Key predictability is derived from the differences in buyer- and seller- Aggressive HFT. The differences have been shown to predict:
At present, AbleMarkets Aggressive HFT index is available for the following instruments:
The AHFT Index is based on 20+ years of microstructure research documented in "High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems" by Aldridge (2nd ed., Wiley 2013)
Intraday data is distributed on trading days every 20 minutes from 8:30 AM ET through 15:50 ET.
The intraday data distributed in a table via AWS S3 or FTP contains the following fields:
Daily data is the average of intraday data distributed on trading days at around 3:30 PM ET.
The Daily data distributed in a table via AWS S3 or FTP contains the following fields:
When the data is missing, it is replaced by zeros. When zeros are reported on both sides of buyer- and seller-initiated HFT, those observations should be discarded.
Actual latency statistics on Intraday AHFT Index delivery, measured as HHMM_delivered - HHMM_stamped
mean = 3.277 min
median = 2.0 min
std = 4.136 min
All prices are per instrument (symbol or ticker)
Delivered approximately every 20 minutes from 9 AM ET to 4 PM ET
$100/month based on annual subscription ($1,200 due today)
$115/month with month-to-month subscription
Delivered daily at approximately 3:30 PM
$35/month based on annual subscription ($420 due today)
$40.25/month with month-to-month subscription
Delivered every Monday at approximately 7:30 AM ET
$10/month based on annual subscription ($120 due today)
$15/month with month-to-month subscription
All subscriptions are per index per one instrument symbol per buyer*
* The subscriptions are NOT transferrable from one purchasing entity to another party