I am gonna work in one of these some days later!

FT High frequency trading

New titans of Wall Street: How trading firms stole a march on big banks
Handful of secretive businesses including Jane Street and Citadel Securities have seized market share from the old guard

https://www.ft.com/content/9439108d-4fe3-4f...40-da9412f1ba0b

I still think I am a fundamental guy... Charts and resistances... head and shoulders patterns all seem like aliens to me lol

I make 2-3 USD a day every 3 days or so trading the bid-ask spread of BIL ETF... passive income for a start...

Quantitative researcher/analyst is a more suitable job for me. I heard the pay is 15k SGD - 20k SGD a month for PhD graduates in quant firms like Citadel, Jane Street etc. but I guess the trading desks people bring home more money lah..

You can help check for me the pay for Physics PhD working as quant analyst/researcher in Malaysia banks/funds?

As for your OT question, no I am just starting my 2nd year PhD at NTU Singapore... Will graduate in August 2027. See if I can land an intern at one of the market makers out there. PhDs and Masters' quants are in high demand in Singapore...
High Frequency Trading. A good book to read is 'Flash Boys" by Michael Lewis. https://en.wikipedia.org/wiki/Flash_Boys

You can find the e-book for free online, given the book's popularity (PM me if you have difficulty looking for one.)

A very common HFT tactic is known as SIP latency arbitrage: https://www.law.berkeley.edu/wp-content/upl...latency2017.pdf

In essence these traders program computers so that they can seek arbitrage profits in a very short period of time. The NMS regulation by the SEC requires a common pricing to be known to the public, but the problem is NMS regulation does not specify the time (or time delay) for the information to be known. The SIP systems are often delayed by milliseconds, but stocks tick every nanoseconds or so.

So in that short instance, a trader can buy from one exchange and sell to the order to make money.

That's a simplified version of the HFT story, books will tell you more.

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Yes, you can do HFT with IBKR although theoretically, you will always lose out to the traders whose servers and PCs are right next to the exchange's matching engine in say Mahwah, New Jersey (for NYSE).

But even if you are located physically in the US, there may be requirements to fulfill before you can start trading like a pro... Some license or something... Can check out on IBKR's website.

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I think IBKR connects to the exchanges' matching engines directly, but I am not sure how close IBKR's servers are to the data centers of NYSE, NASDAQ etc...

What I can share with you from my previous attendance in Citadel, Point72, QRT etc.'s campus recruitment talk in NTU Singapore is that they are using short waves to relay signals all the way to the US as the underground fibre optic cables are congested and slow. The signal bounces along the ionosphere of Earth... from Singapore all the way to the US...

https://panoradio-sdr.de/the-world-of-short...ck%20to%20earth.

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Ans lastly, this info is from my HK finance professor who knows people working in Citadel Hong Kong. A lot of these non-bank trading firms, hedge/quant funds do not have solid footing in traditional hardcore finance unlike people who work at investment banks like Goldman, Morgan Stanley or Deutsche. Their backgrounds are somewhat diverse, with people coming in as long as they have a Masters/PhDs and can think/analyze...

My prof confirms that Citadel makes money by taking positions against its counterparties, albeit for a short period of time (e.g. in low-latency HFT trades). Pure "vanilla" market-making will never be profitable...

(A joke from him: He himself applied for a job at Citadel HK and the HR asked him his research field. He said Capital Asset Pricing Model, CAPM. The HR asked him what is "CAPM" )

Hope that helps.

Ok lah I see how. Arbitrage profits are not earned easily... that's what I learn from by BIL ETF bid-ask spread scalping... Sometimes, you just have to pray that an idiot will buy enough units from you first at a ridiculously high ask price, or at least his order is large enough so that you can cover the 1.50 (sell) + 0.4 (buy) USD trading commissions... 

Then you have to wait for hours just for another fella to sell to you at somewhere near the expected market price... The wait can be so long that the order is filled the next morning during US aftermarket 

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PhD is usually a 4-year programme in Singapore. One of the girls I dated with on NTU campus finished her's in 3 years! Some people can take as long as 5.

In Europe PhD is usually 3-year because they always start with a one- to two-year Masters before proceeding to PhD, so everything is covered...

