Algo Activity

Aggressive HFT Algos Erode Liquidity Ahead of YOUR Trades

Our research shows that if you track and avoid Aggressive HFT, you can save considerable money you are presently leaving on the trading table. For example, if you could outperform VWAP/TWAP by 500 bps per annum across all electronically traded, limit-order-book based financial instruments, would that be a great benefit to you?* With streaming real-time and near-real-time AbleMarkets Aggressive HFT Index, you can avoid HFT during execution.

Are you a long-term only portfolio manager? With a single HFT-based factor for each financial instrument in your portfolio, you can hedge your aggressive HFT exposure even if you reallocate only once per year! And simultaneously increase your portfolio's Sharpe Ratio by 0.5. If you can raise your Sharpe from 1.5 to 2.0, how much is that worth to you and your investors?


AbleMarkets Aggressive HFT Index for NYSE:FB on November 19 2017

Today's Macro Announcements During Market Hours:


> 0: Aggressive HFT Buyers, as a % of volume; < 0: Aggressive HFT Sellers, as a % of volume
Green: Aggressive HFT Buyers exceed Aggressive HFT Sellers by 10% or more
Red: Aggressive HFT Sellers exceed Aggressive HFT Buyers by 10% or more


Imagine what you could know if you subscribed to AbleMarkets Aggressive HFT Index for ALL equities? ALL currencies? ALL commodities? Yes, we deliver that! Click here to contact us right now!


What does the chart shows? This chart presents price of a Russell 3000 stock and the corresponding proportion of aggressive HFT, as measured by AbleMarkets Aggresive HFT Index, every 20 minutes. When aggressive HFT Buyers exceed aggressive HFT Sellers in the stock by 10% or more of volume, the chart is colored green, and the upcoming news is likely to move the instrument or the market higher. When aggressive HFT Sellers exceed aggressive HFT Buyers in the stock by 10% or more of volume, the chart is colored red, indicating that the upcoming news is worse than expected.

In addition to the diagnostic and predictive analytics above, we now offer real-time diagnostic tools: block-trading activity, abnormal trading activity and the level of Internet chatter. The tools are available for any electronically-traded financial instrument, including stocks, currencies, commodities, equity and commodity futures and even options. Please contact us today to subscribe to real-time electronic feeds and for more information: sales@ablemarkets.com and +1 (646) 580-4949.

Data updated every minute, when available.

Separately available for most other instruments, including equities and commodity futures. Request it now!

The Benefits

Benefits of Using with AbleMarkets HFT Index

Generate Higher Profits

Make more money with enhanced execution.

Gain Marketshare

Attract new clients by outperforming competitors.

Zero time to market

Just turn on the service -- no development time required.

Save employee time

Use freed-up employee time for other tasks.

Frequently Asked Questions

Frequently Asked Questions

What Is Aggressive HFT?

Aggressive HFT is a grouping of HFT strategies that predominantly use aggressive orders, i.e., market orders and limit orders close to the top of the book. We have a detailed explanation of these type of strategies in our recently-released book, "Real-Time Risk: What Investors Should Know About Fintech, High-Frequency Trading and Flash Crashes" (Wiley, released February 28, 2017): https://www.amazon.com/Real-Time-Risk-Investors-FinTech-High-Frequency/dp/1119318963. An even more detailed explanation can be found in Aldridge's "High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems" (Wiley, 2nd edition, 2013, translated into Chinese): https://www.amazon.com/High-Frequency-Trading-Practical-Algorithmic-Strategies/dp/1118343506.

How Is the AHFT-Based Alpha Over VWAP Calculated?

When aggressive HFT buyers pass through in a particular financial instrument en masse, they erode liquidity on the offer side. If you are engaging in VWAP buying, you are better off to scale down or outright stop VWAP for the next 20 minutes, letting liquidity naturally replenish itself, and then resume your VWAP (VWAP schedule recalibrated at that point). On the other hand, when aggressive HFT sellers dominate, they erode the bids, and leave a surplus of limit sell orders, making conditions better for VWAP buying -- increasing or even doubling up your VWAP schedule. The opposite happens when using VWAP to sell. That's the AHFT-based VWAP enhancement in a nutshell.

Won't the AHFT Model Be Traded Out?

The key component of AHFT-based execution is not a trading model. Instead, it is a groundbreaking methodology for identification of Aggressive HFT-led trades in a sea of anonymous market data using Big Data techniques. As such, as long as Aggressive HFT is present in the markets (and it is here to stay for a foreseeable future), the impact of Aggressive HFT on the markets will remain, and our methodology will keep working, regardless of how many people take advantage of it.

How is the AHFT Data Delivered?

We presently stream AHFT data every 20-minutes or at the end of the day (the latter is great for long-term portfolio optimization) using two methods: FTP, possibly over a secure channel, and HTML5. We are able to stream Q or plain text data. We provide complementary integration scripts and can deliver full integration on a consulting-basis.