AbleMarkets HFT Index

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

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

Benefits

"HFT" stands for "High-Frequency Trading" (short-term alpha and market-making)
Deploy HFT 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 HFT intel.
Adjust your portfolio daily with a rules-based approach uncorrelated to your investment strategy.
Improve your execution by tracking HFT dynamics.
Receive HFT-related use cases and additional research.

Process

Determine your universe: HFT 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 HFT Index?

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

Future intraday HFT activity (following HFT 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 HFT index is available for the following instruments:

U.S. Russell 3000 equities (individual names), all HFT values are reported per ticker
Selected U.S.-based ETFs
Top 40 foreign exchange pairs
Commodity futures
E-minis
Options
***New!*** Crypto

Data Description

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

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 HFT in the buyer-initiated orders (flow)
Proportion of HFT in the seller-initiated orders (flow)

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 HFT in the buyer-initiated orders (flow)
Average daily proportion of 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.