The Sub Tick HFT Game

Been ranting a bit about math problems so its time for another 6am post - please excuse the occasional incoherence  By math I mean what probabilities a strategy must hit to be profitable given the rules of the game.

Basic math to NASDAQ is as follows  (in units of $0.0001 per share)

-30 remove liquidity

+21 add liquidity

-0.0000192 * dollar value of sold symbol

0 to -20 for commission 

+ gross realized value of the trade

(its a variable commission as depending who you clear with, it could be 0 e.g. mega fund with its own clearing division, or say -20 for entry level algo brokers)

Lets simplify this somewhat and say, its a pair of buy/sell at different price but same qty, making the net realized gain

Net = Qty * (SellPrice - BuyPrice + Rebate + Commission + Tax)

First structure classification is what kind of entry/exit points you choose. Options are

Aggressive + Aggressive  (AA) : -30 - 30 = -60

Aggressive + Passive     (AP) : -30 + 21 = -9

Passive + Agressive      (PA) : +21 - 30 = -9

Passive + Passive        (PP) : +21 + 21 = +42

(Passive means your orders was visible on the book when it got executed)

(Aggressive means your order hit something that was visible on the book e.g. crossed the spread)

Simplify this a little into 3 classes

AA ( -60) AP (-9) PP(+42)

Note: AA your crossing the spread thus its really -160 but for back of the envelope purposes lets ignore that and enjoy Disney Land.

Let say our strategy has 2 discrete poles, +100 win and -100 loss, so 1 tick each side with no 0 draw result.

Below is a plot of the the trades winning probability (most left column) and the realized gain/loss for 1 share @ the specified probability for each entry/exit styles.

Rebate Only

0.000000 : AA:    -160 AP:    -109 PP:     -58

0.040000 : AA:    -152 AP:    -101 PP:     -50

0.080000 : AA:    -144 AP:     -93 PP:     -42

0.120000 : AA:    -136 AP:     -85 PP:     -34

0.160000 : AA:    -128 AP:     -77 PP:     -26

0.200000 : AA:    -120 AP:     -69 PP:     -18

0.240000 : AA:    -112 AP:     -61 PP:     -10

0.280000 : AA:    -104 AP:     -53 PP:      -2

0.320000 : AA:     -96 AP:     -45 PP:       6

0.360000 : AA:     -88 AP:     -37 PP:      14

0.400000 : AA:     -80 AP:     -29 PP:      22

0.440000 : AA:     -72 AP:     -21 PP:      29

0.480000 : AA:     -64 AP:     -13 PP:      38

0.520000 : AA:     -56 AP:      -5 PP:      46

0.560000 : AA:     -47 AP:       3 PP:      54

0.600000 : AA:     -40 AP:      11 PP:      62

0.640000 : AA:     -32 AP:      19 PP:      70

0.680000 : AA:     -24 AP:      27 PP:      78

0.720000 : AA:     -16 AP:      35 PP:      86

0.760000 : AA:      -8 AP:      43 PP:      94

0.800000 : AA:       0 AP:      51 PP:     102

0.840000 : AA:       8 AP:      59 PP:     110

0.880000 : AA:      16 AP:      67 PP:     118

0.920000 : AA:      24 AP:      75 PP:     126

0.960000 : AA:      32 AP:      83 PP:     134

1.000000 : AA:      40 AP:      91 PP:     142

Result here is, you need a strategy > 80% wins with an AA model > 56% wins for a AP model, and > 32% for a PP model. 

