Aggressive HFT Index

AbleMarkets Aggressive HFT Index provides a 20-minute average of aggressive HFT participation (as a % of volume traded). The data is the first public source of aggressive HFT activity in the U.S. markets.

Deploy AbleMarkets Aggressive HFT Index and capture 500 bps per annum via execution, portfolio rebalancing or risk management.

AbleMarkets Daily Aggressive HFT Index is predicts the next day’s direction of VIX with 96% accuracy. It’s perfect for trading VIX, options and hedging volatility. Please click here to download the research.

What is Aggressive HFT?

Aggressive HFT is a class of algorithms trading strategies that trade frequently and use market or marketable orders. In this respect, Aggressive HFT differs from passive HFT which comprise mostly market-making strategies. Aggressive HFT tends to capitalize on news with short shelf life, also known as “rapidly-decaying alpha”. For moreĀ  information, please refer to High-Frequency Trading and Real-Time Risk books.

“Real-Time Risk” by I. Aldridge and S. Krawciw and “High-Frequency Trading” by I. Aldridge

Deploy microstructure feed as a factor for execution, rebalancing or as a hedge

Multiple Asset Classes

Uncorrelated Data

5+ Years Data History

$200B+ Volume Traded with AbleMarkets Indices

How to Deploy AHFT Index?

AbleMarkets AHFT Index deploys in a matter of days and requires zero
maintenance. To take advantage of this unique uncorrelated data source, follow the 3 steps:

1. Sign the agreement
2. Receive the data feed every 20 min
3. Integrate data feed alongside your existing feeds

Features and Benefits

Execution

AbleMarkets Smart VWAP utilizes AbleMarkets Aggressive HFT Index, a market microstructure analytics tool, to improve client execution. We stream data to clients and do not take flow; we do not
receive any data from
clients.

Portfolio Rebalancing

Rebalance your portfolio
using a rule-based
approach that is
uncorrelated to your
investment thesis. Improve your portfolio’s performance for daily, weekly, quarterly and even annual rebalancing schedules.

Hedging HFT Exposure

Measure aggressive HFT
impact on your investments, so you can
understand and minimize
your exposure. Monitor
HFT presence to avoid
investing in instruments
with or without aggressive
HFT. Hedge in your
portfolio, to maximize
your returns.

20-minutes Intraday Aggressive HFT Index
$100 per instrument name per month
Real-time and near-real-time updates
Reported every 20 minutes from 8:30 AM ET to 15:50 PM ET
Alerts for immediately-actionable activity
Receive data on-screen, via FTP or HTML 5
Daily Aggressive HFT Index
$35 per instrument name per month
Summaries and details of daily activity for the previous trading day
Reported immediately after market close
Timely for next day’s portfolio reallocation
Receive data on-screen, via FTP or HTML 5
Monthly Aggressive HFT Index
$10 per instrument name per month
Summaries and details of monthly AHFT activity for the previous month
Reported before market open on the first trading day of the new month
Risk factors for portfolio reallocation and risk management
Receive data on-screen, via FTP or HTML 5

Can’t find what you are looking for? Contact us now: email Irene@AbleMarkets.com or

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Outperform in 3 Easy Steps

Our factor-based research is easy to deploy and requires zero maintenance:
1.Sign the agreement
2.Receive intraday factors in your preferred format
3.Use the factors to recalibrate your algorithms to generate extra profitability.