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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. Is there an indicator available out there for detecting HFT trades based on order flow , assuming an unfiltered data feed.
The following user says Thank You to aligator for this post: The following 6 users say Thank You to Fat Tails for this post: Jura , quickturtle , Rad , Sousa , Sunil P , the russian. The following user says Thank You to Drubbel for this 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. The following user says Thank You to kronie for this post: These guys are doing something similar to what you're asking about: 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 are a software startup, and have coined all sorts of terms. I thought this chart they recently put up was interesting. Please register on futures. The following 2 users say Thank You to Beljevina for this post: Search this Thread Advanced Search.
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