That makes sense, so lets add the tax @ say a $20symbol

Rebate + Tax @ $20

0.000000 : AA:    -163 AP:    -112 PP:     -61

0.040000 : AA:    -155 AP:    -104 PP:     -53

0.080000 : AA:    -147 AP:     -96 PP:     -45

0.120000 : AA:    -139 AP:     -88 PP:     -37

0.160000 : AA:    -131 AP:     -80 PP:     -29

0.200000 : AA:    -123 AP:     -72 PP:     -21

0.240000 : AA:    -115 AP:     -64 PP:     -13

0.280000 : AA:    -107 AP:     -56 PP:      -5

0.320000 : AA:     -99 AP:     -48 PP:       2

0.360000 : AA:     -91 AP:     -40 PP:      10

0.400000 : AA:     -83 AP:     -32 PP:      18

0.440000 : AA:     -75 AP:     -24 PP:      26

0.480000 : AA:     -67 AP:     -16 PP:      34

0.520000 : AA:     -59 AP:      -8 PP:      42

0.560000 : AA:     -51 AP:       0 PP:      50

0.600000 : AA:     -43 AP:       7 PP:      58

0.640000 : AA:     -35 AP:      15 PP:      66

0.680000 : AA:     -27 AP:      23 PP:      74

0.720000 : AA:     -19 AP:      31 PP:      82

0.760000 : AA:     -11 AP:      39 PP:      90

0.800000 : AA:      -3 AP:      47 PP:      98

0.840000 : AA:       4 AP:      55 PP:     106

0.880000 : AA:      12 AP:      63 PP:     114

0.920000 : AA:      20 AP:      71 PP:     122

0.960000 : AA:      28 AP:      79 PP:     130

1.000000 : AA:      36 AP:      87 PP:     138

Not a huge difference, yet even $20 in tax shifts everything by a few %, which could easily move your strategy into the red.

Lets up it a notch and say you want to trade SPY @ say $139 (2012/04/17)

Rebate + Tax @ $139

0.000000 : AA:    -186 AP:    -135 PP:     -84

0.040000 : AA:    -178 AP:    -127 PP:     -76

0.080000 : AA:    -170 AP:    -119 PP:     -68

0.120000 : AA:    -162 AP:    -111 PP:     -60

0.160000 : AA:    -154 AP:    -103 PP:     -52

0.200000 : AA:    -146 AP:     -95 PP:     -44

0.240000 : AA:    -138 AP:     -87 PP:     -36

0.280000 : AA:    -130 AP:     -79 PP:     -28

0.320000 : AA:    -122 AP:     -71 PP:     -20

0.360000 : AA:    -114 AP:     -63 PP:     -12

0.400000 : AA:    -106 AP:     -55 PP:      -4

0.440000 : AA:     -98 AP:     -47 PP:       3

0.480000 : AA:     -90 AP:     -39 PP:      11

0.520000 : AA:     -82 AP:     -31 PP:      19

0.560000 : AA:     -74 AP:     -23 PP:      27

0.600000 : AA:     -66 AP:     -15 PP:      35

0.640000 : AA:     -58 AP:      -7 PP:      43

0.680000 : AA:     -50 AP:       0 PP:      51

0.720000 : AA:     -42 AP:       8 PP:      59

0.760000 : AA:     -34 AP:      16 PP:      67

0.800000 : AA:     -26 AP:      24 PP:      75

0.840000 : AA:     -18 AP:      32 PP:      83

0.880000 : AA:     -10 AP:      40 PP:      91

0.920000 : AA:      -2 AP:      48 PP:      99

0.960000 : AA:       5 AP:      56 PP:     107

1.000000 : AA:      13 AP:      64 PP:     115

Things look a bit more "difficult", with an AA structure you need to hit >= 96% accuracy, PA >= 68% and PP >= 44%. Pretty clear AA for a +100/-100 trade is getting near impossible and if you consider the additional -100 spread cost... it is impossible.