In the US PhD can take 6 years or 7 years... it's a long journey over there though the training can be better compared to elsewhere. But the cost of living is rising faster than the stipend increment. A lot of PhD students in the States live from mouth to foot, or rely on spouse who works in Silicon Valley earning 5-6 digits a month in USD to foot the bill.

can forget about stock market arbi... we cannot beat hft... last time did crypto arbi, when market moves fast can exploit exchange slippage/gap... overnight can make 4-5k easy... but daytime exhausted like zombie... lol...

anyways... just reminding that algo/bot trading can be our personal millennium fund...   (just restarted fine tuning my bot...hopefully in future can implement on ibkr... my legacy for the kids )

also dun forget about ai... i know a guy who doesn't know programming but managed to talk ai into developing a trading stats management program... ai and quant are like dream partners, sadly i old liao hard to learn new tricks... hahaha...  friend was showing off what the ai can do... really amazing stuff...

2. not really
3. ibkr got 3 API systems, anyone can link using them protocols... you can also use 3rd party trading and algo softwares...

oh is you i chat in pm... i didn't pay attention to userid... lol...

he tried chatgpt and a few others... he said some are better at coding... but this was last year, so dunno who is better now... got a web front end working, and backend pulling trading data for stats and charts...

Ya, PhD in Physics, specializing in complex systems...

Uhmm there is no hard and fast definition. After all HFT means high-frequency trading, and the frequency is up to you to define lol, Some firms hold a particular stock for seconds, some for minutes, some for days. There could also be a mix of them in a hedge fund/market maker. It really depends on the strategy deployed. If you are trying to exploit the stock price difference between Unilever NYSE (UL) and Unilever LSE (ULVR), you will surely close your positions within seconds when the price equilibrates, adjusted for trading commissions. But sometimes, the discrepancy could last for months before the premium/discount disappears, e.g. check out this paper: https://www.researchgate.net/publication/22..._Unilever_NVPLC

Then the trader will hold the long-short positions for months before closing. It won't be a HFT trade anymore.

https://en.wikipedia.org/wiki/High-frequency_trading
Haha you just need to google "bid-ask spread scalping"

When you detect anomaly in market pricing, you sell at a high price and buy at a low price. My positions are always covered, and I don't short stocks/ETFs.

The easiest target to scalp is liquid US T-bill ETFs during Overnight US markets like BIL. US T-bills are very liquid and their prices are known nearly 24 hours a day (When US market closes, T-bills trade in Tokyo and London). The ultra-short duration of T-bills/T-bills ETFs also means they are insensitive to changes in short-term and long-term US rates. Hence their prices should not change dramatically from day to day. As the entry barrier to US Treasuries is rather high on IBKR (commissions are high), US T-bill ETFs become a good choice.

Comparing the overnight market ask price with the bid price and the most recent session's closing price, if you see the ask price jumps by 0.05-0.06 USD over the bid price/previous session closing price, you check the Tokyo market US T-bills price/yields, if there is no news on Bloomberg/FT/WSJ, then you know an anomaly exists and you can scalp BIL for a couple of USD. Do allocate some 2 USD margin for commissions beforehand.

A tip for traders is always queue in the market early. This is a tip from my finance professor in Hong Kong. You will notice HK bankers arrive at their office desks earlier than most other people. That's because they need to revise previous day's news and queue in the order book before the stock exchange opens... They got first-move advantage...

The best time to queue for scalping is usually between 8 am and 9 am, when the bid-ask spread fluctuates and the trading volume is thin. (8 am is when Tokyo exchange opens, 8.15 is when IBKR's Overnight Trading session starts, 9 am is when Singapore exchange opens and 9.30 is when HKEX opens for trading.) Usually your orders will also get filled around 10 am, or close to lunch break, 12 pm and also possibly around 3.30 pm before US premarket starts, from my past scalping experiences.

friend did this using ai... lol...

FT Jane Street Capital

New titans of Wall Street: how Jane Street rode the ETF wave to ‘obscene’ riches
A quirky and opaque New York firm has rapidly expanded to become the most profitable trader of all

https://www.ft.com/content/f7cb25ba-7329-42...d3-8a34ef84f9f0

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Can google "complex systems"...

Three-body is physics problem yea, and there are solutions to cases with constraints like the elliptical-restricted 3-body problem (ER3BP) or circularly-restricted 3-body problem (CR3BP). But complex systems are more like many-body problems, and agents interacting in unpredictable, probabilistic ways. You will need chaos theory and some statistical mechanics to understand stuffs.

