
How I Built a Startup High Frequency Trading Firm - wkselph
http://howtohft.blogspot.com/2011/01/how-i-built-startup-hft-fund-part-1.html
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paulgb
Part two: [http://howtohft.blogspot.com/2011/01/building-trading-
system...](http://howtohft.blogspot.com/2011/01/building-trading-system-
general.html)

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philthy
the posting really doesn't have much meat. pretty vague, not that much
specific information. i was hoping for something a little more in depth...

does this blog remind anyone else of one of those "how to make money fast at
home" advertising thingies you see in pop ups?

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tb
It's an introductory post for a new blog. Obviously the author intends to go
into much more detail in future posts.

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JacobAldridge
Well you've whet my appetite - I look forward to learning more, particularly
to see if you managed to overcome the dual chicken-and-egg problems before
going out of business.

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allantyoung
His firm already went out of business. He states that he will write a post-
mortem at some point in the future.

I like the post-mortem meme sweeping startup world; I find them very
enlightening.

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JacobAldridge
Yes, he said that in the post. I was wondering if he solved the problems
before going out of business, or if it contributed to going out of business.

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charlief
I believe he solved them both at least temporarily, but if either Egg 1, Egg
2, Chicken 1 or Chicken 2 ceases to be true for long, then the business won't
survive.

Egg 1: _trading lots of shares_ (check, tens of million shares daily)

Egg 2: _track record on trading strategy that is scalable and profitable_
(probably was profitable then stopped once volatility disappeared or the
market changed, but definitely scalable, trading tens of millions daily).

Chicken 1: Volume-based discount (we don't know for sure, but tens of millions
of shares daily is enough to qualify as a high-tier class on many houses)

Chicken 2: Clients (check, billion dollar hedge fund)

True: Egg 1 and Chicken 2

Probably true: Egg 2 and Chicken 1

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robryan
The going out of business part wil be quiet interesting, from the first post
it does sound like the business conditions have changed. Would it still be
possible to get something like this off the ground today or was he fortunate
enough to get in before HFT got such players employing the best of the best?

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jspaulding
I would say it would be extremely difficult to start a HFT program nowadays. I
actually created a profitable system in 2009.. I ended up making around $500k
but by 2010, I was making less and less money each month no matter what I did
to try and improve the system. I finally turned it off completely about 3
months ago. I think the problem is there is simply no "dumb" volume in the
market and everyone is just competing against other HFT arbitrage programs.

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jbaker
Yeah, this doesn't smell right. There are two posts on the blog as of my
reading. Neither has much content and they do not sound like someone who has
actually been through this. This does not sound like someone who is really
looking to share information. It is too superficial.

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jallmann
The first post was an introduction. The second was a nice overview of how to
structure your trading system. It brought up points I've never thought of.

He did say more detail was coming in future posts. I'm not sure what you're
expecting; this doesn't seem oriented towards developing models or trading
strategies per se, but rather all the ancillary things that goes into building
a HFT startup, including the _execution_ of those strategies. Which was what
the second post was about.

That is far more useful, since there is enough How-To-Be-A-Quant literature
out there.

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erikb
The idea is great but the quality of the posts lacks until now. I just hope,
you can improve that over time. It really must get more from guessing and
ideas to concrete models supported with diagrams, further readings and maybe
code where appropriate.

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DanLar75
Interesting. Even though my personal opinion on HF trading is that it is a
disease that is at the core of rotting out our financial system.

~~~
harryh
Your opinion is unsupported by fact. But, you know, believe what you want.
Some people enjoy believing in ghosts. Perhaps you should look into that too!

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maigret
Can't downvote you, but I don't see more facts in your response. Please
elaborate.

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csomar
I think HFT is quite hard and challenging for individuals. I won't feel
comfortable trading huge amounts of money that can disappear in a second
because of an algo mistake.

I'm looking for some tutorials and may be strategies to make money from Forex.
Anyone know a good blog or book?

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gdberrio
If you think HFT is quite hard and challenging, then Forex isn't any easier:
you can still lose a ton of money over an unforseen event somewhere in the
World.

More seriously, as someone who trades for a living, here's what I've learned
(the hard way, i.e., losing my own money makes for expensive lessons):

Forex is one of the most volatile markets on this side of the "Milky Way".
Only Commodities (Natural Gas for instance) beat it. The average range of
noise (noise, random movement, not signal) is enough to loose huge amounts of
money.

Forex brokers offer a stupid amount of leverage. 50x, 100x (and even 200x)
leverage is not trading. It's gambling. Which means that if you want to stay
in the game you need a lot of trading capital (want to make a million trading
forex? Start with a billion).

Depends on your experience but, if you don't have a lot, start with stocks
(CFDs, for instance) or indexes for deep markets.

If you still want to go the "Forex route", some reading material has to
include: Macroeconomics and Monetary Policy. You don't need a PhD on it, but
you do need to grasp the basics of interest rates, currency parities,
inflation, growth, central banking, capital movements.

Statistics. Again, no need for a PhD, but the basics are useful/helpful.

Money Management. People want the "holly grail strategy indicator" that gets
you 9 out of 10 profitable trades. That's a myth. The best traders in the
industry usually lose 2 out of every 3 trades. The point here is: you make up
what you lose with the winning trade. So the real point is not how to enter
(though it's still important) but to know when to "exit" the trade.

Basic trading strategies. Some apply better to Forex, other to Stocks, but in
general the same principles apply.

And do take care: the Forex market is full of "Win x times your inicial amount
in n days with our y fullproof strategy/platform" scammy proposition.

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mysteryleo
I'd be interested to know which firm, and to see the post mortem about why
they went out of business first.

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wkselph
I've added another post, this one very in depth and technical on how to build
a limit order book.

[http://howtohft.blogspot.com/2011/02/how-to-build-fast-
limit...](http://howtohft.blogspot.com/2011/02/how-to-build-fast-limit-order-
book.html)

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thenayr
This just screams link bait and spam.

Just look at the domain: "howtohft.blogspot.com".

1) Post fake "how I built X startup to do X" post, add juicy terms like
"bootstrapped" and "college".

2) Post on HN

3) ????

4) Profit.

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akronim
I don't see any step 3 - what's he selling?

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taylorbuley
Don't see the obvious (4) profit part yet either, so (3) must be extra
mysterious.