The above has a commission of 0, so lets add say -5 commission on a $20 symbol

Rebate + Commission (-5) + Tax @ $20

0.000000 : AA:    -173 AP:    -122 PP:     -71

0.040000 : AA:    -165 AP:    -114 PP:     -63

0.080000 : AA:    -157 AP:    -106 PP:     -55

0.120000 : AA:    -149 AP:     -98 PP:     -47

0.160000 : AA:    -141 AP:     -90 PP:     -39

0.200000 : AA:    -133 AP:     -82 PP:     -31

0.240000 : AA:    -125 AP:     -74 PP:     -23

0.280000 : AA:    -117 AP:     -66 PP:     -15

0.320000 : AA:    -109 AP:     -58 PP:      -7

0.360000 : AA:    -101 AP:     -50 PP:       0

0.400000 : AA:     -93 AP:     -42 PP:       8

0.440000 : AA:     -85 AP:     -34 PP:      16

0.480000 : AA:     -77 AP:     -26 PP:      24

0.520000 : AA:     -69 AP:     -18 PP:      32

0.560000 : AA:     -61 AP:     -10 PP:      40

0.600000 : AA:     -53 AP:      -2 PP:      48

0.640000 : AA:     -45 AP:       5 PP:      56

0.680000 : AA:     -37 AP:      13 PP:      64

0.720000 : AA:     -29 AP:      21 PP:      72

0.760000 : AA:     -21 AP:      29 PP:      80

0.800000 : AA:     -13 AP:      37 PP:      88

0.840000 : AA:      -5 AP:      45 PP:      96

0.880000 : AA:       2 AP:      53 PP:     104

0.920000 : AA:      10 AP:      61 PP:     112

0.960000 : AA:      18 AP:      69 PP:     120

1.000000 : AA:      26 AP:      77 PP:     128

At -5 / share (remember its on both sides) AA requires nearly 90% accuracy, that`s a tough number to hit.

Rebate + Commission @ -10 / shares + Tax @ $20

0.000000 : AA:    -183 AP:    -132 PP:     -81

0.040000 : AA:    -175 AP:    -124 PP:     -73

0.080000 : AA:    -167 AP:    -116 PP:     -65

0.120000 : AA:    -159 AP:    -108 PP:     -57

0.160000 : AA:    -151 AP:    -100 PP:     -49

0.200000 : AA:    -143 AP:     -92 PP:     -41

0.240000 : AA:    -135 AP:     -84 PP:     -33

0.280000 : AA:    -127 AP:     -76 PP:     -25

0.320000 : AA:    -119 AP:     -68 PP:     -17

0.360000 : AA:    -111 AP:     -60 PP:      -9

0.400000 : AA:    -103 AP:     -52 PP:      -1

0.440000 : AA:     -95 AP:     -44 PP:       6

0.480000 : AA:     -87 AP:     -36 PP:      14

0.520000 : AA:     -79 AP:     -28 PP:      22

0.560000 : AA:     -71 AP:     -20 PP:      30

0.600000 : AA:     -63 AP:     -12 PP:      38

0.640000 : AA:     -55 AP:      -4 PP:      46

0.680000 : AA:     -47 AP:       3 PP:      54

0.720000 : AA:     -39 AP:      11 PP:      62

0.760000 : AA:     -31 AP:      19 PP:      70

0.800000 : AA:     -23 AP:      27 PP:      78

0.840000 : AA:     -15 AP:      35 PP:      86

0.880000 : AA:      -7 AP:      43 PP:      94

0.920000 : AA:       0 AP:      51 PP:     102

0.960000 : AA:       8 AP:      59 PP:     110

1.000000 : AA:      16 AP:      67 PP:     118

Commissions at -10/share with a +100/-100 2 pole result, AA nearing impossible requiring 95% accuracy for any return e.g. you need a time machine to make money with this structure.

Finally lets really push it to -20/share

0.000000 : AA:    -203 AP:    -152 PP:    -101

0.040000 : AA:    -195 AP:    -144 PP:     -93

0.080000 : AA:    -187 AP:    -136 PP:     -85

0.120000 : AA:    -179 AP:    -128 PP:     -77

0.160000 : AA:    -171 AP:    -120 PP:     -69

0.200000 : AA:    -163 AP:    -112 PP:     -61

0.240000 : AA:    -155 AP:    -104 PP:     -53

0.280000 : AA:    -147 AP:     -96 PP:     -45

0.320000 : AA:    -139 AP:     -88 PP:     -37

0.360000 : AA:    -131 AP:     -80 PP:     -29

0.400000 : AA:    -123 AP:     -72 PP:     -21

0.440000 : AA:    -115 AP:     -64 PP:     -13

0.480000 : AA:    -107 AP:     -56 PP:      -5

0.520000 : AA:     -99 AP:     -48 PP:       2

0.560000 : AA:     -91 AP:     -40 PP:      10

0.600000 : AA:     -83 AP:     -32 PP:      18

0.640000 : AA:     -75 AP:     -24 PP:      26

0.680000 : AA:     -67 AP:     -16 PP:      34

0.720000 : AA:     -59 AP:      -8 PP:      42

0.760000 : AA:     -51 AP:       0 PP:      50

0.800000 : AA:     -43 AP:       7 PP:      58

0.840000 : AA:     -35 AP:      15 PP:      66

0.880000 : AA:     -27 AP:      23 PP:      74

0.920000 : AA:     -19 AP:      31 PP:      82

0.960000 : AA:     -11 AP:      39 PP:      90

1.000000 : AA:      -3 AP:      47 PP:      98

At this point AA is theoretically impossible with PA needing 76% of trades to be correct just to break even.

