Experimental Comparison of HFT Pair Trading Strategies using Microsecond and Nanosecond Future Commodity Contracts Data.

Nowadays, it is not necessary for humans to conduct trade; this task is performed by trading algorithms. The speed of trading is of the most importance, however, there are relatively few aoutademic researches on the increased speed of trading from milliseconds to nanoseconds. In order to address the aforementioned shortcoming, this research measures the differences in the effectiveness of the pairs trading strategies, emerging when microsecond and nanosecond data are included. The effect of the increased speed of data is analysed. We present different pairs trading strategies and one pair selection algorithm, based on the cointegration method. These trading strategies are implemented on five different commodity futures contracts using both microsecond and nanosecond historical data. The effectiveness is measured in accordance with the profit, generated at the end of the trading period. In order to measure the effectiveness of all presented pairs trading strategies, the Sharpe Ratio method was introduced.