HFTHow deep the rabbit hole goes ?

By Martin Kiuru

HFT - High Frequency Trading.

Based on knowledge, not assumptions.

Scalping: first step to HFT

Arbitrage: one of the HFT strategies

HFT Trader

Broker 1

Broker 2

Broker 3

Fastest quotes

Slowest quotes

Data

Trades

HFT: Old ideas

(Battle for Waterloo, 1815).

Newest technologies

HIBERNIA NETWORKS

LMAX Disruptor

6 million orders per second on a single thread on JVM

FPGA (Field Programmable Gate Array)

<3 µs to receive FIX messages, store, analyze, validate against risk limits and send orders to the market

Altera Stratix V

FPGA-based boards for high-frequency trading

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?

Going deeper:

● Michael Lewis: Flash Boys

● Martin Fowler: The LMAX Architecture

THANKS!

martin.kiuru@forcefulsolutions.eu