Classic examples of complex systems are like fractals (mathematical objects in 2D case have infinite lengths but enclosing finite areas, or in 3D, infinite surface area enclosing finite volume), the Earth biological ecosystems, weather and climate systems, financial markets, societal interactions etc. My research is focusing on financial markets haha

Uhmm why do you need to close your T-bill positions earlier than the maturity date? Unless you are worried about government defaults, which do happen occasionally in the US when there is a government shutdown, but that last for days only and the yield will spike to 7-10% p.a., enough to compensate for that short-term anxiety I guess. Otherwise, your selling act will result in extra lost in commissions/fees to your brokers.

You can buy T-bills/T-bills ETFs any time to park your USD cash in the short run, the yields are still around 4.7% p.a. though it is going down. But for short-term parking, it's not a problem, you earn your returns at a risk-free rate anyway, so nothing lost.

FT Jane Street Capital

New titans of Wall Street: how Jane Street rode the ETF wave to ‘obscene’ riches
A quirky and opaque New York firm has rapidly expanded to become the most profitable trader of all

https://www.ft.com/content/f7cb25ba-7329-42...d3-8a34ef84f9f0

---------------------------------
Can google "complex systems"...

Three-body is physics problem yea, and there are solutions to cases with constraints like the elliptical-restricted 3-body problem (ER3BP) or circularly-restricted 3-body problem (CR3BP). But complex systems are more like many-body problems, and agents interacting in unpredictable, probabilistic ways. You will need chaos theory and some statistical mechanics to understand stuffs.

Classic examples of complex systems are like fractals (mathematical objects in 2D case have infinite lengths but enclosing finite areas, or in 3D, infinite surface area enclosing finite volume), the Earth biological ecosystems, weather and climate systems, financial markets, societal interactions etc. My research is focusing on financial markets haha

Uhmm why do you need to close your T-bill positions earlier than the maturity date? Unless you are worried about government defaults, which do happen occasionally in the US when there is a government shutdown, but that last for days only and the yield will spike to 7-10% p.a., enough to compensate for that short-term anxiety I guess. Otherwise, your selling act will result in extra lost in commissions/fees to your brokers.

You can buy T-bills/T-bills ETFs any time to park your USD cash in the short run, the yields are still around 4.7% p.a. though it is going down. But for short-term parking, it's not a problem, you earn your returns at a risk-free rate anyway, so nothing lost.

Yea, the "dropping back" is due to dividend declaration, tax is 30% WHT, as quoted in Medufsaid's post. But the tax will be reversed and refunded to you around early February the following year.

Yea you can scalp BIL, I shared the details earlier here:

Yes, the changes are very small if you compare the market open and closing price. The magic happens intraday... especially during Asian/US Overnight hours...

That is when liquidity is thin and price jumps up and down erratically. These price jumps are NOT recorded into the official price statistics you see on Yahoo Finance etc., because they are executed off-exchange... Yahoo Finance/Google Finance etc. shows only the data stream from NYSE/NASDAQ exchanges covering premarket, normal market and aftermarket sessions.

Another day of scalping...



Today's profit amounts to 3.53 USD, plus I ended up purchasing one more unit of BIL ETF in the process, effectively commission-free, paid by the proceeds from the scalping...

Pull the bid ask? You are writing script to automate the trading process?

You can just do it manually. Eyeball the figure around 8 to 9 am when you submit the ask price and check it once a while thereafter to adjust the bid-ask spread accordingly.

Hi there. BIL ETF is recommended for short-term USD parking. As for how to scalp for more returns, I detailed the strategy in the previous posts.

In the future, I won't be sharing any more strategies... You guys just want to free-ride everything... 

Now I know why top quant hedge funds jealously guard their "strategies"... I am gonna guard mine as well... proprietary secrets not to be revealed... 

These days, exchanges answer to their main clients, HFTs, rather than fundamentals, long-only investors...

Bloomberg Markets | High-Frequency Traders Get an Extra 30 Minutes for Japan Stocks

Extended trade time stokes fears of machine-driven price moves
Japan Exchange CEO says move will improve price discovery

https://www.bloomberg.com/news/articles/202...or-japan-stocks

is under public bank
I do not own us bank account, is under public bank USD account

lhshyonghave to see which is cheaper

• PBB -> swift -> IBKR
  
• PBB -> swift -> Wise -> ach -> IBKR
  

furthermore, Wise can only do RM30k daily