Estimation of order flow intensity and tape speed.
Appearance of indicators.
Tape is an oscillator of the number of trades
Average trade size calculates the average trade size based on the volume and number of trades.
$$ \ AVS_{t} = \dfrac{\sum_{}Volume_{t}}{ \sum_{}Count_t} $$
Order flow intensity - oscillator of order flow intensity with coloring by a gradient depending on the Z-Score score of the metric.
<aside> 💡 A standardized score(Z-Score) is a measure of the relative spread of an observed or measured value that shows how many standard deviations make up its spread of the relative mean.
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HFT Activity plots anomalous activity of high-frequency algorithms that breaks out of the overall conjecture. The adaptive advanced HFT activity model estimates the tape speed in real time and using Gaussian distribution and Z-score score classifies the speed by significance. Thus orderflow intensities are categorized into the following categories:
| Category | Probability of occurrence | Significance |
|---|---|---|
| Tiny | 31,7% | Minimal |
| Small | 4,5% | Minor |
| Normal | 0,3% | Medium |
| Large | ~0.01% | Large |
| Huge | ~0.001% | Maximum |
Thus, the orderflow intensity of the tiny & small category can signal nascent activity, while the orderflow intensity of the large & huge categories can signal the culmination of trading activity.
The model uses the method of standard deviations, which allows it to adjust to the unique features of the functioning of individual assets, as well as to the changing market conditions.
<aside> 💡 The main differences and advantages of HFT activity over Power trades are the speed of processing (signals come a few seconds faster) and accuracy
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Coming soon...
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Tape, Average trade size, Order flow intensity models are available exclusively as indicators.
To add the "HFT activity" tool to your workspace, first click on the "Screeners" button in the platform header. Then click on the button of the same name in the "Microstructure" section.
Widget location.