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 more information, please refer to High-Frequency Trading and Real-Time Risk books.
Deploy microstructure feed as a factor for execution, rebalancing or as a hedge
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
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
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