HFT Indicator - futures io
futures io futures trading



HFT Indicator


Discussion in NinjaTrader

Updated
      Top Posters
    1. looks_one kronie with 2 posts (1 thanks)
    2. looks_two syxforex with 2 posts (0 thanks)
    3. looks_3 aligator with 2 posts (2 thanks)
    4. looks_4 Beljevina with 1 posts (2 thanks)
      Best Posters
    1. looks_one Fat Tails with 6 thanks per post
    2. looks_two Beljevina with 2 thanks per post
    3. looks_3 aligator with 1 thanks per post
    4. looks_4 kronie with 0.5 thanks per post
    1. trending_up 11,612 views
    2. thumb_up 12 thanks given
    3. group 11 followers
    1. forum 14 posts
    2. attach_file 1 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

HFT Indicator

(login for full post details)
  #1 (permalink)
Las Vegas, NV
 
Experience: Advanced
Platform: Abacus, Slide Rule, HP-65, Metastock, TOS, NT
Trading: Futures
 
aligator's Avatar
 
Posts: 3,424 since Aug 2010
Thanks: 1,057 given, 5,841 received

Is there an indicator available out there for detecting HFT trades based on order flow, assuming an unfiltered data feed.

Visit my futures io Trade Journal Started this thread Reply With Quote
The following user says Thank You to aligator for this post:

Journal Challenge February 2021 results (so far):
Competing for $1500 in prizes from Topstep
looks_oneSBtrader82 's Trading Journalby SBtrader82
(158 thanks from 30 posts)
looks_twoJust BEING a Trader: Letting Go!!by iqgod
(111 thanks from 32 posts)
looks_3Wisdom is Emptinessby Mtype
(68 thanks from 25 posts)
looks_4Deetee’s DAX Trading Journal (time based)by Deetee
(31 thanks from 16 posts)
looks_5Journal for peanuts1956by peanuts1956
(23 thanks from 13 posts)
 
 
(login for full post details)
  #2 (permalink)
Rome Italy
 
 
Posts: 27 since Feb 2012
Thanks: 7 given, 4 received


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

Good morning.

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

Reply With Quote
 
(login for full post details)
  #3 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,728 received



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

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.

Reply With Quote
The following 6 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #4 (permalink)
Stavanger
 
Experience: Beginner
Platform: Ninjatrader
Trading: Stocks
 
Posts: 2 since Sep 2011
Thanks: 145 given, 2 received


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

Is this what you are looking for? Pace of Tape Indicator Trade With The Flow

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.

Reply With Quote
The following user says Thank You to Drubbel for this post:
 
(login for full post details)
  #5 (permalink)
Las Vegas, NV
 
Experience: Advanced
Platform: Abacus, Slide Rule, HP-65, Metastock, TOS, NT
Trading: Futures
 
aligator's Avatar
 
Posts: 3,424 since Aug 2010
Thanks: 1,057 given, 5,841 received


Fat Tails View Post
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.

@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

Cheers!

Visit my futures io Trade Journal Started this thread Reply With Quote
The following user says Thank You to aligator for this post:
 
(login for full post details)
  #6 (permalink)
NYC + NY / USA
 
Experience: Advanced
Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Trading: EMD, 6J, ZB
 
kronie's Avatar
 
Posts: 798 since Oct 2009


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

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

cheers



(iow. just popped that inflated bubble)

Reply With Quote
 
(login for full post details)
  #7 (permalink)
Toronto, Canada
 
Experience: Advanced
Platform: NinjaTrader, MT4
Broker: Amp/CQG, Citibank
Trading: CL, GC, 6E, ES, TF, EURUSD, GBPJPY, AUDUSD
 
Beljevina's Avatar
 
Posts: 350 since Sep 2010
Thanks: 392 given, 574 received

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.

Follow me on Twitter Reply With Quote
The following 2 users say Thank You to Beljevina for this post:
 
(login for full post details)
  #8 (permalink)
los angeles
 
Experience: Intermediate
Platform: nt
Trading: cl
 
Sunil P's Avatar
 
Posts: 292 since Jan 2012

oldy but goody...some basic things stay the same...just exploit it.

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #9 (permalink)
NYC + NY / USA
 
Experience: Advanced
Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Trading: EMD, 6J, ZB
 
kronie's Avatar
 
Posts: 798 since Oct 2009


Beljevina View Post
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.


sure requires a lot of faith, in that they're telling you

radical thought,

believeth in thine own self.

T&S window, and watch the flush green, flush red, flush midtone for excessive market activity and follow through

Reply With Quote
 
(login for full post details)
  #10 (permalink)
British Columbia
 
Experience: Advanced
Platform: NINJA
Broker: ZEN
Trading: Crude
 
Posts: 1,091 since May 2010


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..

Interview With A High-Frequency Trader | ZeroHedge

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #11 (permalink)
British Columbia
 
Experience: Advanced
Platform: NINJA
Broker: ZEN
Trading: Crude
 
Posts: 1,091 since May 2010

BTW, in regards to this thread topic, HFT Alert has a good product available...

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #12 (permalink)
Orlando FL USA
 
Experience: Intermediate
Platform: Ninja Trader
Trading: ES
 
KitsGuy's Avatar
 
Posts: 7 since Oct 2014
Thanks: 1 given, 1 received


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.

Reply With Quote
 
(login for full post details)
  #13 (permalink)
Taipei, Taiwan
 
Experience: Intermediate
Platform: Custom
Broker: IB/IQFeed
Trading: HG
 
Posts: 30 since Jul 2014
Thanks: 21 given, 25 received

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?

Reply With Quote
 
(login for full post details)
  #14 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,745 since Jun 2009
Thanks: 32,292 given, 97,490 received

Use the main HFT thread for HFT discussion



Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #15 (permalink)
SF Bay Area + CA/US
 
Experience: None
Platform: TS, TOS, Ninja(Analytics)
Trading: NQ CL, ES when volatile mrkts
 
paps's Avatar
 
Posts: 1,721 since Oct 2011
Thanks: 2,173 given, 1,707 received


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

Cheers!

@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

Reply With Quote


futures io Trading Community Platforms and Indicators NinjaTrader > HFT Indicator


Last Updated on August 20, 2016


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
 

Journal Challenge w/$1500 prizes from Topstep!

February
 

Battlestations! Show us your trading desk - $1,500 in prizes!

March
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts