AbleMarkets Retail Flows Index (RFI)
Hourly and end-of-day average retail participation as a % of volume traded for individual financial instruments, separated by buy and sell sides
The first public source of retail activity in the U.S. and international markets.
The RFI allows you to see what side of the market retail traders are on at any given point in time during the day, giving you an innovative viewport into intraday market flows that can be used to make better trading decisions.
Benefits
- Get a unique view of the intraday market.
- Make better trading decisions.
- Gain an advantage over your competitors.
- Feel confident in your ability to make smart trades.
Process
- Subscribe to AbleMarkets.
- Determine your investing universe.
- Receive your data online or via AWS S3
- Receive custom alerts by email or phone
- Capture the benefits and improve your bottom line.
How to Use Retail Flows Index?
Key predictability is derived from the differences in buyer- and seller- flows. The differences have been shown to predict:
- Today's and 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 Retail Flow 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 AbleMarkets Retail Flow Index (RFI) 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 online and contains the following fields:
- Symbol (e.g., ULTA)
- Date (YYYYMMDD)
- Time (HHMM in ET)
- Proportion of Retail in the buyer-initiated orders (flow)
- Proportion of Retail 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 Retail volume in the buyer-initiated orders (flow)
- Average daily proportion of Retail volume 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 Retail 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
