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
- "A" stands for "Aggressive" (short-term alpha focused as opposed to market-making)
- 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
- Determine your universe: AHFT index is distributed per financial instrument.
- Sign up for intraday, daily or weekly AHFT index for the financial instruments of your choice.
- Receive your data in any or all of the following ways:
- Visual online dashboard
- AWS S3
- Receive custom alerts by email or phone
- 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:
- Future intraday AHFT activity (following AHFT participation)
- Next day’s price movements
- Short-term volatility changes
- 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:
- U.S. Russell 3000 equities (individual names), all AHFT values are reported per ticker
- Selected U.S.-based ETFs
- Top 40 foreign exchange pairs
- Commodity futures
- E-minis
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:
- Symbol (e.g., ULTA)
- Date (YYYYMMDD)
- Time (HHMM in ET)
- Proportion of Aggressive HFT in the buyer-initiated orders (flow)
- Proportion of Aggressive HFT in the seller-initiated orders (flow)
- Contemporaneous Bid (included as a heartbeat)
- 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:
- Symbol (e.g., ULTA)
- Date (YYYYMMDD)
- Average daily proportion of Aggressive HFT in the buyer-initiated orders (flow)
- Average daily proportion of Aggressive HFT in the seller-initiated orders (flow)
- 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 secondsmedian = 147.0 seconds
std = 243.054 seconds
