@Mark, if I am interpreting your objective correctly, it reminds me of the very old method of charting which I call “grid base charts”.

This style of chart can setup a forward bias of price action/reaction with cyclical repetition.

James there was a book which did influence me allot on the subject it was written just when computers were starting to retail. It's by a floor trader who did spread trading and I have been able to pull many ideas from many old floor traders and apply that wisdom to second by second trading. Advanced Commodity Spread Trading by Harold Goldberg.

Mark, I was shown the basic’s of grid charting by my mentor in the mid to late 1990’s. Never read a book about it. I used the “general idea” to

develop my own charting system.

@Mark - you are quite correct regarding the decline of true HFT, including your observation that the current levels of vitriol are at an all time high. There was only so much room in a stacked book trade and it now all comes down to speed and cost structure which forced all but the fastest out of the trade.

Virtually any decent coder can write an algo with a positive PnL to do that type of trade but at what cost in equipment, etc. I know plenty of shops that have cut way back on those trades or in some cases, abandoned them altogether. However, one can take the best of those trades and utilize the components in a more directionally biased trade with great success.

Thanks Scott - I didn't want to say it but your are so correct that HFT is a case of what good does it do to be the fastest if you don't have a clue what to do when you get there. It was good while it lasted but the banks would boot you as a prime customer as soon as they saw the volume of trades.

Personally I have stepped back and decided to focus on sub minute trades rather than sub one second trades. Finding a real comfort zone around five seconds which is really no mans land. The attraction to these high volume orders of short duration is limiting market exposure.

Historically I did allot of swing trading always in the market long or short, I was long when nine one one hit. It taught me a lesson about my commitment to having perpetual positions in the market, which I latter abandoned.

The arms race of HFT did fuel one good thing, the accelerated construction at lightening pace of hardware and infrastructure to handle big market volume.

HFT aside various time Horizon . Cash mgt vs position risk , trade sizing and suitable stop loss minus your emotions means there always a way.. So many ways of looking at a market patterns have no limits !

@Group, I do not have any live experience at a Tier one level of which is a absolute requirement for HFT.

I am a firm believer in limiting market exposure. So, my question is over time what would be a “general average”

of exposure percentage in the market of the available time to trade?

TIA

@Michael you're of course so right about so many ways to of looking at markets. With HFT it funnels down though to a highly concentrated goal that all share in common and only one way to get there. So backing off I have found calmer waters though it's still pretty fast paced which leads me to

@James question about percentages of exposure. If it were me I would ignore the percentage of exposure and focus on DURABILITY and then just take what it gives you.

Check list below..

1.) A durable system will not execute on highs or lows of any bar EVER.

2.) Be wary of position exits on the highs and lows of bars ALSO.

3.) Do not execute on the "close of the day" unless you have a really good plan for the settlement change.

4.) Optimizing will show a range of profitable setting's not just a specific magical parameter.

5.) Beware of systems that use multiple positions to achieve a profit. It should first be able to make a profit on a one lot basis before levering.

Please understand that I am not rebutting anyone's point of view or knowledge.

My opinions and check list:

At a Tier Level 2 (retail platform such as TradeStation) typical fee’s and slippage can be double of Tier 1 Level.

The percentage of exposure in the market can be used as one measure to get a direct result of the efficiency of the algo’s TO Keep the Strategy from Making Frivolous Trades.......frivolous trades can account for 35 to 75% of gross profit erosion with fee’s and slippage alone at Tier Level 2.

The typical retail platform is designed to give back test results using the high of bar for short entry and low of bar for a buy entry, which ever gives the absolute best entry/exit........this is totally a false report under any conditions. You Can Not just go into the platform and just set it up so this will not happen. You Must code into the strategy to stop this from happening at all cost.

My 20 years of experience has shown me to Never use Intrabar Order Generation.

Again, this Must be put into the code to stop it from happening. Also, all signal generation should be on bar close and execution of the trade should be at next bar at market for time or

tick charts and for advance charts this bar on close.

Again, this Must be put into the code to stop IOG from happening.

If you want to close out your trades at the end of session, then again this must be

put into the code using a time of day expression to close out the trades ( if time = 1555 then begin)

The next problem is with using Optimization to set the input values and keep from curve fitting to the instrument. Most likely there is 10 times more “art” to using Optimization than just excepting the results. One of the biggest problems with using Optimization is thinking in terms of months/ years of back test history instead of how many bars the the strategy is tested on. At least 500,000 to several million bars is required to build and evaluate a modern robust strategy.

Any and all evaluation of a strategy performance should be based on a smallest single one lot and it should include typical fee’s and slippage expectation of the Tier Level and instrument.

I personally use much higher standards of strategy performance than the industry, so I will stop there.

best of trading to all

This makes me think about an old story when i was a 20 y/o student. I was desperately trying to find "the" algo that would be able to predict 'tomorrow'. After having exhausted the usual approaches i stumbled into the classic 'fourier analyis' and the idea of having a set of cyclical sinusoidal and cosinusoidal functions as the result of a fourier analysis, where it was "as easy" as plug in T+1 and T+2 to get the value of the future seamed to be the way forward...

It occupied me a few long days and nights in getting the programming done and unfortunately the only credit i got out of it, was a strong recognition from both the mathematics and statistics professors, but i failed to get any monetary gain out of it, other than selling the piece of programming to a few lonely gold diggers that wanted to advance the idea...

My personal experience: 100% of the 'successful' HFTraders I've met are not quants. HFT today is not based on prediction of price movements but on latency inefficiency. As I said, 100% of successful HFTraders are not quants, they are genius developers.

Sure. Genius like "Long Term Capital". Genius without "gut instincts". That works! Bring it to the poker table:)

LTCM strategy wasn't HFT. As well as quant trading isn't HFT, although some HFT funds pretend to be quantitative hedge fund.

It's unfortunate you gave up on Fourier Ron. It does have its uses. Like most mathematical theorems one could easily over-apply them. I underpin most of my systems with fourier analysis.

I fully agree with Jillali. Hft is about implémentation and code. You need lots of talents to make it fast and robust.

Big data and prescriptive analysis and not just predictive .... Taking into account not just financial data but as well as data that may seem not directly correlated ( i. e . Weather, traffic , socio economic changes , technology break- through...the list goes on ) but makes part of the whole analysis in looking at market movements .