Electronic trading systems architect | 20yr production HFT. I advise trading firms on the architecture decisions that commit capital.
New York City 🗽
Joined January 2010
- Tweets7.6K
- Following2K
- Followers4.1K
- Likes846
Electronic Trading Architect | Strategic Advisor retweeted
The tape looked quiet for 40 of 61 OTR spikes; the book was not.
That is 65.6% vs 33.1% at matched moments, proven on a full NASDAQ day. Inside VisualHFT Terminal you see the quoting war your prints never record.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
My last book is a collection of all the articles I've been writing in the past year.
Rearranged for easy reading.
All printed in a book and in one place.
Stays next to my desktop for reference.
(online articles remain fully for free, so having this book is not necessary for reading them)
The book:
The Electronic Trading Stack: Collected Field Notes on Architecture, Latency, and Execution Quality in High-Frequency and Institutional Trading
Find it on Amazon now!!
Electronic Trading Architect | Strategic Advisor retweeted
[Download 585-page PDF eBook]
Game Theory: arxiv.org/abs/1512.06808
—————
#GameTheory #Gamification #Mathematics #Statistics #Probability
How funny that is.
If you knew anything about being quant you would have understood that the only job for a quant is to validate and prove.
None are being done there, neither are proposed.
Pure hype. Go to work
Electronic Trading Architect | Strategic Advisor retweeted
Asked Claude to take a look at the security of my production PHP 5 projects
Made it to the top #1 new releases!
" The Electronic Trading Stack "
Collected Field Notes on Architecture, Latency, and Execution Quality in High-Frequency and Institutional Trading
Thanks all for the feedback received!!
My last book is a collection of all the articles I've been writing in the past year.
Rearranged for easy reading.
All printed in a book and in one place.
Stays next to my desktop for reference.
(online articles remain fully for free, so having this book is not necessary for reading them)
The book:
The Electronic Trading Stack: Collected Field Notes on Architecture, Latency, and Execution Quality in High-Frequency and Institutional Trading
Find it on Amazon now!!
I am biased. We created @visualhft for that reason among many others.
In there we have added a Book Toxicity Index (BTI), which helps to answer that question.
I recommend you to read the blog and papers we have in the website
yes widening is the real defense. But the real question is by how much, and for how long.
There are tons of studies that help with that.
liquidity provider biggest problem
simply put adverse selection is when you trade against informed players: they may have superior and realtime information.
with that, is how MM get toxic fills in their inventory.
Adverse selection strikes before the trade prints. On IDXX, 5 bids vs 367 offers pegged Touch-Weighted Imbalance at -0.7. Fifty seconds later, an improved ask dropped the mid 8.5 cents with zero trades. VisualHFT Terminal detects the lean first.
#visualhft
Bravo 👏👏
The VisualHFT Terminal public beta is officially live. Real-time order book analytics, microsecond depth visualization, and predictive order-flow metrics running at full tick speed. Start your 7-day trial at the link in our bio.
#visualhft #orderbook
Today, retail traders get live level 2 quotes on their phones.
In the 80s and early 90s, access to market data was not as early accessible:
• Reading ticker tape and chalkboard boards
• Green-screen Quotron machines with 15-minute delays
• Early Reuters and Bloomberg terminals costing fortunes
If you had the data 30 seconds (HUGE) before someone else, you had an infinite edge.
How the flow of market information changed over the decades. 👇
Source: Daily Mail — Experts By Decade: Wall Street Trader Life
#marketdata #bloomberg #quants
"market resilience bias" is a powerful indication of where markets "likely" will go
The arrow named the weak side and held it for over two minutes. On AMZN on 22 August 2023, seconds after six sell prints hit the bid, Market Resilience Bias pointed up: the tile judged the offers as the side that failed to refill. Check the depth.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
Never forget when this Forex guru told his students to short CPI.
When electronic trading arrived, traders thought it would never replace human instinct and relationships.
Then Instinet, Island ECN, and matching engines showed up.
Spreads collapsed, pit trading evaporated, and human market makers were replaced by low-latency algorithms and high-frequency trading firms.
How people felt back then when the biggest technological disruption came down in Wall Street? 👇
Source: Daily Mail — Experts By Decade: Wall Street Trader Life
#electronictrading #HFT #fintech #wallstreet
How people traded before optical fibers and electronic matching engines.
1. Client calls broker on a landline.
2. Broker scribbles an order on a physical paper ticket.
3. A runner sprints across the floor.
4. Shouting and hand signals in the pit with a specialist.
5. Trade executed, stamped, and phoned back.
Total round-trip time: minutes (if you were fast).
Today: microseconds.
Veteran traders break down how order execution transformed from human adrenaline to server racks.👇
Source: Daily Mail — Experts By Decade: Wall Street Trader Life
#trading #stockmarket #orderflow
What were trading desks like in the 1980s?
Cigarette smoke, shouting matches, paper flying everywhere, and desks jammed shoulder-to-shoulder with 5 landlines ringing simultaneously.
How trading desks evolved across 4 decades: 1980s vs 90s vs today. 👇
Source: Daily Mail — Experts By Decade: Wall Street Trader Life
#trading #wallstreet #finance #marketmicrostructure