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HFT Indicator
Started: by aligator Views / Replies:7,481 / 14
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HFT Indicator

  #11 (permalink)
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BTW, in regards to this thread topic, HFT Alert has a good product available...

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  #12 (permalink)
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aligator View Post
Is there an indicator available out there for detecting HFT trades based on order flow, assuming an unfiltered data feed.

I have been reading lots about NT7 and most of the forums and anything about HFT, and they don't have any indicators that would help in detecting HFT trades. I don't think the HF firms would leave any trace behind. As far as I know...HFT is just getting ahead of the trades in Milliseconds quicker than the exchanges, then buying the stock another investor is buying then selling back the stock to them at a slightly higher price. I don't think this kind of activity is traceable.

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  #13 (permalink)
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HFT 50% Share

Quote: It is estimated that as of 2009, HFT accounted for 60-73% of all US equity trading volume, with that number falling to approximately 50% in 2012.

Statistically speaking, you can randomly watch the changing ticker, and guess that's HFT, and you be right half the time. Also, if you are buying or selling something in the market, then chances are you are either buying from or selling to HFT. It's YOU against the MACHINE in this cold cold world.

Well, not quite, they call it liquidity provision. It's like you go to a party and the party gets more alive when somebody provided liquor, hence called liquidity provision. Well, sort of. And it's just not that glorious to detect. I suppose HFT has its own complex universe and ecosystem of different strategies. So the real question is which breed or actions of HFT do you want to detect?

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  #14 (permalink)
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aligator View Post
@Fat Tails;

Thanks. Agree, it is difficult to detect individual algorithms. However, when Colorado River rises appreciably, we know that there has been heavy rains in Colorado, Wyoming, Idaho, Utah, Arizona, and so on. It is the confluence of HFT trades that might be detectable. Considering that a small number of HFT traders place a large portion of S&P trades, it is logical to think their collective behavioral foot print can be detected. Examples would include something like simultaneous volume spikes and extreme bid/ask ratios, etc..

Drubbel's suggestion can be a good start. Thanks @Derubbel


@aligator perhaps trying to revive an old thread. I just came across your post and looked into who posted this. I did see some of the GCB bars you have also looked into. Hope all is well at your end. Have not seen posts since a time since went back and looked at your other posts and was curious to see who posted this question. Btw you from Lvg my favorite city.

Anyways.....thought of posting in your original post and not the HFT thread as ...my question was simple. Did you do more exploration on this front. And were you able to spot these which rather than calling HFT....is probably an automated Order entry/exit mechanism adapted by some of the biggest firms atleast on Futures. Very curious to know what did you figure on this front as this is something which always interests me.

cheers n best

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