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identify HFT
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identify HFT

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identify HFT

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

 
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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.

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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.

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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.

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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

 
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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.

 
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jossfx View Post
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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

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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.

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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?


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