Formula δ1

AMA - Shill me your HFT/algo strategy idea and I’ll tell you why it won’t work.

@0xLoris Haha, fair point. I’ve been so busy lately!

A lot of people suddenly followed me today. At first I didn’t know why, because I wasn’t tagged in anything etc. Then I stumbled upon this post/list. TY for the reminder, I should post some actionable edges again. 🤣 If I get over 10k, I might do some 🧵s again.

@notgodcomplex96 @macrocephalopod @therobotjames @nunchi @karpathy Uh oh, AI agents found market making 😳

@macrocephalopod @therobotjames @nunchi @karpathy Sharpe 21.4

Agentic Trading Competition is coming. @karpathy proved an AI can run experiments autonomously and find what humans miss. We ran the same loop on live trading strategies: 251 experiments, no human intervention, Sharpe 2.7 → 21.4. Now we want to see what you can build with it.

What’s the AI version of putting laser eyes on your profile pic?

@quantymacro @GryptoGoon

@GryptoGoon alpha decay is when you lose money. regime change is when I lose money

Had an interview with a grad and he said he built a regime change detection model. I asked him if it predicted the US and Israel going into Iran. He didn’t get the joke. Instant no hire. Also. What the fuck is a regime change in regards to trading. Am I retarded?

RIP Voidmage Prodigy

@macrocephalopod @DeepDishEnjoyer @laserboat999

@DeepDishEnjoyer @laserboat999

@EvgenyGaevoy @macrocephalopod Emdash strikes again.

@macrocephalopod i was joking btw, just felt appropriate to prompt chatgpt to write a reply to this particular post😅

Completely agree, and in addition, it’s incredibly rude and disrespectful of your followers to post AI-generated text on your twitter account. If you can’t take the time to think your own thoughts and put them into words, why should we bother reading them?

@macrocephalopod You have “bet with a friend”, right? 😉

Been working on something in my spare time over the past few years. No automation, completely discretionary. This is entirely outside of my day job. It's been a lot of work, but I'm quite proud of these consistent results.

@elletwocache @systematicls Gotta make it at least 10 000…

@systematicls do you wake up at 5am

There is such a persistent career advantage in being obsessed with your work. I don't mean "I love my job" and you get in by 9 and leave by 5. I mean the quintessential zuckerberg-esque "I'm working all the time because I never stop thinking about facebook (meta)" kind of obsession. One super advantage comes from keeping your work in ram all the time: it drastically increases the probability that you come up with an innovative/useful idea throughout the day AND you lose almost no time "getting warm" when you do have space to work.

@ViewsOfPiyush @ltrd_ If it were bigger, it would be too much.

@ViewsOfPiyush @ltrd_ Well actually it’s not micro, it’s just the right size.

What I love about HFT and market microstructure is that you have so much data and noise that almost nobody wants to go deep down into it and find something important. I am not even talking about the real alpha on the market, but here, on X, there are not a lot of people that have ever shown anything valuable (I do not talk about revealing alpha, just make a good stuff) in their posts regarding this timeframe. PS: The edge is here.

@macrocephalopod The trouble with responses like these is they just give more exposure/reach to the slop.

My favourite conformal prediction crank is becoming a “computer vision for trading stocks” crank. Great to see the glow up 🥰 Hopefully doesn’t need saying for my very smart followers, but this is pointless trash that no serious prop firm is even considering, let along using.

@macrocephalopod Delta-1 engines as well 🥵

THE VOLATILITY ENGINES ARE OVERHEATING

@macrocephalopod @systematicls @systematicls is AB testing rage bait intensity

@systematicls I see we're experimenting with format today

I hate it with a burning passion when team members compare themselves to the LOWEST DENOMINATOR. THIS IS A WINNERS TAKE ALL INDUSTRY. It doesn’t matter that you are NOT THE LAST. The only thing that matters to me is that you are NOT FIRST.

@TheSpeculator0 But that would have awoken the Ents and they would have marched towards Isengard.

Imagine how much GDP we could add by damming this river and using the nearby forest for fuel

@o_wutang Of all the things that didn’t happen, this didn’t happen the most.

in a mckinsey training at b school a few years ago, we were analyzing the profitability of a vending machine. everyone followed the textbook: foot traffic, location, climate. i said: does it take apple pay? the facilitator blinked, said it was an “interesting” take. the whole room laughed. looking back now, that was the start of the payments digitization wave. it turned out to be the determining factor. just thought of that. groupthink isn’t always the right answer.

@6_Figure_Invest Ok, we have distinct terminology. If your statement boils down to “never send market orders without pre-specified price” than it is trivially correct (for any market, not specifically options) and I would subscribe to it. 🤝

@FormulaDeltaOne An IOC order with a price *is* a limit order... If no price is specified it means best available which might change from the screen value while your order is being processed.

I don’t understand the “you’re not guranteed to get the b/a you see” point. Obviously if you send pure market orders with no price specified than you can probably buy for infinity and sell for zero, but who does that? I meant that you send an IOC with a specified price.

Also, if you “trade in size”, your limit orders are gonna stick out from the order books, so you are guaranteed some slippage.

In that case the only thing that can happen is that someone hits/lifts/cancels the level before (in which case the price is already running away from you, but no “bad” fill) or someone tightens in the opposite direction (in which case you get a better price than your IOC price).