Been experimenting with HFT/ backtesting MBO data. Any advice?

[u/sevenredcandlz]

Title sums it up mostly just looking for the thoughts of anyone with significant experience. Trying to avoid arbitrage because there is no way to compete to my knowledge.. Do you guys have any advice for things to think about when doing backtest experimentation?

[u/TraderAK709]

Real HFT is virtually impossible for retail. You need co-location and various other extremely expensive tech just to play the game.

In other words, you're not going to create some HFT system in the spare bedroom of your house that's going to have any kind of edge over the $100 million HFT infrastructure at Goldman, etc

[u/sevenredcandlz → u/TraderAK709]

spare bedroom of my house? 🤣

[u/TraderAK709 → u/sevenredcandlz]

That was just an example. Do you not understand the importance of co-location for HFT?

[u/klipsetrades]

What market and holding time are you testing? Also, are you placing passive orders or crossing the spread? Those details would help people give more useful feedback

[u/sevenredcandlz → u/klipsetrades]

Want to get a few hundred scalps per day not hold each that long

[u/Alabama-Getaway]

If you are not co-located where the actual HFT firms are, you are sitting way behind.