HFT’s trading returns revealed

Ariel Silahian

Ariel Silahian is a senior technology executive in institutional electronic trading, with 30+ years across the buy and sell side (New York, Miami, London, Hong Kong). He is the author of "C++ High Performance for Financial Systems" (Packt) and the creator of VisualHFT, the open-source microstructure analytics stack. He writes on exchange architecture, market microstructure, and execution quality, and advises a select number of trading firms on infrastructure decisions that move P&L. Talk architecture: https://hftadvisory.com

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

Thank you for reading this post, don't forget to subscribe!

Subscribe by Email

· 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