60 ms cross-continent

Rubens Kuhl rubensk at gmail.com
Sun Jun 21 19:02:54 UTC 2020

> > This is a nice plot for a movie, but not how HFT is really done. It's so
> > much easier to colocate on the same datacenter of the exchange and run
> > algorithms from there; while those algorithms need humans to guide their
> > strategy, the human thought process takes a couple of seconds anyways. So
> > the real HFTs keep using the defined strategy while the human controller
> > doesn't tell it otherwise.
> For faster access to one exchange, yes, absolutely, colocate at the
> exchange.  But there's more then one exchange.

Yes, but to do real HFT you will need to colocate at each exchange.
Otherwise your competitors have a head start on you.

> As one example, many index futures trade in Chicago.  The stocks that
> make up those indices mostly trade in New York.  There's money to be
> made on the arbitrage, if your Chicago algorithms get faster
> information from New York (and vice versa) than everyone else's
> algorithms.

Most traded index futures are longer than just that day closing, usually
months to a year in advance.
They are influenced mostly by traders perception on economic futures, and
the current stocks valuation is a poor proxy for it.
There is more chance in reading the news feeds and speculating its impact
on perception than stocks.

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