This note is best described as a ‘Research Challenge’, and concerns building an ultra high frequency (UHF) trading system. The emphasis is on addressing the problems posed by UHF data, with a few thoughts on strategy and implementation. The problem may be amenable to evolutionary computation. Categories and Subject Descriptors E.m [Miscellaneous]; J.4 [Social and Behavioral Sciences]: Economics; I.2.m [Artificial Intelligence]: Miscellaneous General Terms Economics Keywords high frequency, data, finance, evolutionary algorithms