[hafabnew]

I've been considering trying HFT myself for a while. I'm competent with Machine Learning and am a Software Developer by day, so I can program and can sysadmin well enough to get something up and running without any trouble at all.

But, every time I've tried to actually get started, I've always found the amount of research required before being able to begin is just staggering.

It seems like the logical course of single-programmer HFT trading being:

- Find sample data

- Build your trading program using sample data

- When you're happy: connect to live API and set your trading program loose

- Iterate.

However, the first step and the third step seem like the ones which require the most research.

Is there somewhere which has a straightforward dump of timestamped market data available to download (free or not), in order to actually develop a working program?

Likewise, figuring out what to actually trade with, and which service to use is also pretty taxing.

[sseveran]

Nothing in HFT is free. People doing this for a living use precision time protocol in a colocated data center to build their own timestamps. However you can get started by buying ITCH, OpenBook, etc... data which has the full market depth feeds for the various exchanges. There are a couple of brokers out there specializing in the space.

If the easy part was building a working model either you got incredibly lucky or the model is wrong.

[aiskunkworks]

Find sample data: https://quantquote.com/ API (Colo): http://www.lightspeedinstitutional.com/automated-trading/

[monksy]

Quality sample data and historical data to backtest is hard.

Symbols change, stocks split, dividends are announced etc.