Obviously its far more involved with a ton of subtle yet major pain-in-the-ass-problems but gives you an idea of the level of accuracy & commissions needed to play the sub-tick game.

Also this says nothing about what kind of latency/tech needed for passively executed orders... or  how low the real-world probabilities are but that`s for some other time.... if only that order passively unwound at that price, there would be peace joy and happiness in the world :P

... the grind continues

Under the hood of a Black Box

Building Mid-freq strategies is alot more involved than HF/UHF strategies, atleast so far. With HF/UHF your looking for a simple pattern with a simple data transform that`s consistent enough you can build a strategy to exploit. With the mid-freq strategies its still a simple pattern the difference is the abstraction level and greeks to the trade are more complicated - at least thats what it seems. e.g no longer looking at the very short term micro inventory/information/latency arbitrage opportunities and instead stationary patterns in highly abstracted and transformed data sets.

My mid freq strategies are not going well, it takes alot of time and I put a hard deadline of end-of-the-month to have something... which gets closer each day. Thus its almost certain will be pulling the machine from colo, to regroup, lick my wounds, get some sleep and then march forward with a modified approach... just cant do this alone starting from 0.

So less ranting about my (lack of) PnL and more on the tech side. Here`s a logical block diagram of my system.

Pretty simple eh?

First up NIC`s

NIC0 -> ssh / management interface
NIC1 -> Order Enter
NIC2 -> not used
NIC3 -> Market Data

Next is HWT`s

Conventional wisdom says you should disable hyper threading as it has significant impact on the performance of the other HWT for the core, which can be true. Hyper threading works by having separate "contexts" e.g. register block & program counter in hardware but sharing the same execution pipeline. Similar in concept to a time sliced operating system where each process/thread has its own copy of all user-land registers which are swapped in at the start of the threads time slice, the thread executes for a set period of time, the registers are copied back into memory, and a new thread is swapped in. This allows multiple programs to share a single CPU and maximize the utilization of the CPU. HW threads work in a similar way but at the ISA (instruction set architecture) level ontop of a processors micro architecture.

The theory for both time sliced OS and hyper threading is, for a significant % of time the execution units are idle as the program is blocked waiting for IO. Thus some other program can utilize the hw resource while waiting for the blocked IO to complete and you get higher execution occupancy & more throughput... but at the cost of increased latency.

OS Example:

while a thread is blocked waiting for Keyboard/Disk/Network input, some other thread runs

HW Example:

a memory read missed L1/L2/L3 and has to be fetched from DDR (100cycles), some other program runs for those cycles.

Have been coding for 8 core asynchronous systems since 2001 so designing for wide processing is quite natural these days - have suffered that transition pain. Thus have plenty of process/threads but not enough cores, so have to eat the latency cost and enable hyperthreading.

Short description of each HWT. All processes/threads are locked to their respective HWT.

HWT0

This is the general purpose, everything runs on this. To linux the system looks like a 1 HWT machine. bash sshd etc etc.

HWT1:

nothing pre-defined. depends what im doing with the machine for what is assigned to this. e.g. live strategies, back testing, backup/crunching.

HWT2:

FIFO scheduled (e.g. not time sliced) for all strategies to run. Processing is setup so 1 cycle of a strategy is run, the round robbin(via linux scheduler) to the next strategy and so. Can be dangerous as the strategies can effect each other but the core strategy logic is usually very simple and light.

HWT3:

For HF/UHF the amount of brute force number crunching is not so high, thus a single HWT is sufficient. The thread has a job queue where anyone can submit something to be crunched.

HWT4:

Market Data Feed handler. You might ask why only 1 HWT for this? The answer is the more queue`s you add the higher the latency. My system only has 1 Queue and thats the Socket`s Rx Buffer which is massive. The 2nd answer is, i`m not keeping a book for all ~6.5K symbols on nasdaq thus dont need the additional throughput. As mentioned way back in 2010, the key here is extremely fast trivial reject`s to filter out all the crap you dont need.

HWT5:

This is the disk io core who`s sole purpose in life is to copy blocks of shared memory to the SSD.

HWT6:

The Gateway + Active Risk checks. This translates internal order requests (new/mod/can/exe) into native protocol versions and performs basic risk check / position management / fat finger checks before sending it into the market. Gateway or OMS as some call it has hooks to external programs which can enable/disable the sending of orders. The risk checks are minimal as its on the critical latency path, thus the more elaborate checks are done passively post trade.

HWT7:

Networking utils / passive risk checking. Part one of this HWT is capture and logs everything on the wire in all directions going everywhere, think NSA style layer2 snooping - yes I see you knocking on the door 192.168.42.1. The other part is to digest and analyze the captured data pseudo realtime. There are soft latency limits here, ideally all these functions would be running on an independent machine but... didnt want to spend the cash for that.

.. and so the quest continues as digging thru terrabytes of data, racing a 500HP golf cart on the screaming edge of technology down some sketchy back alleyway in Hong Kong... is so my thing :P

Work Life Balance

Another week finished and still unprofitable.. haven`t really traded much last week or two as busy in research/quant mode. My edge gets better by the day, but sadly the comission`s and latency do not. Current problem is I keep building profitable strategies but for some reason always make them passive ... which require extremely good queue positions which means... it wont work with my setup... meaning wasting more time.

To have an excellent queue position on say SPY requires a direct feed from nasdaq, 10Gb, ultra low latency pre trade risk checks and fpga/extremely tight code for market data processing. e.g. the ability to filter out all the crap when your about to get hit by a bus. Unfortunately this is really expensive (for myself atleast) so dont have it and thus have finally made the conscious decision to absolutely under no situation build a passive strategy.

For those who dont know, I`m based out of Tokyo which means really weird and utterly brutal hours. All the movies of dudes sitting on Yachts in the Bahamas spending 10min/day adjusting their positions via laptop over a satilite connection? ... is well ... not my case and certainly not the life of anyone I know who trades.

Imagine this schedule


Mon:  5:00 - 18:30 : 
Mon: 30min - 1H siesta
Mon: 19:30 - 00:00 : Market Open 9:30 EST (22:30 Tokyo)
Tue:  0:00 -  7:00 : Market close 16:00 EST (5:00 Tokyo)
--- sleep ---
Tue: 11:00-   0:00
Wed:  0:00 -  7:00
-- sleep ---
Wed: 11:00 -  0:00
Thu:  0:00 -  7:00
-- sleep --
Thu: 11:00 -  0:00

Fri:  0:00 -  7:00
-- sleep --
Fri: 11:00 -  0:00
Sun:  0:00 -  7:00  <--- now!
-- sleep --
Sun: 13:00 -  0:00
-- sleep -- 

And yes Monday is a 24H work day. All up think its easier to use 24H * 7 - SleepTime... which is

24*7 - (6 * 4 + 1 * 5) = 168 - 19 = 149H week

Obviously this aint sustainable long term and pile onto that 6days/week * 12-16H/day for 6months and you get some sort of idea on how many hours its taken me to get to this point.. and still not profitable (holy fark!) For those lucky enough that are in the right location and can learn from co-workers/existing code bases it makes a *huge* difference... ive wasted so much time on the wrong things, but on the plus side what I do understand is burned into my cortex forever as have paid the price via trial & error.

.....dont try this at home kids :P

Too Many Hats

Another week with consistent alpha proving elusive. Got most of the tech problems got sorted out which left only math problems. The math unfortunately is not so easy to fix. Was running a few incarnations of a sub tick arbitrage strategy that unfortunately the combination of comissions/rebates/latency/law of large numbers means it will never make money/inconsistent or not enough to cover the fixed infra costs. So hit the puke point, taken the stop loss and building a new strategy.

Whats interesting(and frustrating) is I can now build a variety of profitable back tested strategies fairly easily, which was certainly not the case a few months ago. Yet when running it live it fails to match the model. The reason? many. but to a large extent I didnt know alot of the characteristics/behaviour when interacting with a real market/real broker which significantly eroded the edge.

