More on most profitable in HFT among market making, event driven and stat arb? C++ vs C# vs Matlab vs Java and RenTec low latency

(Last Updated On: November 16, 2011)

 

More on most profitable in HFT among market making, event driven and stat arb? C++ vs C# vs Matlab vs Java and RenTec low latency

 

there were discussion about c++ or matlab and java/c#. Everybody accepted that matlab is powerful to solve issues of numeric and statistic, etc. But when they use it in HFT situation, it’s recognized very slow. Then some people thought c++ was better and others thought a combination of matlab and java or c# could get speedier. I thought many were doubtful about connectivity between the two. A few were successful and said they used their own one for HFT. What do you think of this discussion?

 

 

==

could you please expand the concept of predatory algorithms?
Is it just normal bid offer size manipulation that you are talking about?

 

==

About statarb there is a problem of decreasing profitability over time as more and more players do the same. I am talking about plain simple pair trading (any asset class) not more complex relationships with fundamentals.

 

==

http://cyborgtrading.com/institutional/app/files/media/brochures/anti_gaming_for_tsx_market%20Makers.pdf

 

MATLAB is great for developing and algo and testing In my experience they are powerful yet do not go hand in hand with HFT. If you have something you feel works, get it developed in another environment. Which environment? Well, it all depends on what you are trying to accomplish. If a program is written by a highly skilled C++ programmer (and I mean HIGHLY skilled), then yes it can be extremely fast. But is it scalable? How does it work on one processor vs 30 processors? How long will development take? How easily can you modify it? You need to consider all these things before giving a proper answer.

We program with C# in a .NET environment because it is extremely fast, highly scalable and what would take a good programmer 3 months in C++, takes us days to do the same thing because Microsoft has already pre-built a lot in C#. Everything in C++ has to be built from the ground up. We also have a PHD student working on a project that will prove F# is a far better language to scale algorithms with.

If you can’t win, change the rules of the game.

I hope this makes some sense!

 

thanks for information. I did not know that F# is that better.

it could be the case that the profitability of stat arb is decreasing. It’s a rat race. You have to always optimize parameters as mentioned that the ability to change your parameters to tweak your algorithms real time is crucial. If your watching asset classes be more widened, you could find another arbitrage opportunities, i.g. stocks and FX, stocks and bonds, etc.

 

A colleague used to work at RenTec. From what I gathered, they use a blend of market making combined with predictive algos. So when they don’t have an edge in predicting price they act like market maker, going for ticks. However, when they get a “predictive” signal, then they take directional exposure.
Some more facts…they are the largest user of Mini SP contract by a huge margin. Two russian ex employees quit and tried to start their own fund. Jim Simons hired lawyers to stop them. I never found out if they ultimately did, but considering they Russian I’d bet they eventually did. The annual research budget for RenTec is 200-300million. One ex employee described some of RenTec strategies as borderline “software hacking”.
RenTec holds the patent for parts of code that is used for some execution software.

Getco,tradebot is just brute force. They make more money because they have lower latency. That’s almost all of their game.

RenTec is light years ahead of them. They have slower connections but still outrade.

 

great comment! I would have never guessed RenTec is behind in the latency game.

BTW, what do you mean by borderline “software hacking”?

Also if they hold patents, then they must be publicly listed on the US patent website. Would be interesting to look them up…

 

I wouldn’t say RenTec is behind in latency game, they just don’t solely rely on low latency unlike the others. When you have a predicitive edge over everyone else, you don’t have to rely as much on brute speed. RenTec staff is still composed of mainly researchers not just programmers and IT staff. That pretty much says it all.

The ex employees said “software hacking”. They could just be angry, but who knows. Nothing would surprise me.

They still ahead of everyone else, no matter how you slice it.

The real takeaway is that there have been other shops with multi milion budgets and staff that never made it. It proves that it’s half art, half science.

The original article started here:

https://quantlabs.net/blog/2011/11/which-do-you-think-is-the-most-profitable-in-hft-among-market-making-event-driven-and-stat-arb/

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
This entry was posted in HFT High Frequency Trading, Quant Development and tagged , , , , , , , , , on by .

About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs