Re:Introduction to Zipline: A Trading Library for Python
by lordnacho on Tuesday July 26, 2016 @04:43AM
(#12164191)
Yep. I am currently doing this, but under an NDA, at an HFT firm.
80% of profits seems a bit rich, though. If they're supplying top spec colo servers, a super fast network to connect them, and people to stare at it, I'd say something a bit lower (but still pretty chunky) would make more sense.
I suppose the key for them is they have a bunch of existing infrastructure that pays for itself, so any extra cream is good. Also they have capital sitting around, so why not?
The strategies have to be more than unusually profitable, though. I don't think I've seen a down day in the 3 months I've been sitting here, so your average trend following sharpe ~1.5 or so ain't gonna impress people.
80% of profits seems a bit rich, though. If they're supplying top spec colo servers, a super fast network to connect them, and people to stare at it, I'd say something a bit lower (but still pretty chunky) would make more sense.
I suppose the key for them is they have a bunch of existing infrastructure that pays for itself, so any extra cream is good. Also they have capital sitting around, so why not?
The strategies have to be more than unusually profitable, though. I don't think I've seen a down day in the 3 months I've been sitting here, so your average trend following sharpe ~1.5 or so ain't gonna impress people.