My general process for strategy development goes like

Stage 1) "back of the envelope mode" this is quickly test some basic assumptions with level 1 data or medium granularity bars or both. At this point don`t care about latency or even the queue and commissions/rebates arent priced in. The goal here is to check the "edge" is there and if so, it needs to be sufficiently strong  & consistent.

Stage 2) Add the queue/comissions/rebates/tax and then trade & quote data. At this point everything is run in lock step. e.g. one step == one message. Find this is where I most of the time. Whats good about this stage is, its really easy to change the strategy add new things, remove things do all sorts of random stuff to it and not have to worry about any of the order entry/market data details, e.g. order/cancel reject handling, re-priced, latency, etc etc

Stage 3) Code it up as a a real strategy. This means real async order entry/market data and you now have a time constraint - if a tick takes 1sec to crunch then you will get run-over. The environment here is a fully simulated exchange both order entry & market data that is replaying historical. This can be fiddly but your just re-coding up Stage 2) which is fairly straight forward and the environment you already coded thus dosent take very long.

Stage 4) Run it live against the real exchange. My setup makes launching a strategy simply executing a program on the command line, theres no monolithic gui/master program/program within program. All a strategy does is talk to shared memory. Thus can run it one shot at a time, or continuously, have scripts calling scripts call the strat, etc etc the usual linux scriptfu. From here its easy to monitor and watch, tune and fix/debug. The key here is to make it match the theoretical/backtested model or change the theoretical model to match the observed behaviour.

... and this is where im at. Sucks pretty badly spent so much time and effort so far without any real success. Had a few highs tho, turning my position over a few times was really cool! as was sending half a million dollars worth of orders to the market but sadly, still missing something, still in the red and the  20H days are catching up.

the quest continues...

Week Number 2

Wow my 2nd week live has finished, pretty much just testing the break, accelerator, warming up the tiers, a few test laps, getting a feel for at what speed/rpm to shift gears. how it corners and most importantly how fast does it go and how fast can it stop.

so far no trip to the emergency room.... yet lol

This pretty much sums up the experience

http://www.youtube.com/watch?v=VaFP1yZykuk

... and yes getting wacked happens a bit, tho only down $20 so far. Whats weird is there`s this completely irrational fear, similar to the fear of talking to that girl... or hitting that asshole on the nose...  and now a new addition...  putting 100shrs at the BBO. Theres no logical explanation for it. Sure, she might ignore you, or you might get some nasty bruise or you might get executed with a 100shrs of an incredibly liquid stock, all 3 of which are of little consequence.

So just like the above examples, after you`ve done it a few times and realize its not so bad, the irrational fear dissipates and the analytical part of your brain takes over from more primal/emotional.

Basic breakdown has been

Week 1

- code order entry gateway

- code market data feed handler

- code risk managmenet

- cron jobs

- scripts of all sorts

- various system infra stuff.. pissed you cant monitor ECC failures

- various silly bug fixes

Week2

- recon/SOD/EOD automation

- performance/latency tests

- debugging latency problems with market data

- re-wrote feed handler (latency probs)

(most of the week spent on market data latency)

Whats gone wrong so far?

- incorrectly sent massive burst of cancels (5000+) ... opps

- VPN connection into colo dropped out while trading! holy fark!

- a few run-away terminal sessions, flood of printf`s makes ssh un-responsive

- desktop PC`s deciding to update and reboot by themself

- pretty much most of my worst fears have happened

Murphy I really do hate you.

Next up? bit more latency/performance tuning and now finally digging deeper into strategy development, and as they say.

Gentlemen, please start your engines!

h4cking HASDAQ 1U High Performance Server Model 1337

Busy as hell.. seems to be a the never ending story. Original plan for colo was teaming up with a small HFT group that would have been really cool but.. alas fell thru at the last minute, thus had to re-group both infra and strategies. So as of now im finally plugged in hooked up and almost ready to let that first strategy run loose to generate those millions of dollars ... ho ho ho ha :P

When you get ready to put servers into colo theres a sudden realization of how expensive enterprise grade name brand servers are. Typically HP G6 or G7, various flavors of IBM and occasionally a DELL shows up. Unfortunately these kinds of machines are out of my budget or more precisely I`d rather spend the money elsewhere so.... lets build are own 1U server on the cheap.

