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A real HFT transaction record

[translated post, highly simplified]

MURMUR ON HUDSON
Friday, September 21, 2012

One day in March 2012, there was a MR. Lee came to our forum. He posted contact info for funding an investment project in HFT. His post invited many Middle fingers, he ran into the Exit door.

I wondered MR. Lee’s “fate”. Six months later, for curiosity, I contacted him. He sent me a bulky transaction records, then I realized he was a programmer for Chicago exchange. Apparently, he knew the trick on HFT.

Yeah!, impressive indeed.
From October 3, 2011 to November 4, 2012, his recodes showed daily profit from $3K to $112K, there was no single day loss!
(gross profit, his overall expense is unknown)

pick 3 daily result randomly:
10/03/2011 3810 transactions, profit $9,198.74
10/21/2011 4365 transactions, profit $112,617.98
11/04/2011 3824 transactions, profit $5543.04

The transaction record is too long to post, I clipped one here for you guy’s reference

For example: on 11/21/11. 11 Hour 59 Mins. 13 Sec, within that one second, he bought 1000 shares @16.41, within the same second, he sold @16.42, subtracted the misc. fee $4.71, he made an instant profit $5.29.