"That's a really great question."
Went to MIT
Dormmate staked $100K by rich kid roommate at Harvard, made $40K with it
Didn't like environment/culture (hazing) at place she interned (Goldman), wanted to start her own place
"No thought leader in the space."
"That's a great question."
Had no money, no credibility, no connections [except for MIT/Harvard]
Raised venture capital, built all technologies from scratch, create operational side
People invest in people at the angel/seed stage
Raising money for the fund another matter, you need numbers, backtests at least
No one has ever seen a bad backtest
"What's interesting, Aaron, is that...."
"That's a good question."
HFTs changed language post-Flash Boys to "low latency trading" or "electronic market making"
Their highest trading volume this year (2020) was 7.1 billion shares in a day
They don't buy order flow
Took two and a half years to build the system
Felt like a fraud up till launch, no track record
Everyone at domeyard was called a partner, free food, unlimited vacation ... all bad ideas, naive mistakes
Giving people too much choice is a bad thing
On average, recently, they do 2,500 trades per day ... could be 25,000 depending on environment
Holding periods are microseconds to hours (latter called mid-term strategies)
Flat at end of day, always
"Good question!"
One losing day can wipe out 29 days of profits
They mainly trade futures and forex, not equities
Aim for 1-3% of average daily volume of the products they trade
They try to predict market a few seconds out
Mainly use order book market data
Half life of a strategy could be one to three months
"That's a really interesting question."
Trading strategies are constantly being monitored by humans, tweaking the code
They don't play the hardware game ... next year there will be a new FPGA after all
"That's a great question."
Not many HFT firms that were around a decade ago are still around
Can't talk about returns, considered marketing
Also works on a project called databento
domeyard dot com is a suspended webpage?
Twitter: @christinaqi
