HFT Alert Software and Website

[EB]

Here's a free service that updates each minute and shows quote frequency across all the US equities and options feeds.

http://marketdatapeaks.com/

I have not figured out a way to make it useful, though I have noticed that sometimes quote bursts occur very near the same time that liquidity is pulled in the ES though the proprietary method I've document here prior.

Ellis and I did substantial research on the history of the NYSE post-IPO, including the flash crash, and found some interesting things that I will put together and write about in the coming months. For now, what he posted is good background. And, indeed, high liquidity and decent operational control by the CME of its exchange is why I prefer to trade the ES.

[Andrei]

Here is the question and answer I received form Steve Hammer of HFT Alert regarding his software.

Steve, it's extremely innovative software and possibility. But the main question is this - have you been able to found high-probability setups or quote-churn activity with certain characteristics that lead to profitable trades?
You say that some algos can move price by 1/2 percent in a second, but if we react after that second, the move is missed. Also algos come and go, but does price tend to do something predictable after algos finished their job, given that we can't react in a millisecond?

So actually seeing algos in process in very good, but can we partake in action with them with good results?

Thank you.

Steve Hammer

The short answer to your question is yes. The longer answer is it also depends on your trading skills and how you trade. I wrote a piece that's on my site about using HFT Alert while trading 1 minute SPY bars: http://bit.ly/nfytsn

There are basically several ways to interpret spike activity which I can't go into too much detail here (read the piece and others on the site that go into this). When the market is trading a range during the day, watching where the spikes come in and how many stocks they involve will tell you whether the range will hold or break. When news comes out, this typically results in reversals. The algos run price up faster than we can react as individuals. But knowing they are doing this and seeing how large the spikes are, we can trade against their activity. In this case, it's not so much being in on the initial move as knowing when to reverse it. And we often see huge spikes that 'cap' a move, again, sets up a reversal.

Watching quote rates that show up on the raw quote burst monitor also can identify individual stocks that are attracting a lot of interest. Quote rates often precede trade rates.

http://seekingalpha.com/article/2998...terized-market