This document discusses high frequency trading (HFT) and some of the strategies and technologies used. It notes that HFT accounted for 50% of US equity trading volume at its peak. The document also mentions some notable events in HFT history, such as the 2010 Flash Crash and Knight Capital's $440 million loss in 45 minutes in 2012. It recommends further reading on HFT through books by Michael Lewis and Martin Fowler.

1. HFT
How deep the rabbit hole goes ?
By Martin Kiuru

2. HFT - High Frequency Trading.
Based on knowledge, not assumptions.

3. Scalping: first step to HFT

4. Arbitrage: one of the HFT strategies
HFT Trader
Broker 1
Broker 2
Broker 3
Fastest
quotes
Slowest
quotes
Data
Trades

5. HFT:
Old ideas
(Battle for Waterloo, 1815).
Newest technologies

7. HIBERNIA
NETWORKS

11. LMAX Disruptor
6 million orders per second on a single thread on JVM

12. FPGA (Field Programmable Gate Array)
<3 µs to receive FIX messages, store, analyze, validate against risk limits
and send orders to the market

13. Altera Stratix V
FPGA-based boards for high-frequency trading

14. Some facts:
● HFT accounted for 50% of all US equity
trading volume
● May 6, 2010 Flash Crash - Dow Jones
plunging 998.5 points. The stocks of eight
major companies in the S&P 500 fell to one
cent per share for a short time

15. Some facts:
● 2012: The “Knightmare”: Knight Capital loses
$440 million in 45 minutes (losing 10 or 15
dollars from each deal).
● 2015: The party is almost over?

16. Going deeper:
● Michael Lewis: Flash Boys
● Martin Fowler: The LMAX Architecture

17. THANKS!
martin.kiuru@forcefulsolutions.eu