HFT, Arbitrage - page 5
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By the way, about memory, the information is wrong :).
I have given the requirements of the exchange, and whether they are right or wrong is not for me to judge.
http://www.micex.ru/services/technicalaccess/colocation/1658
I have given the requirements of the exchange, and whether they are right or wrong is not for me to judge.
http://www.micex.ru/services/technicalaccess/colocation/1658
I understood that you have heard only by hearsay about implementation of servers at the exchanger site. And at first I thought that you share your experience - but it was not so. All the talk about arbitrage on an exchange is a figment of the imagination, nothing more.
I read the documentation on the exchange website!
And you probably work there (in the data centre)?
I read the documentation on the exchange website!
Do you probably work there (in the data centre)?
No. I don't work in a data centre (if you mean going to work in the computer division of the Moscow Stock Exchange).
And why do you think that your knowledge is higher than that of others?
I don't think so at all, and that is not the question, the question is whether it is possible to make money on it or not, and who can do it.
The guys from Wall Street were crazy about HFT, it was just paranoia, the question is that we don't have the stock market of such volume and it is not clear to me whether it makes sense to do it or not. But so far I haven't heard anything clear from anyone. Hence there may be two conclusions - yes they tried, but it did not work out, the costs did not pay off, and the second option is that they succeeded and do not want to make it especially public, why? If everyone will know, it will be crowded.
I think the option number two. A knowledge is such a thing - it's never too late to acquire it :) the main thing is to set a goal.
Looked at Eu vs Si*ED arbitrage possibilities. Those bastards! Market makers are quoting very tightly. No triangular arbitrage opportunities.
In addition, the density of transactions is very low. And if you quote in the hope that some sucker will sell a million contracts on the market - you can go bankrupt and very quickly hit the limit of free transactions - 30 000 per day. The bettor is heavily discharged, but it flies super fast. Not a single arbitrage opportunity all day.
Here, for illustration - a slice of the tick chart
Blue -Eu, red - synthetic, white - level of Last trade on Eu. I didn't add the line of trading costs - it's clear as it is...
They don't want to give free money to simple physicists - market makers on moex are not less greedy than brokerage companies on forex... But, at least they are honest)
Looked at Eu vs Si*ED arbitrage possibilities. Those bastards! Market makers are quoting very tightly. No triangular arbitrage opportunities.
In addition, the density of transactions is very low. And if you quote in the hope that some sucker will sell a million contracts on the market - you can go bankrupt and very quickly hit the limit of free transactions - 30 000 per day. The bettor is heavily discharged, but it flies super fast. Not a single arbitrage opportunity all day.
Here, for illustration - a slice of the tick chart
Blue -Eu, red - synthetic, white - level of Last trade on Eu. I didn't add the line of trading costs - it's obvious as it is...
The market makers on moex are not less greedy than brokerage companies on forex... But, at least they are honest)...
That's the thing. I've always said that it's the arbitrageurs who rule the market. For market maker is not a stupid algorithm that just stands on both sides of the market (this is a 100% sinking of any money).
Market maker connects this to arbitrage. One leg is limiters on both sides. Once poured, immediately grabs the delta with the other leg and so on in a circle. Does NOT see MM deltas on all his legs (there may be many). Moves the limiter to a new level so that the delta appears again and if it is poured again, it will overlap.
This is why it happens, limiters are moved very often, and there are not many deals. The main thing here is HFT speed (first come first served) + correct delta calculation. If you screw up somewhere, you'll be rewarded... and the second leg is gone. Then you can ride it at will ))))
That's why it happens, limiters are moved very often and there are few trades. And that's where HFT speed is important (first come first served) + correct delta calculation. If you screw up somewhere, you'll be rewarded... and the second leg is gone. Then you can jump on it as you like ))))
And when you stand on two legs - they can even stretch you on the splits so that you smash your junk on the floor). Well, that's in soft arbitration like basketball )