Key predictability is derived from the differences in buyer- and seller- HFT. The differences have been shown to predict:
At present, AbleMarkets HFT index is available for the following instruments:
The HFT 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 HFT Index delivery, measured as HHMM_delivered - HHMM_stamped
mean = 3.277 min
median = 2.0 min
std = 4.136 min