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
The chart shows distribution of net AHFT flows: % AHFT buyers less % AHFT sellers of the total volume traded across Russell 3000 at 1550 on 20220119. As the chart shows, there is more mass on the sellers side of AHFT flows than on the buyers side. However, relative position of the sellers and buyers away from 0 also matters.
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