Reference point is

HP ProLiant DL370 G7 High Performance 2U Server
x2 6 core 3.4Ghz X5690
16GB ECC memory
5TB of disk space
Dual 10Gb Port NIC

http://h71016.www7.hp.com/dstore/MiddleFrame.asp?view=all&oi=E9CED&BEID=19701&SBLID=&AirTime=False&BaseId=35620&FamilyID=3180&ProductLineID=431

For a total of $14,421.00 ..... OUCH!

Brand new h4cking NASDAQ 1U High Performance Server Model Number 1337

... lol

So whats in the box?

x1 4 Core 8 thread 3.4Ghz E3-1270 (Sandy Bridge)
16GB ECC memory
4.5TB HDD space
120GB Intel SSD
x1 SolarFlare Dual 10Gb NIC

... and yes its a tiny 1U as you can see from the $20 bill. Typically this kind of chassis is used for low end systems as the aiflow is pretty messed up ... but it fits my style, lean, mean and a hell of alot cheaper! Only major concern is airfow as cold air intake from the side and the blower pushing the air  out the back (pic is a little old) yet so far no problems.

To break the costs

Motherboard is SuperMicro X9SCM-F (IPMI very important) - $200
Processor E3-1270 - $340
16 GB ECC Memory - $200
WD Green 2TB - $120
WD Green 2.5TB $120 (disk in the picture is a 1TB that was replaced)
120GB Intel SSD (thing between PSW & HDD) - $200
Chassis, imported directly from Taiwan - $100 (including shipping + PSW + Blower + Riser)
SolarFlare Dual Port 10Gb NIC - $1000

Total all up $2,280

That`s a saving of $12,000 not bad. Of course the reliability of the server, comparability, SLA is non existent, HDD are slow.. uses some "Desktop Grade" parts as well as a power supply of unknown origin. Not exactly the fairest of fair compairson to your decked out HP G7 box but spending money where it counts, CPU frez, Memory, and NIC. To sum it up nicely would be to say, if it fuck ups its your own fault and theres no support line to call/sob/pass the buck to. 

All up haven`t had any problems and more than happy with the performance and yes DO NOT mess with the punk ass pink bunny!

Trading is hard

Not quite dead yet, but close from working insane hours.... my life story lol. Its been 5 months since quitting a good job to focus full time on HF equities trading and almost 2 years since finance and trading appeared on my radar. But never imagined in any shape or form that successful, consistently profitable trading would be so hard. Its not surprising... I guess, if not painfully obvious as if everyone could extract money from the market like this, then everyone would be living on a Yacht in the Bahamas... or whatever fantasy you can conjure up.

Problem is the barrier to entry is unbelievably low, similar to "Art". Anyone can pickup a paintbrush/whatever and make something and put it on a wall, just as anyone can buy and sell stock/whatever and plot it on a chart. The difference? Unlike friends and family is with your Art, the market is a brutal, merciless, heartless bitch that tells you exactly what it thinks, blow by blow, day by day, no hesitation to kick you in the teeth, with cast iron steel capped boots, when your down and out in a pool of your own blood. Then finally, in a very polite and impersonal way gives  a quantifiable score every minute/hour/day/month and year - sounds fun eh? :P

Guess its no co-incidence some of the smartest and sharpest people I`ve met over the last year or two are HF traders and what Ive found in nearly 2 decades of writing code in some shape or form is, you typically find is one, two or maybe three if your really lucky of these kinds of truly gifted people in your standard tech company/division (*1) yet it seems every successful HF trader ive met is one of these gifted people - none of this big dumb asshole trader image that is typically in popular culture.

So as 6months draws to a close, after dozens of strategies, endless hours looking at charts, flows, stats, far too much hair pulling and about 5 completely re-written trading systems(one day will write that all up) I`m ready to jump in and start trading for real January 2012.

Maybe PnL >0
Maybe PnL < 0

But...  Enjoy the holiday break and all the best for 2012!!

(*1) - this means people who get shit done, not those who can cite text books, bullshit brilliantly or display alphabet soups after their name.