Algorithmic surrealism: A slow-motion guide to high-frequency trading
This is one of the better overviews of HFT I have come across. It hits on all the points I consider to be important (having worked in HFT for over six years); especially the Techno-Leviathan, trader psyche, and the perception of constant "war". I interviewed at Ronin once, and at the time I was super impressed by the beauty of their offices. Reading this helped me realize what a fucking circus it really is.<p>One facet which always fascinated me was the dispersion of trading ideas, including the code behind algorithms and any sort of research. Successful ideas are constantly being updated, adapted, and often times stolen. Traders are generally hired for the trading strategies they have been exposed to and the potential value within. There are very few individuals who create new and successful ideas. The rest are just copying what they have been exposed to and hoping that it sticks when they throw it all the wall, which eventually runs each successful idea into the ground as the value being captured disappears quickly.<p>Either way, it was a great school for learning how to program and use statistics effectively.<p>As my interviewer at Ronin told me after a I failed the interview (we both knew it): "This is all a game, you just need to learn the rules"