Is the Interactive Brokers API suitable for hft?

  • By HFT here I mean anything with holding period less than 5 to 10 minutes.

    Any empirical/anecdotal evidence of using it successfully on even higher frequencies?

    IMO, that other question cannot be answered so I'm voting to close. This question has an answer, so we can leave it open.

    defining hft as anything less than 5-10 mins is not typical in this industry, cause that could also refer to day trading just a few names which no one i know would refer to as hft.

    by HFT you mean intra-day trading which Yes it is feasible for

  • Pete

    Pete Correct answer

    10 years ago

    Holding period and trade frequency are two different things. If you have a high trade frequency, the name of the game is negotiating lower commissions. That being said, the TWS API gives you the same quality feed as you get using TWS itself.

    From Article on HFT Provided by Dirk Eddelbuettel in this question about HFT:

    High-frequency trading (HFT) is a subset of algorithmic trading where a large number of orders (which are usually fairly small in size) are sent into the market at high speed, with round-trip execution times measured in microseconds (Brogaard, 2010). Programs running on high-speed computers analyse massive amounts of market data, using sophisticated algorithms to exploit trading opportunities that may open up for milliseconds or seconds. Participants are constantly taking advantage of very small price imbalances; by doing that at a high rate of recurrence, they are able to generate sizeable profits. Typically, a high frequency trader would not hold a position open for more than a few seconds. Empirical evidence reveals that the average U.S. stock is held for 22 seconds

    Updates and orders with the TWS API occur on the order of 10s to 100s of milliseconds, as far as I can tell, which would disqualify it for use in the regime described in the article. (This is just what I have measured on my own computer on my retail Internet connection.)

    Honestly I would be surprised if anyone could do HFT with any retail product. Sounds impossible.

    Most definitions would still include something on the of order 10s of milliseconds as HFT. If you can find something sufficiently novel to exploit at that frequency, it is probably at least possible with some retail product.

    Any alternatives to IB in the retail world?

    Or at least not impossibly expensive!

    http://www.gndt.com/ and http://www.limebrokerage.com/ is probably as close as you can get but you'd have to do significant volume in order to get a commission structure that lets you take advantage of any short term opportunities

    I worked in this area for 8 years. Most HFT algos are actually quite simplistic and typically a limited size opportunity. The key to making money is Time & Price priority. The first person to arrive normally gets the majority of the profit. This is why speed is critical. We were beating our opponents (which we could see in the order flow) by as little as 10 microseconds. That was enough, but they always worked to improve their game and so did we. Faster computer, faster algos, faster networks. Everything was critical and no IB wouldn't cut it. For that game neither would Lime.

    @drobertson What broker did you use? Was this using C/C++ with raw FIX?

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Content dated before 7/24/2021 11:53 AM