I'm interested but i think that there is no more trader that like studing this thing
More traders like make money and only experimental traders (make no much money ) are interested to studing this question
I like HFT ....if you have any idea....post it!
Ciao ciao
If you want to detect high frequency trades, you first would need to have a deep knowledge about all HFT algorithms that are currently in use. Then you may, if you already know the pattern of some of them, detect the HFT algorithm based on the footprint that it leaves in the order book.
Once you have detected it, you may try to exploit it, that is trade against it.
The difficulty about this task, is that the world of HFT is a jungle and you do not really know what to expect. Also it is evolving, that is the algorithms of today may be very different from the algorithms of last year.
If I was to go to exploit another algorithm, I would rather try to exploit slower algorithms, for example TWAP like algorithms and other order algorithms used for the execution of large orders. But I think this question is beyond the scope of the retail trader.
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It shows the last number of trades in the last n minutes. It only works on tick-charts. I don't think you can track the hft bots, but you can use it to see when a lot of traders back out.
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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
Cheers!
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Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Trading: EMD, 6J, ZB
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there are claims that there is such,
but it would range from something as simple as a binary switch with an associated indication, color or pattern to connotate activity,
or it can be as complex as a multiple sifting of many variables that produce either a conclusion / feeling / indication of HFT activity
one thing is certain, is such an indicator first starts with a literary description of definition of both HFT, and how they affect the markets and in what ways,
the second is then quantifying such a definition, so that one can manually and visibly detect such activity
the final step is then automation of such instructions, hence producing an indicator
just following that basic programmatic, mathematical, analytical process oriented step(s)
there just might not be an HFT indicator, just a notion, a feeling, and interpretation, a supposition
These guys are doing something similar to what you're asking about: sceeto.com, on a subscription basis. They use some undisclosed large computing power + proprietary software, and feed those results into a chart running on your NT or Tradestation client, where they try to point out smart money & algo footprints. Aside from the sample charts on their site, the key really is how useful and accurate this is in a real-time trading environment - reading it in hindsight on a chart is potentially deceptive IMO. They currently cover ES and I believe are rolling out CL, 6E and some others. They are a software startup, and have coined all sorts of terms. Apparently the fellow who's the lead developer has traded 1mil+ cars in his trading lifetime - just basing that on 1 webinar I attended. I thought this chart they recently put up was interesting.
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Good interview with HFT trader... hmm, I remember when I got my first live trading account with the best broker in Chicago, imo, and how proud I was to have a unique trader number attached to all my trades on the CME... will be looking into that after reading this..
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.
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?
So i keep hearing traders complain about HFT, about how its changing everything. There's a ton of posts about it all over the web, Cramer even complains about it alot. I want to know how many people really believe that trading has become difficult …
@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.
