What is high frequency trading?

Definition
.
High Frequency Trading is a very powerful program that uses super-fast computers to transact a large number of orders and high speeds making use of very complex algorithms to analyze markets and execute orders based on market conditions. In much simpler terms, it is trading algorithms that trade on market inefficiencies. Some of the basic characteristic of the High Frequency Traders are as follows:
[list][/list]…
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llolor avatar
llolor 15 Apr.

I would appreciate it if they get taxed more to discourage their activities

Convallium avatar
Convallium 17 Apr.

Heigh frequency theme is something new for me) Thank you! Good article!

Faster avatar
Faster 22 Apr.

good job

Olga18375 avatar
Olga18375 28 Apr.

interesting job!! well done

Elani avatar
Elani 29 Apr.

Thanks for the post! It made me research a little about High Frequency Trading. HFT has many advantages such as liquidity, market efficiency, reduced costs and profitability, but it can sometimes be used unethically as traders may be engaged in market manipulation. Also it is unfair to small investors.

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10/46
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Modern techniques like artificial neural networks (ANN) are best used for high frequency trading for several reasons. First, they mimic human intelligence but they mostly don’t reach a human’s level of intelligence, therefore, there is no point in using those techniques on a time scale at which a human could easily be working. Their advantage comes from speed of operation and constant activity. Second, we need a lot of data to train neural networks efficiently and this amount of data will only be found in high frequency trading. Forex has all in all quite few instruments with limited relevant past data on the daily or weekly time-scale. Furthermore, High frequency trading is a type of scalping strategy where we identify noise around the true value of the instrument. This is different from long-term trading that attempts to follow meaningful movements of the instrument according to fundamental analysis.Artificial Neural networks A good time-scale to work on is the minute time-scale. This time-scale is full of noise which will be captured by the algorithm in order to sell at a local high and buy at a local low. This can be proven using a simple neural network trained to predict the f…
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Efegen avatar
Efegen 16 Apr.

Just a thought. If this system works why don't you use it in larger timeframes. So the costs will be more minimal and deviation will be less?

Victor avatar
Victor 18 Apr.

good one.. nicely written

SpecialFX avatar
SpecialFX 30 Apr.

Another very intriguing and interesting article! :) Regarding your comment about Holy Grail, no need to look for it, because it doesn't exist... well, it does, but that will be for another time... ;)

nippur72 avatar
nippur72 21 Nov.

The reason why you are able to predict "high to high" and not "close to close" IMHO is very simple: when you predict "high to high" you are not forecasting the future, but you are forecasting (partially) the past, since the High(-10 to 0) is a point back in time. It's a common pitfall that I've also experienced myself when experimenting with neural networks. As a rule of thumb, when you see hit rates easily going above 65% there is chance you are doing something wrong, e.g. forecasting the preset or the past.

olga avatar
olga 24 Nov.

You are totally right and strangely enough I had realized this before and I made the mistake again. I also found similar pitfalls when training and testing instances aren't totally separated including the period you gather information on and the period you try to predict when you use cross-validation. It’s very easy to get excited about good results and in this article, it totally happened to me. In conclusion, kudos for pointing out the flaw that destroys any interest lying in this article and I believe more and more that high-frequency trading has no solution.

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6/65
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The
entropy is the most frequent phenomenon around and within us, and it is also the
one we are less accustomed to observe. Unlike other proprieties of matter, such
as the sizes of mass, volume and temperature that we can measure directly, the
entropy is a lot more difficult concept to understand, because it manifests
itself in a much more dynamic way.
The
first detailed studies of its features date back to the invention of the steam
engine in the eighteenth century. It was observed that when an engine
transforms heat into work (motion), always there is a part of the used energy
that goes lost in this process. This energy became not only unavailable to do
an utile work into the process, but that also it goes into a more chaotic
state, turning into chaos. The proof of this fact is the impossibility to
transform back all the generated motion energy into the original quantity of
heat. It is a physic law. This would have been only possible if during
transformation, the generated entropy was equal to zero, which practically is
never achievable.
Subsequently
was discovered that entropy principle acts not only in the thermodynamic plane,
but that embraces more planes of energy and that i…
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LinnuxFX avatar
LinnuxFX 4 Jan.

Well done, good luck... See my article and if you want my Scalping Tool for Testing ask for it in comments...

doctortyby avatar
doctortyby 10 Jan.

Indeed an Academic Article, good Luck and +3 for You. Waiting to see more great writing.

purplefx avatar
purplefx 16 Jan.

Talking about entropy is quite unusual in trading contests. You have shown interesting studies and points of view about it.
I have never seen many materials on entropy applied in markets, please keep posting on it!

kkforex avatar
kkforex 23 Jan.

I have seen entropy indicators being used to define trend ...nice writeup 1+

Bluechart avatar
Bluechart 24 Jan.

Very nice article. I love deep writings on trading matters! Enjoy my +1, good luck!

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14/108
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High-frequency trading (HFT) is a new sophisticated type of trading that involves supercomputer power and ultrafast algorithms, which solve the price action and the news-feed in a matter of microseconds. It arises firstly in the stock market, where a lot of algorithmic trading desks exploit the order flow inefficiencies and compete for the bid/ask spread in a broad range of actively traded stocks. In 2010 over 70% of the US equity trading volume is considered to be driven by these algorithmic strategies. But what is the situation in the forex market? Is there anything similar or not? We will discover in this paper that in forex this segment of the active trading participants grow very fast and soon will determine the rules in the whole market! The HFT firms in the forex market operate with small trade size, but very large volume of transactions. The typical period of holding the open position is very short, approximately less than five seconds and often under one second. In the forex market the HFT is a bit slower than in the equity market, because the market is decentralized and the liquidity is aggregated from all over the world, so the speed of light is t…
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ELENA_M avatar
ELENA_M 14 Oct.

enough informative, good style :)

gorozcoh avatar
gorozcoh 11 Nov.

Very interesting your article. I share your dream with respect to the HFT and your good opinion about Dukascopy.

hyperscalper avatar

Do you have strategy code to implement a strategy, which you would share?

hyperscalper avatar

I actually looked for Triangular arbitrage opportunities on the Dukascopy ECN. There ain't any, no surprise !!! :) Has to be done between "uncoupled" exchanges.

hyperscalper avatar

In my own work, I've tried to provide "High Frequency Scalping" to ordinary retail traders, which is NOT the same as classic "brute force" HFT, of course :)

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