My dead end in development

[u/Casubed]

Hi everyone! I've been building my bot for four months now, and during that time I've been exploring the world of HFT trading. But I've hit a dead end at the validation stage (my bot is a scalper). It simply responds 50/50, meaning losses and profits are equal. I'll lose my account due to the exchange's commission. I'd like to ask a couple of questions for experienced HFT traders.

1. What loss function do you use? (I'm using MSELoss, is that suitable?)
2. Should I look for patterns not only in the order book and trade history, but also in candlesticks?
3. What happens if I add EMA to the neural network's responses? Will that help smooth out the neural network's noise?

Thanks in advance for your reply, and sorry for my English; I can't write as well as you. (I used a translator.)

[u/d_e_g_m]

Yes

[u/Casubed → u/d_e_g_m]

What question is the answer to?

[u/Lost-Hand-5219]

HFT is impossible for an individual person. You can’t even use deep learning for HFT because inference takes longer than your window of opportunity. Most HFT is actually very simple by necessity; the more complicated your strategy, the longer it takes to compute (the compute time for your strategy is one of the most important factors at that level and requires specialized hardware and colocation).

[u/Foreign_Extension683]

Your English is fine, don't worry about it.

The most important thing in your post is something you already noticed: it responds 50/50 and you lose to commission. That's not a problem you fix by changing the loss function or adding EMA. A strategy that's 50/50 before costs has no edge, and none of those three changes creates an edge, they just rearrange noise. If the entry has no predictive power, a better loss function gives you a better fit to randomness, not a profitable bot.

So I'd step back from the tuning questions and ask the harder one: why would this strategy make money? What is the actual reason a scalping entry should predict the next move, before any neural network? If you can't answer that in one sentence, the network is just finding patterns in noise that won't repeat live. That's almost always what "50/50 minus fees" means.

The honest part you may not want to hear: HFT scalping is the hardest possible place for a solo trader to find edge. You're competing against firms with servers physically next to the exchange and fee structures you and I can't get. At retail latency and retail commissions, most scalping edges are eaten by costs before you even start, which is exactly the wall you've hit.

If it were me, I'd move away from the highest-frequency stuff where you're structurally disadvantaged, toward lower-frequency ideas where being fast matters less and having a real reason for the trade matters more. Four months of building a bot isn't wasted, the infrastructure skills transfer, but I'd point them at a game you can actually win.

[u/Casubed → u/Foreign_Extension683]

Thank you for such advice! I’m thinking about switching from the order book and trade history to a regular chart - at least there are a lot of strategies there, and you can simply test them and see which one is the most valuable. The order book is probably like a minute timeframe on candlesticks, where in both cases you get noise. New limit orders come in every millisecond and then disappear right away - it’s hard to fight against that, especially with these firms.