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
We love to hear from you.
There are bold new tools available for your transition to a process-driven approach with our data and other alternative data sources. AbleMarkets has developed processes and roadmaps which can guide your journey and cut time to value from years to hours.
We look forward to the discussion.
New York, US
Phone: +1 646.233.3513