[Bottom line - computers control the capital markets now. ]
I actually started work on such a system in 2002 for a wealthy individual who was too stupid to see the light. However, from my perspective the problem is that once every trader is a computer, the system becomes unstable and there is no longer any real information to suck out of the system.
Eventually individuals realize competing against computers is a suckers game, so they leave the market. Then you are left with algoritms fighting algorithms which is inherently chaotic. In effect, you are also matching computer programmer against programmer and the ties to reality disappear.
I’m glad I wrote that, I was just about to go back to looking at my code, but I have better things to do.
Exactly. Now it is trying to get your 1,000 orders per second in faster than the other guy. Who has the fastest connection and the fastest C++ code. They are also front running the little guy with his eTrade account.