An inside view on HFT’s trading returns

Finally, like never before, I can do it.

I have permission to share what 2 hours of a real high-performance trading firm looks like. I will keep the firm “undisclosed”, but this post is to give an idea of what kind of trades and how fast/frequent they are.

A client of mine, using an advance/lightweight platform, is performing excellent returns on the forex market. And the chart you can see by how much.

Several things to look at:

·        Winning ratio is 80% (at least in these 2 hours)

·        A total of 109 trades has been made over this period

·        Average trade, last 206 milliseconds

·        Note how transaction cost affect the system

o  Blue line is without cost

o  Orange accounting transaction cost

·        Attempts to close means how many times we tried to flat our position but couldn’t (because of execution, or price movement). Every time there is more than one attempt, the trade is a losing trade. So, that’s the prove on how important execution quality and speed is.

Summary of the collected trades

 

Equity curve, with and without trading costs

 

The actual trades

 

You can find the excel sheet showing all this at this link http://www.slideshare.net/silahian/what-2hs-of-a-real-hft-trading-system-looks-like

Conclusion, execution speed is priority number 1, then the quality of execution and last liquidity.

 

ENJOY! And Share if you like it!

Ariel Silahian

http://www.sisSoftwareFactory.com/quant

https://twitter.com/sisSoftware

Keywords: #hft #quants #forex #fx #risk $EURUSD $EURGBP $EURJPY

5 thoughts on “An inside view on HFT’s trading returns

  1. Could I ask which broker is offering this conditions? I mean, rough calculations for my retail forex account give me at leat 10 times the transactions costs your client have. And that’s in the best case where spread is low (less than half a pip).

    Like

  2. LittleDragon

    What broker? what leverage? even on institutional the commission is 0.5-1pip, raw spread can be 0 during rush hours. I don’t think you can go under 0.5 pip on combined fees.

    Like

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