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HFT Indicator
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HFT Indicator

  #1 (permalink)
Market Wizard
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HFT Indicator

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

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  #2 (permalink)
Trading Apprentice
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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.

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

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  #3 (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.

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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  #4 (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.

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.

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  #5 (permalink)
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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!

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  #6 (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.

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)

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  #7 (permalink)
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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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  #8 (permalink)
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oldy but goody...some basic things stay the same...just exploit it.

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  #9 (permalink)
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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.
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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

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  #10 (permalink)
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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..

Interview With A High-Frequency Trader | ZeroHedge

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