Quote:You mentioned HFT, what is it?
High frequency trading. Traditional markets (stocks, commodities, forex, futures) are A LOT bigger and more complex, you have bigger "whales" trading on those (banks, hedge funds, etc). But those whales are considered slow and don't always have the best tech. Other companies specialize in doing arb and market making. They move a lot of money around, for example:
Quote:On an average day, we trade over $13 billion in equities worldwide. We are also very active in the markets for options, futures, currencies, commodities, and fixed income.
We are active participants on more than 175 electronic exchanges and other trading venues in about 45 countries around the world.
We traded over $5.6 trillion across all products in 2017.
(source: https://www.janestreet.com/what-we-do/)
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Quote:Sometimes there is no a lot of volume to move
This is a huge problem, this is the main reason agent smith (OP) started to be not profitable anymore. At some point it dropped fee tiers since I didn't do enough volume anymore. After that it was a slipperly slope: with tri arb you need to have low fees, which require high volume, which require low fees, etc. Best would be to run multiple bots that will help you in getting consistent volume.
Quote:do you also take into account the next transactions from the same exchanges?
If there is 1 X at the top of the book you can run some logic that tries to determine the odds of your limit order of 5 X (1 will take 4 will make) fully filling.
Doing proper order execution is key in any of these low latency systems: if you want to have a proper edge you can study orderflow to find patterns in how other big market participants behave. But note that you will never be able to predict everything, as such you need to figure out how to best deal with situations where you were wrong. For example Agent Smith was very fast, but it wasn't always able to do the 3 trades it wanted to do. So I wrote some code that tried to buy the missing asset as cheaply as possible (for example).