Single market just straight-up bid/ask is almost impossible to do. In fact I'm not sure I've ever seen it done outside of pit traders in futures...
It's hard to define "impact". Anything sub-100us is usable in HFT. Maybe not straight-up vanilla arb, but you can make money. The problem is...
It's not like it's wrong to try, but I've never seen anyone pull it off. Giving the finger (in the large) to adverse selection is basically what...
I've done a lot of market making in futures. I've been large and active in ES, FF/ZQ, HG, GC, S, etc. For whatever that's worth. The short...
Thanks folks. I'll definitely check ToS out.
Hi Bob, thanks for chiming in. By $100k I suppose I really mean "much closer to $100k than $1m". $125k is fine if there's a reason to do it....
ToS is on the short list of other things to check out. What about it do you like?
Sorry, good call. Probably put $100k in. I anticipate (it's only that right now) I'll be clicking 5-lots, selling premium for delta. edit:...
Been trading options off and on for 20+ years, some of the time on the floor, some of it upstairs trading capital structure and vol. Most of the...
Thanks for the effort, but too little, too late. I'm not now and have never been a quant-- I most certainly am not Aaron Brown, but that...
Good god, enough. If you can't tell that I know what I'm talking about, I'm not going to teach you.
I haven't looked at it much, but when I did I thought it would work because it's basically OCaml with .Net underneath. Nice combo.
I tried to bury the hatchet a bit, but fuck it. Both of your points here are just plain wrong. If a market moves up 50% every day, what is its...
OK now I'm confused. If you're trading like this (and for the record I agree with you, USD and EUR are both garbage, and EURUSD is going to 1),...
Wtf, can you read? You're talking about one market, and I don't even know what that is. ES? You do realize there are others, and some of us...
The high-correlation environment isn't good for relative-value strategies. Not a lot of opportunity -> not a lot of profit. As far as what to...
This is one of the less pleasant elements of the Chicago scene right now, although it's more or less accepted at this point. An example, that...
I think that's probably possible, but good automation, at least if you're looking for fast execution, can be expensive. Probably $5-6k/mo desk fee.
Yet another ET superstar. Basket trading and stat arb must be bad ideas too. Actually make that any relative value approach at all. Which means...
You have no idea what you're talking about, so why are you talking at all? Chicago still has several shops that hire and train new people, but...
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