Sniper in Mahwah

It's a tough question because most of what I learned was on the job and I don't really remember books specifically on the topic. It also depends on what product and market you are trading, and on what channels (on exchange, over the counter etc.)

I would say it starts with knowing the product you trade and their dynamics inside out. How to make a price for it, what dynamics can change that price etc. It's also a good idea to understand related instruments as typically you would use them for price formation and hedging [1][2].

The second bit is to understand electronic trading infrastructure and the market microstructure such as how orderbooks work, and some trading algos [3]

If you're also interested in the infrastructure behind related to low latency, you can read about FPGAs, Exchange co-location etc. There is a fascinating blog on the network infrastructure [4] and the author (Alexandre Laumonier) also wrote a few books on that topic.

A lot of market-making is bespoke and proprietary. For example your pricing model, hedging model, etc. It's also constantly changing depending on events (e.g. the elections) or market conditions (correlations changing). But a good place to start is to use some simple pricing model such as making a blend of other prices in other venues, or for derivatives making up the price based on the underlying price and other elements which vary depending on what the derivative is.

While you would not be able to gain direct market access to, say,…

The context here is that there are already speculations and some indirect evidence about High-Frequency Traders on the High Frequency band for years (e.g. see [0] from 2018), which made it a naturally candidate. I'm not saying that it's proved, but a candidate worth investigating.

[0] Shortwave Trading | Part I | The West Chicago Tower Mystery

https://sniperinmahwah.wordpress.com/2018/05/07/shortwave-trading-part-i-the-west-chicago-tower-mystery/

[1] SHORTWAVE TRADING | PART II | FAQ AND OTHER CHICAGO AREA SITES

https://sniperinmahwah.wordpress.com/2018/06/07/shortwave-trading-part-ii-faq-and-other-chicago-area-sites/

[2] Shortwave Trading | Part III | Fourth Chicago Site, East Coast, Patent, Regulation, and Farmer Kevin Mystery

https://sniperinmahwah.wordpress.com/2018/07/13/shortwave-trading-part-iii-fourth-chicago-site-east-coast-patent-regulation-and-farmer-kevin-mystery/

Weirdest thing I've read in a long while.

The Author's comments refer to an internet forum thread[0] in German which discusses a German news article from this April.[1]However, it turns out this article is an April Fools text.

Just digging deeper into the whole blog you can find something that can only be described as a fanfiction representation of "Flashboys", but in the context of this "Shortwave trading".[2]

Is this whole thing a troll? Is this real? What on earth is this?

[0]http://funkbasis.de/viewtopic.php?f=39&t=45900

[1]https://www.heise.de/newsticker/meldung/Boersenhandel-beschert-Kurzwellenfunk-ein-Comeback-4008891.html

[2]https://sniperinmahwah.wordpress.com/2017/06/26/network-effects-part-ii/

Without going into anything confidential - we had some of our own hardware, but generally rented capacity from firms like [0]. Some towers were custom built for HFT, some were shared with other types of users.

A famous blog post investigating some of the towers as an outsider, at [1], will be of interest to you.

If you want to guess where they are, get a globe, find the datacentres where electronic exchanges operate (it's not a secret: Chicago, New Jersey, London, Tokyo, Frankfurt, Zurich...) and draw the straightest possible lines between pairs of them. Microwaves don't cross the ocean.

[0] https://www.mckay-brothers.com/

[1] https://sniperinmahwah.wordpress.com/2014/09/25/hft-in-my-backyard-ii/

This has been going on for several years at least. These are some pretty good articles from some amateur sleuths:

https://sniperinmahwah.wordpress.com/2018/05/07/shortwave-trading-part-i-the-west-chicago-tower-mystery/

https://sniperinmahwah.wordpress.com/2018/06/07/shortwave-trading-part-ii-faq-and-other-chicago-area-sites/

https://sniperinmahwah.wordpress.com/2018/07/13/shortwave-trading-part-iii-fourth-chicago-site-east-coast-patent-regulation-and-farmer-kevin-mystery/

https://sniperinmahwah.wordpress.com/2018/07/16/shortwave-trading-part-iv-sleuthing-examples-research-tools-techniques-deputies-wanted/

There are microwave links across Europe:

https://sniperinmahwah.wordpress.com/2016/01/26/hft-in-the-banana-land/

There are apparently shortwave links across the Atlantic:

https://sniperinmahwah.wordpress.com/2018/05/07/shortwave-trading-part-i-the-west-chicago-tower-mystery/

https://sniperinmahwah.wordpress.com/2018/07/16/shortwave-trading-part-iv-sleuthing-examples-research-tools-techniques-deputies-wanted/

These should have a lower latency than fibre links although the shortwave link will probably have rather a low data rate.