High frequency trading, explained

Posted by Chris on March 4th, 2010 filed in Trading

  1. What it is
  2. Clearing
  3. Access and the datacenters
  4. Strategies
  5. The arms race
  6. A word on interest rates
  7. Should I work for a trading company?

This is a series of posts about my experience as a sysadmin and programmer in the world of High Frequency Trading.  I spent two years intimately involved in the daily operations and planning of a player in the field.  My programs were (and are to this day) responsible for clearing, backups, logging, statistical analysis, and a hundred other things.  One handled/handles billions of dollars of trades daily.  I’ve been to datacenters, been to sporting events with brokers, and called exchanges to cancel all of our orders.  The people, the environment, the companies, and the competition are all aggressive and brilliant and exhausting.  There’s nothing like it in the world, I’m glad I was there, and I’m glad I’m gone. The purpose of this is to explain to family and friends what it is I was doing at this secretive company for all that time. If other people learn a bit about how it works, it’s extra credit.  It’s all as I remember having been out for three months – enough time to get a sense of detachment but not so much that it’s all strange again.

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