Electronic trading systems architect | 20yr production HFT. Trading systems
New York City 🗽
Joined January 2010
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Electronic Trading Architect | Strategic Advisor retweeted
The second high was higher, yet CVD there was 49K shares lower than at the first.
On AMZN, between the two highs, 105K shares hit the bid and 56K lifted the offer. In VisualHFT Terminal, CVD (Cumulative Volume Delta) goes negative; price shows only the higher high.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
The free @CMEGroup trading sim page may be interesting to people wanting to tap into futures trading.
I usually don't recommend sim trading, but this offers tools and an environment that teaches more than just buying and selling (incl. real options chains & L2 data, risk tools).
Electronic Trading Architect | Strategic Advisor retweeted
Exchange feed drops one packet: the venue fix is discarding your order book, pulling a 5,000-level snapshot, and buffering deltas.
Takes 80ms to >1s. Quoting through is fail-open.
The buffer timeout that survives volatility without thrashing is the number worth comparing.
#hft
Electronic Trading Architect | Strategic Advisor retweeted
Seeing under the hood with microstructure analytics is how you spot hidden features, and get a clean edge in any market.
#hft #MarketResearch
25 orders for every trade. That was Vertex's book while the price fell 16 cents in 7.6 seconds.
One Trigger Engine rule in VisualHFT Terminal turns that spike into a webhook, so your system widens its tolerances on its own.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
How Do I Design High-Frequency Trading Systems and Its Architecture.
Part 1 of 3
(this is a 2026 Update from a previous post)
The architectural principles still hold in 2026. What has shifted is the protocol landscape, the C++ memory toolkit, and a couple of LOB-layout refinements.
electronictradinghub.com/how…
Electronic Trading Architect | Strategic Advisor retweeted
AMZN, 22 Aug 2023: sell pressure went from -22 to -98.6 in seconds. The scale stops at -100.
VisualHFT Terminal puts the sellers' push in one number, -100 to +100, so you size quotes to the market you are in.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
Buyers crossed the spread, and the price did not move.
Delta of Trades jumps on buys at the offer while OFI stays near zero, and the offer holds. The Desk in VisualHFT Terminal shows the tape pushing and the book standing still, so you see it before you chase.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
CVD reads positive while sellers do the hitting, and both are true at once.
The sign is the session and the slope is now. The CVD tile in VisualHFT Terminal shows both, so an early buying run never hides who is selling into you now.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
Nine seconds of AMZN bids building, then six cents gone in 1.3 seconds. Watch OFI flip red.
OFI in VisualHFT Terminal swung from green to red on the way down, so you stop leaning on size that already left.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
An Introduction to Financial Derivatives: Open Lecture Notes arxiv.org/abs/2611.01355
Electronic Trading Architect | Strategic Advisor retweeted
79.7%: how often the side of the last trade called the direction of the next mid change on held-out NASDAQ data.
It beat a last-tick reversal rule by more than 40 points.
The Order Flow Dynamics Desk is live in VisualHFT Terminal: taker flow beside the book's lean.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
25 orders for every trade. That was Vertex's book while the price fell 16 cents in 7.6 seconds.
One Trigger Engine rule in VisualHFT Terminal turns that spike into a webhook, so your system widens its tolerances on its own.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
The tape looked quiet for 40 of 61 OTR spikes; the book was not.
That is 65.6% vs 33.1% at matched moments, proven on a full NASDAQ day. Inside VisualHFT Terminal you see the quoting war your prints never record.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
My last book is a collection of all the articles I've been writing in the past year.
Rearranged for easy reading.
All printed in a book and in one place.
Stays next to my desktop for reference.
(online articles remain fully for free, so having this book is not necessary for reading them)
The book:
The Electronic Trading Stack: Collected Field Notes on Architecture, Latency, and Execution Quality in High-Frequency and Institutional Trading
Find it on Amazon now!!
Electronic Trading Architect | Strategic Advisor retweeted
[Download 585-page PDF eBook]
Game Theory: arxiv.org/abs/1512.06808
—————
#GameTheory #Gamification #Mathematics #Statistics #Probability
Electronic Trading Architect | Strategic Advisor retweeted
Asked Claude to take a look at the security of my production PHP 5 projects
Electronic Trading Architect | Strategic Advisor retweeted
Never forget when this Forex guru told his students to short CPI.
Electronic Trading Architect | Strategic Advisor retweeted
IDXX 12:58 ET: 5 at 487.35 bid, 367 offered, mid flat. Offer 487.59 became best with no trade, mid fell 8.5 cents, opening spread 41 cents. Top-fifth Touch Weighted called the next tick 73.9% on hold-out names, vs 51.7%, and a price-only rule tied.
visualhft.com/blog/from-sign…