I did this a couple years ago, to try to shed some light on the HFT industry for fellow Turdites. I've been in HFT at top hedge funds and prop trading companies for over 10 years. I can't give out any information on proprietary strategies, but other than that, ask away!
Experienced HFT Quant Trader Here to Answer Questions
Thanks for stepping into the lions den and making your offer!
Some questions to do with reflexivity and your experiences:
Were you working with constantly high volume of transactions, or using HFT for fast execution of low volume of transactions? Average holding period for long/short positions?
Did your systems act in a market making capacity - by creation of dummy volume by leading orders coming in via slower market feed?
What are your thoughts on what might be called "true liquidity", "apparent liquidity", and did you have to create esoteric order instructions to obtain reasonable execution prices?
Did you arb in advance in correlated assets (or exchanges) to hedge primary asset price change caused by your own trades scheduled to be made after setting up the arb/hedge?
You said more efficient? Do you mean tech wise?
If yes, wont the entire thing dry up then. I mean if the playing field becomes level.
Sorry but I'm trying to learn.
Thanks for your contribution. Any and all information is appreciated. Hope your grabbing some phys with your electron profits!