HFTUSDT
HFT / Tether USD
crypto Composite

Not so fast.
HFT's account for between 50% and 75% of all trading volume, an HFT algo can rapidly buy and sell huge amounts of volume at key price pivots to bluff retail reaction.
It complicates things, but knowing that, when you see a big vol spike at a "key" resistance or support and price barely budges, it can be a clue as to what big players are trying to get retailers do.
I.E. - Jane street exec gets word from friends at the Commerce Dept that poopy pants is going to blow up a school building in a 3rd world country, he wants to lure in some retail bagholders by spiking vol at the overnight low to get you to buy so he can dump, vol spikes but price barely moves, then starts to drop.

Your high school marks do not matter unless your culture is radically different than North America.

You don't need to be Terrance Tao to work in QR, though it does seem like you are targetting HFT/market making, which is an extremely extremely competitive area. If I were you I'd look more into the industry since there's a lot more opportunities than the viral prop shops that also pay well and require sophisticated research.

A few seconds for HFT trading is a hundred years for a human.

Great ,like your confidence.
Now all of us want to see your HFT level projects .

thats why you dont make any moneis in your toy HFT mate

It is used in HFT alongside other kernel bypass techniques which I clearly explained in my post. You don't know what you're talking about.

Waste of time, no one in HFT uses DPDK unless its crypto in AWS.

I built a C++ library for linux kernel bypass networking such as Solarflare `ef\_vi`, DPDK, Verbs(mlx5) and also AF\_XDP. Solarflare `ef_vi` and DPDK are two of most commonly used kernel bypass techniques in HFT market making firms.
Using this library I measured the RTT latency using a loopback on Solarflare X2522-Plus(`ef\_vi` + DPDK), ConnectX-4 Lx(DPDK + Verbs + AF\_XDP) and Intel XXV710-DA2(DPDK + AF\_XDP). The benchmarks were run for 24 hours with median all the way upto P99.999 and max.
Solarflare X2522-Plus produced a RTT median of 1.866us and a max of 3.307us with 45B frames over 24 hours. This was the best result. Comprehensive results are all documented in the repository.
Over this project I did come across numerous driver(and NIC) specific quirks and bugs. These are all documented too.
Solarflare X2522-Plus is quite fast due to a Tx trick known as cut-through programmed IO(CTPIO). But I found this to be fragile, it has three modes: fast, default and in-order. Fast mode produces the lowest median but has a measurable percentage of failed CTPIO known as CTPIO “fallbacks” or “poison”. The CPTIO fallbacks significantly hurt the tail latency(P99 - P99.999). The CPTIO poison frames can be measured via `ethtool`. I used the in-order CTPIO mode which gives marginally higher medium but a tight tail latency.
Another strange issue I found was the PTP subsystem in the Solarflare X2522-Plus. So the default `sfc` driver runs a in-kernel IEEE 1588 subsystem with a PTP hardware clock, a dedicated PTP channel and management controller firmware activity. I found this to be a problem as a noticeable number of interrupts were mounting in `/proc/interrupts` and the stock driver with `ef\_vi` produced a max of 7.679us which seemed very high. Then I ran the same benchmark with DPDK which produced a max of 5.628us. DPDK unbinds the driver so the PTP subsystem does not work. Then I compiled out the PTP subsystem from the `sfc` driver and ran the 24 hour benchmark again and the max was reduced to only 3.307us.
There is a lot of more interesting stuff but I think the post is already getting long so I won’t mention any more. Everything is documented in the repository. It is also 100% open source with an Apache-2.0 license.

You can probably call it MFT.
But I do queue modeling as if it were an HFT.

If youre doing it outside HFT it ironically should resemble rocket science.

Any professional HFT out there have any insight on how PCAP data for CME futures compares between LSEG/Refinitiv/TRTH and DataBento? Trying to decide between the two providers for the last 2 years of historical L3/MBO for a new market making project. Mostly interested to know about the quality of the data and quality of timestamps at the data recording server.

This isn’t part of a new policy or guidance. This is a CBOE rule and is to prevent individual traders running HFT strategies and essentially making their own markets

The problem I have with this post is that I know how hard it is to develop an HFT platform and trading strategies. That is my job. I also know that if you truly are doing this successfully, you already know the people you need to talk to because you are already engaged with partners, advisors, infrastructure services, brokers, etc. And if you are doing HFT through a retail broker, you are getting absolutely crushed in commissions and fees. So is the 50% return before or after... Never mind. I already spent too much time responding to HFT fantasies.

Most TA stuff that people talk is snake oil. There are basically two things that influence SPX. The 500 underlying stocks since the index is the weighted average of those stock prices in real time or the ES futures which is what macro traders trade (Trump press conferences, FOMC decisions etc). The ES futures to the SPY arb is the HFT nuclear arms race that was talked in the book Flash boys. Bad or good news is traded in ES first and the arbitrage algos buy or sell SPY and the underlying stocks in the right proportions and this happens instantaneously. When there is no news then it matters if you can come up with a model for price prediction in the underlying stocks. Order flow is the main thing there with sophisticated hedge fund algos relying on that. If you can build some basic signals that can predict things over the next few minutes (this is possible but technical, you need to be able to code and subscribe to a good source of market data and understand in detail how the index is computed, and you can start with some sort of momentum and mean reversion based approach) then you've got some hope to make predictions better than a coin flip than can turn into PnL. You can research along these lines, there are papers and ideas out there to look at and make progress.

Very well explained sir 👍🏻 HFT ke order kaise excute hote even if I place order sharp at 9:00:00 my wont excute

What's the actual latency and fill rate at your broker? A 3+ Sharpe on $400k with API throttling implies either very short holding periods or selective fills. Pod shops will want tick-level execution logs, not just P&L. Can you show queue position modeling or adverse selection estimates? Cold emails fail because the signal-to-noise for HFT claims is terrible—warm intros through competitors or exchange technology contacts work better.

3+ sharpe on a HFT stat arb strat using retail infra despite paying high taxes that his institutional competitors with much better infra are exempt from paying? Very likely this strat has a massive tail risk that's gonna wipe OP out eventually.

I see these little trades fighting it out over the tape and I guess that's HFT action, but then a big order comes along and blows it all away. Are you all fighting each other over pennies on the tape? Trying to understand.

Hi OP - I just read through your post history and see you're trying to trade Italy high frequency which makes me very nervous.
Just a warning: Italy has extremely high transaction taxes, for HFT flow and normal trading. These costs are far higher than bid/ask spread. Some professionals are exempt from these which you will not be, which is how they can market make and you can't.
A good broker should be accruing and charging this tax to your account, but you probably don't have a good broker for HFT so you might have a huge tax bill you don't know about. Just be careful with Italy, ask AI about the taxes etc for placing orders/getting fills.

I've been running an HFT stat arb for 2 year now. 3+ sharpe.