hft - how deep the rabbit hole goes?
TRANSCRIPT
Arbitrage: one of the HFT strategies
HFT Trader
Broker 1
Broker 2
Broker 3
Fastest quotes
Slowest quotes
Data
Trades
FPGA (Field Programmable Gate Array)
<3 µs to receive FIX messages, store, analyze, validate against risk limits and send orders to the market
Some facts:
● HFT accounted for 50% of all US equity trading volume
● May 6, 2010 Flash Crash - Dow Jones plunging 998.5 points. The stocks of eight major companies in the S&P 500 fell to one cent per share for a short time
Some facts:
● 2012: The “Knightmare”: Knight Capital loses $440 million in 45 minutes (losing 10 or 15 dollars from each deal).
● 2015: The party is almost over?