January 2024 Stats: AbleSlice Delivers 5-7 bps per Day

Post date: 2024-02-06 19:56:50 GMT

Tap into the power of AbleSlice's HFT detection capabilities

Gain an edge by accessing AbleSlice's unique market transparency insights. Our cutting-edge technology provides unparalleled visibility into market depth, order flow, and spread dynamics, giving you a deeper understanding of liquidity movements and their impact on prices. Armed with this information, you can execute trades with precision and maximize your returns.

By how much does AbleSlice improve execution prices?

In January 2024, execution managers using AbleSlice (powered by AbleMarkets) improved their execution prices with a simple overlay by:

+0.04965% (+4.97 bps) on average on sell order slices placed throughout the day (averaged across all trading days in December and all Russell 3000 stocks)

-0.06679% (-6.68 bps) on average on buy order slices placed throughout the day (again, averaged across all trading days in December and all Russell 3000 stocks)

Smaller stocks once again saw considerably larger improvements than did bigger stocks. For example, the daily improvement for Calithera Biosciences Inc stock (CALA) was over -1.8% for buy orders (average per day for January 2024) and +2.1% for sell orders (average per day for January 2024). For Mettler-Toledo International Inc. (MTD), AbleSlice resulted in average daily buy price improvement of -0.15% and sell price improvement of +0.10%. On the other end of the spectrum, for Chipotle Mexican Grill, Inc. (CMG), the average buy order price improvement per day was -0.002% (-0.2 bps), and for sell orders it was +0.016% (+1.6 bps).

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How does AbleSlice help improve execution?

AbleSlice tells you when the high-frequency trading (HFT) activity is high in the given security. When HFTs are buying en masse, they are driving up the price, but the price impact is temporary. So, if your algorithm is set to buy at the same time as HFTs are buying, you will have to pay more to fill your orders. Instead, AbleSlice suggests that you postpone your buy orders until HFT flow neutralizes or turns to sell. At the same time, when the HFTs are buying a particular security, it is a great time to double down on your sell orders – you will get a premium fill.

For sell orders, AbleSlice works in the similar way: when HFT sell flow is high in a particular security, the HFTs temporarily drive down the prices, creating an advantage to buyers, but disadvantaging sellers. This is when AbleSlice recommends that you double down on your buy orders, but hold your sell orders.

AbleSlice delivers a data feed of intraday high-frequency trading (HFT) activity estimated by AbleMarkets Artificial Intelligence (AI). The data feed is currently delivered every 20 minutes. Our backtest of the impact of the HFT strategy lasts at least 20 minutes and often longer.

Figure 1 shows distribution of average daily buy price improvements across Russell 3000 stocks in January 2024. Tables 1 and 2 further show the statistical properties of these distributions.

Table 1. Summary statistics of average daily Buy order improvements generated by AbleSlice, in % per day

buy:

count 3102.000000

mean -0.066785

std 0.077921

min -0.560719

1% -0.314121

5% -0.209113

10% -0.162709

25% -0.105763

50% -0.059461

75% -0.016578

90% 0.016377

95% 0.042119

99% 0.099326

max 0.513591

Table 2. Summary statistics of average daily Sell order improvements generated by AbleSlice, in % per day

sell:

count 3102.000000

mean 0.049651

std 0.087804

min -0.664374

1% -0.215136

5% -0.093225

10% -0.048970

25% 0.005968

50% 0.052842

75% 0.097401

90% 0.144956

95% 0.180492

99% 0.282255

max 0.464336

Experience the advantage of real-time market microstructure analysis, enabling you to stay ahead of the competition. AbleSlice provides you with a comprehensive view of market dynamics, revealing hidden patterns and trends that go unnoticed by traditional analysis methods. With this invaluable knowledge at your fingertips, you can make informed and confident trading decisions, resulting in enhanced profitability.

About AbleMarkets

AbleMarkets is the world’s first streaming artificial intelligence (AI) research company for financial markets. We automate traditional equity research, ETF research, foreign exchange research and commodity research functions with great precision, in near-real-time and at a fraction of the cost of traditional research models. Our clients include billion-dollar hedge funds, sovereign funds, CFOs of publicly traded companies, quant investors, portfolio managers, treasury managers and more. We distribute data via AWS Data Exchange, Snowflake, JSON API and more.

DISCLAIMER:

AbleMarkets expressly does not take any responsibility for any profitability or losses incurred in association with AbleMarkets products. All the risks of using AbleMarkets data are borne strictly by the investors and data licensors. Past performance does not guarantee future results. Additional Terms and Conditions apply as specified in the online (AbleMarkets.com) or written agreement.