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!
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?
Believe it or not, posters on this site were very civil the last time I did this, did not seem like a lion's den at all. Glad to help -
Q: 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?
On futures specifically, we aimed to be between 1-3% of the market. Holding periods typically were between 3-30 minutes. Like most HFT shops, our strategies were direction agnostic, so the holding periods were the same for both long/short positions.
They were 50% market making and 50% market taking. Our strategies did not act in the way you are asking about - that is a very niche corner of HFT trading that most firms do not partake in.
The majority of the liquidity is true liquidity - in that it is the same liquidity that anybody else can see. Dark pool liquidity existed and were profitable strategies, but I do not believe this had a negative affect on what prices normal consumers could execute at. Because of the multiple stock exchanges, we did have specific routing instructions to execute maximum liquidity (normal order routing usually just goes to the best price).
Yes, if we were in the process of hedging our own arb/hedge trade, we would send orders in correlated markets knowing that other arbers/hedgers had hedge their risk. In these cases speed (getting your intial trade confirm) was extremely important. These types of trades are drying up as the market is getting more efficent, however.
Thanks for your contribution. Any and all information is appreciated. Hope your grabbing some phys with your electron profits!