NexusFi: Find Your Edge


Home Menu

 





identify HFT


Discussion in Traders Hideout

Updated
      Top Posters
    1. looks_one Portland with 3 posts (10 thanks)
    2. looks_two garyhi with 3 posts (0 thanks)
    3. looks_3 jossfx with 3 posts (1 thanks)
    4. looks_4 HoopyTrading with 2 posts (0 thanks)
      Best Posters
    1. looks_one wintergasp with 8 thanks per post
    2. looks_two Portland with 3.3 thanks per post
    3. looks_3 SMCJB with 1 thanks per post
    4. looks_4 MacroNinja with 1 thanks per post
    1. trending_up 8,208 views
    2. thumb_up 22 thanks given
    3. group 8 followers
    1. forum 17 posts
    2. attach_file 1 attachments




Closed Thread
 
Search this Thread

identify HFT

  #1 (permalink)
garyhi
Lahaina, Maui Hawaii, USA
 
Posts: 28 since Oct 2015
Thanks Given: 27
Thanks Received: 14

Can I identify HFT is going on during the day by looking at my /ES chart? Using NT7, rather a newbie. Thank you.


Can you help answer these questions
from other members on NexusFi?
ZombieSqueeze
Platforms and Indicators
Deepmoney LLM
Elite Quantitative GenAI/LLM
Online prop firm The Funded Trader (TFT) going under?
Traders Hideout
Better Renko Gaps
The Elite Circle
NexusFi Journal Challenge - April 2024
Feedback and Announcements
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
59 thanks
Funded Trader platforms
36 thanks
NexusFi site changelog and issues/problem reporting
25 thanks
The Program
20 thanks
GFIs1 1 DAX trade per day journal
19 thanks
  #3 (permalink)
 MacroNinja 
Buenos Aires Argentina
 
Experience: Advanced
Platform: NT, MT4, Sierra
Trading: S&P, Bonds, Crude, FX
Posts: 250 since Sep 2014
Thanks Given: 37
Thanks Received: 256


There are some 3rd party indicators that might pick it up. But really you'd have to know what to look for on the time & sales (not the chart) to identify the behavior.

Thanked by:
  #4 (permalink)
 Portland 
Portland, United States
 
Experience: None
Platform: Private
Trading: ES, CL, GC, Currencies, Bonds
Posts: 169 since Jun 2015
Thanks Given: 943
Thanks Received: 133


garyhi View Post
Can I identify HFT is going on during the day by looking at my /ES chart? Using NT7, rather a newbie. Thank you.

No. Charts only show us fluctuations in price.

Thanked by:
  #5 (permalink)
 Portland 
Portland, United States
 
Experience: None
Platform: Private
Trading: ES, CL, GC, Currencies, Bonds
Posts: 169 since Jun 2015
Thanks Given: 943
Thanks Received: 133


MacroNinja View Post
There are some 3rd party indicators that might pick it up. But really you'd have to know what to look for on the time & sales (not the chart) to identify the behavior.

In my opinion it's not possible unless you can prove order type, duration, and/or intent. Thus I really doubt indicators can do that either.

For the most part we could only know we're observing HFT by watching someone else do it or doing it ourselves. It also depends on what working definition of HFT we wanted to look at.


Other then that...


Can we look for patterns in the order flow and code indicators to identify those patterns? Yes.

Can we know we're observing HFT when we think we are? No.

Thanked by:
  #6 (permalink)
garyhi
Lahaina, Maui Hawaii, USA
 
Posts: 28 since Oct 2015
Thanks Given: 27
Thanks Received: 14


MacroNinja View Post
There are some 3rd party indicators that might pick it up. But really you'd have to know what to look for on the time & sales (not the chart) to identify the behavior.

Thank you. I don't know where to welcome the reply in futures.io

  #7 (permalink)
 
jossfx's Avatar
 jossfx 
Almeria / Spain
 
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaBrokerage/CQG
Trading: 6E, ES, CL, GC
Posts: 69 since Jun 2015
Thanks Given: 35
Thanks Received: 49



HFT usually use limit orders. Then you can see how HFT play with Time&Sales (Level I) and DOM (level II). You can see absorptions by the limit orders, for example, when there are many sells market orders but the price don't fall. and viceversa.

Visit my NexusFi Trade Journal
  #8 (permalink)
 Portland 
Portland, United States
 
Experience: None
Platform: Private
Trading: ES, CL, GC, Currencies, Bonds
Posts: 169 since Jun 2015
Thanks Given: 943
Thanks Received: 133


jossfx View Post


HFT usually use limit orders. Then you can see how HFT play with Time&Sales (Level I) and DOM (level II). You can see absorptions by the limit orders, for example, when there are many sells market orders but the price don't fall. and viceversa.

Problem:
This is an outdated study which only looked at the dates between September 17, 2010 and November 1, 2010 for the eMini futures contract (December 2010 contract, symbol ESZ0).

Source:
Nanex ~ 12-Mar-2013 ~ Exploratory Trading in the eMini

Thanked by:
  #9 (permalink)
 
jossfx's Avatar
 jossfx 
Almeria / Spain
 
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaBrokerage/CQG
Trading: 6E, ES, CL, GC
Posts: 69 since Jun 2015
Thanks Given: 35
Thanks Received: 49


Portland View Post
Problem:
This is an outdated study which only looked at the dates between September 17, 2010 and November 1, 2010 for the eMini futures contract (December 2010 contract, symbol ESZ0).

Source:
Nanex ~ 12-Mar-2013 ~ Exploratory Trading in the eMini

yes, but it can give you an idea of participation in this market.

I am convinced that most HFT trading is through limit orders, for example.

Visit my NexusFi Trade Journal
Thanked by:
  #10 (permalink)
 HoopyTrading 
Boston, MA
 
Posts: 264 since Apr 2014



jossfx View Post
yes, but it can give you an idea of participation in this market.

I am convinced that most HFT trading is through limit orders, for example.

If the date of the data is correct, that is 6 years ago!

Surely things have changed a smidgen since then?


Closed Thread



Last Updated on October 4, 2016


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts