High frequency trading (HFT) has been a popular
and somewhat controversial topic in research, industry, and
public media. Due to its secretive nature, there is certain
misunderstanding around it. In this talk, I will give an
overview of the HFT from the industrial perspective. I will
discuss the micro-structure and data sources of different
markets used in HFT, go over briefly the design of the research
and trading platform, and in the end, show some typical strategies
as examples.