AbleMarkets Aggressive HFT Index

20-min average of aggressive HFT participation as a % of volume traded

The first public source of aggressive HFT activity in the U.S. and international markets.



Benefits

  • Deploy AHFT index in your framework and capture extra 500 bps per annum through execution, portfolio rebalancing or risk management.
  • Measure aggressive HFT impact on your investments.
  • Optimize your holdings to take advantage of AHFT intel.
  • Adjust your portfolio daily with a rules-based approach uncorrelated to your investment strategy.
  • Improve your execution by tracking AHFT dynamics.
  • Receive AHFT-related use cases and additional research.

Process

  1. Determine your universe: AHFT index is distributed per financial instrument.
  2. Sign up for intraday, daily or weekly AHFT index for the financial instruments of your choice.
  3. Receive your data in any or all of the following ways:
    • Visual online dashboard
    • AWS S3
  4. Receive custom alerts by email or phone
  5. Capture the benefits and improve your bottom line.

How to Use Aggressive HFT Index?

Key predictability is derived from the differences in buyer- and seller- Aggressive HFT. The differences have been shown to predict:

  1. Future intraday AHFT activity (following AHFT participation)
  2. Next day’s price movements
  3. Short-term volatility changes
  4. Morning and afternoon trading sessions short-term price movement prediction

Supported Asset Classes

At present, AbleMarkets Aggressive HFT index is available for the following instruments:

  1. U.S. Russell 3000 equities (individual names), all AHFT values are reported per ticker
  2. Selected U.S.-based ETFs
  3. Top 40 foreign exchange pairs
  4. Commodity futures
  5. E-minis

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Data Description

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

Intraday data is distributed on trading days every 20 minutes from 8:30 AM ET through 15:50 ET.


Intraday Data Dictionary:

The intraday data distributed in a table via AWS S3 or FTP contains the following fields:

  1. Symbol (e.g., ULTA)
  2. Date (YYYYMMDD)
  3. Time (HHMM in ET)
  4. Proportion of Aggressive HFT in the buyer-initiated orders (flow)
  5. Proportion of Aggressive HFT in the seller-initiated orders (flow)
  6. Contemporaneous Bid (included as a heartbeat)
  7. Contemporaneous Ask (included as a heartbeat)

Daily Data

Daily data is the average of intraday data distributed on trading days at around 3:30 PM ET.


Daily Data Dictionary:

The Daily data distributed in a table via AWS S3 or FTP contains the following fields:

  1. Symbol (e.g., ULTA)
  2. Date (YYYYMMDD)
  3. Average daily proportion of Aggressive HFT in the buyer-initiated orders (flow)
  4. Average daily proportion of Aggressive HFT in the seller-initiated orders (flow)
  5. Contemporaneous midprice (included as a heartbeat)

Missing Data

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.


Data Latency

Actual latency statistics on Intraday AHFT Index delivery, measured as HHMM_delivered - HHMM_stamped

In Minutes:

mean = 3.277 min
median = 2.0 min
std = 4.136 min

In Seconds:
mean = 224.744 seconds
median = 147.0 seconds
std = 243.054 seconds



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Latest research


AHFT buyers dominated AHFT sellers in the U.S. stocks at 1550 on 20211021

AHFT buyers dominated AHFT sellers in the U.S. stocks at 1550 on 20211021


AHFT buyers dominated AHFT sellers in E-Mini S&P 500 at 1550 on 20211021

AHFT buyers dominated AHFT sellers in E-Mini S&P 500 at 1550 on 20211021


AHFT sellers dominated AHFT buyers in Crude Oil Futures at 1550 on 20211021

AHFT sellers dominated AHFT buyers in Crude Oil Futures at 1550 on 20211021


AHFT sellers dominated AHFT buyers in 10-Year T-Note Futures at 1550 on 20211021

AHFT sellers dominated AHFT buyers in 10-Year T-Note Futures at 1550 on 20211021


AHFT sellers dominated AHFT buyers in E-Mini S&P 500 at 1250 on 20211021

AHFT sellers dominated AHFT buyers in E-Mini S&P 500 at 1250 on 20211021


AHFT sellers dominated AHFT buyers in 10-Year T-Note Futures at 1150 on 20211021

AHFT sellers dominated AHFT buyers in 10-Year T-Note Futures at 1150 on 20211021


AHFT sellers dominated AHFT buyers in the U.S. stocks at 0930 on 20211021

AHFT sellers dominated AHFT buyers in the U.S. stocks at 0930 on 20211021


AHFT sellers dominated AHFT buyers in the U.S. stocks at 1550 on 20211020

AHFT sellers dominated AHFT buyers in the U.S. stocks at 1550 on 20211020


AHFT sellers dominated AHFT buyers in E-Mini S&P 500 at 1550 on 20211020

AHFT sellers dominated AHFT buyers in E-Mini S&P 500 at 1550 on 20211020


AHFT sellers dominated AHFT buyers in TRN at 1550 on 20211020

AHFT sellers dominated AHFT buyers in TRN at 1550 on 20211020



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All prices are per instrument (symbol or ticker)


Intraday



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


Daily



Delivered daily at approximately 3:30 PM

$35/month based on annual subscription ($420 due today)

$40.25/month with month-to-month subscription


Weekly



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