How about expanding quant analytic HFT algorithmic trading to non-US stock exchanges? Do-able? How?

How difficult is it to go from trading only the US stock market to TMX (Canada) and London Exchanges too? Does anyone know a list of the ECNs with fee schedules and proprietary trading

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I asked a question similar to yours few months ago, I think the German market was suggested, but I didn’t have the time to investigate.

 

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how is that easier than say the toronto exchange?

 

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I think it was mentioned as the one with the most volume behind the US. My first guess would have been London otherwise.

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Know any prop shops that let you trade either of those?

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We’ve run a few articles on algo trading outside of US markets and there seems to be some good running room in Canada and in Frankfurt. The thing to be careful about is investing a lot of time and resources into preparing a model for an EU market when the Germans are complaining about ‘stupid’ algos. Here’s an article we ran from a Canadian hedge fund (http://fixglobal.com/content/canadian-alternatives-buy-side-case-study)and two more on Algo trading in Russia (http://fixglobal.com/content/russia-heats, http://fixglobal.com/content/your-russian-visa-dma-russia), which by the way, should get better once the two exchanges complete their merger.

 

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Thanks for the posts! I mean.. the US has been complaining about algo trading since its inception. Algo trading is here to stay. Just need to find a reputable.. specific firm to trade the foreign exchanges.

 

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In terms of a specific firm, just make sure whomever you choose has reliable pipes in-country and can assist you with the settlement/post-trade side as well.

 

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I’m not even to the ‘weeding out the bad ones’ point. I’ve found ONE that does Toronto exchange… nobody for London etc.

 

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Open an account with Interactive Brokers, and your are ON.

 

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I’ve thought about that, I want to rebate trade which means I need commission rates of around $1 or less, IB is retail, not gonna work.

 

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your question is a bit confusing, expanding algorithmic trading to other exchanges – I suppose your developed algos run on something by now, and is connected to some broker right now ? For the record, IB is both retail and institutional, there are not many prime and low cost brokers letting you in, supporting both an API, more than 90 markets, and historical data – first thing to do, is to make your desk research.

 

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In theory, any exchange that permits electronic trading is a candidate for algorithmic trading. In fact, a few weeks one of the majoor trading houses (Goldman Sachs I believe) started to look in that direction by modifying models to adjust for the comparatively lower frequencies (compared to ultra high frequency or low latency) in “foreign” exchanges.

 

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If you run your system from a single back-end program and have a broker that has an api and can trade multiple markets (such as IB or Sigma X) then you can perform this operation. One common strategy is to arbitrage the same security that has different price points on different markets. You can also build a model and arbitrage the whole markets based on economic data etc.

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all you need to do is ask your broker. There are several that have international connectivity. I know a few that would be happy to talk to you about it

 

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Thanks for the comments! I noticed on the IB site they had a list for proprietary groups contacting IB, so maybe they could recommend one that’s linked to them and get’s a decent rate. I’ve heard a lot of different arb strategies w/ foreign markets, I’ll check them out, but I’m sure the pairs stuff has probably been exploited pretty aggressively already.

I’m sure there are a lot of possibilities w/ different markets (Provided someone is ok w/ getting up at 3am or something to trade them.) The group I’m trading with now is quite sure they won’t have foreign markets enabled anytime soon (due to the extra paperwork and laws/compliance hassles.)

I’m pretty sure a good place is out there, just need to keep calling different places.

 

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