Volume participation for HFT liquidity providing

djfostner · Post by **djfostner** » Thu Jan 24, 2019 4:18 am

@JTDerp: The intermarket arbs were just one strategy we ran for awhile early on. Despite the strategy not being too significant to our PnL or total volumes, looking back it was probably pretty important in the grand scheme of things as its consistent PnL early on allowed for our young/inexperienced group to learn and pay some market tuition without the worry of our daily PnL reports going into the red. We never got into IR products or currencies unfortunately (for some contractual reasons probably best left unexplained), but we did a fair amount of trading in most everything else including: Ags, energy, softs, metals, and indices. As a result we did end up building out a fair amount of order management logic that was matching engine type specific (FIFO, ProRata, K-Algorithm, TOP, etc, and also some exchange specific stuff for products like Kospi options).

loltrading · Post by **loltrading** » Fri Jan 25, 2019 6:40 am

Tyrannosaurus · Post by **Tyrannosaurus** » Sat Jan 26, 2019 7:05 am

Were you fast enough to get #1 queue spot in competitive products like ES?

loltrading · Post by **loltrading** » Wed Jan 30, 2019 4:36 am

Nobody can do that in ES

ronin · Post by **ronin** » Wed Jan 30, 2019 2:45 pm

Is that the guy from that documentary?

JTDerp · Post by **JTDerp** » Thu Jan 31, 2019 6:08 pm

@djfostner: For Pro Rata, did you build your own backtest/sim environment for working with it, or lean on a platform vendor? From what I know thus far, Stellar Trading Systems has provision for Pro Rata in their backtest/sim...still looking into other options.