Mike O’Hara has interviewed scores of traders, connectivity providers, academics and exchange operators for his web site, the High Frequency Trading Review. He always opens his interviews with the same question: "What is high-frequency trading (HFT)?"
He never gets the same answer twice.
"The problem is that ‘high-frequency’ is a relative term," says O’Hara, a former floor trader at the London International Financial Futures Exchange (Liffe). "There are, however, some common threads in all definitions: It’s computer-driven; it generates a large number of orders in a short space of time; it’s dependent on low-latency, fast access to execution venues; its positions are held for short periods of time; it ends the day flat and it’s characterized by a high order-to-trade ratio." ...
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