High frequency trading

HFT is a function provided by high end Order Management Systems; as a guide the last one I put in was around $1m fee.

The data can come from many different sources. The three biggest are Reuters, Bloomberg and Fidessa. The more current the data you need the more expensive it becomes and you pay per stock per market. So as an example if you wanted to be able to trade Vodaphone anywhere, you'de need market data from 6 different markets.

Where do the trades go? HFT is placing orders on exchange, you need a certified interface to exchange and member status. To certify a system on the LSE is in the region of £20-30k depending on what you want to do. HFT has very high compliance requirements because of the nature of the beast.

Post trade, you'll need to report. That has been made easier in recent years with reporting venues, so you can certify against a single venue for all European exchanges; a huge saving there.

As a retail customer, which you would be, you would need to go via an intermediary. The cheapest option is execution only, where you send in an order and they execute it for you. The retail venues, often but not always associated with High Street banks, will not give you anything close to HFT access.

Trading is a very expensive business. For every dealer, there will be a dozen support staff. A trading desk - the software they use - will cost anywhere between £10k and £50k per year depending on configuration.

If you want to write an OMS system, my advice would be get £10m of venture capital and some really, really clever mathematicians as well as good quality code monkeys. I speak from more than 10 years in the City.