HFT Volume

HFT (High-Frequency Trading) - this is what we called the algorithm, which allows you to calculate transactions in the market, the speed of which is from 1 millisecond. The indicator gives us the opportunity to see where the large positions are being recruited or absorbed by institutional and market maker robots.

From a practical point of view, this indicator also finds the points in the market where there is the largest concentration of buyers and sellers in a very short period of time. Such moments often show us the prices at which there is a "carrying out" of stop-loss orders or a fast entry of a position by a large player.

Example 1: S&P 500 instrument, minimum tick = 300 contracts, period 3 seconds, total volume 1900 contracts. The terminal will automatically make a selection of tick chains with a minimum print of 300 contracts and a total volume of 1900 contracts that have passed in an interval of less than 3 seconds and display them on the chart. This filter helps to find the important volume and display its structure, including how many buy contracts were purchased by market orders and how many were sold. This will help identify key points on the price chart.

Example 2: instrument Gold, minimum tick = 25 contracts, period 3 seconds, total volume 500 contracts. In this example, trades are displayed that are more like stop orders triggered, followed by a market reversal.

The "HFT volumes" searcher makes it possible to determine whether traders are involved or positions are being liquidated at the moment. Since open interest on the CME exchange is published at the end of the session and not in real-time, it is important for us to understand at the moment the nature of this increased liquidity. For this, the tick chart in the Trading Volume Terminal platform is also used. When we received a chain of ticks in real-time and at the same time a signal to the e-mail and to the platform, we go to the tick chart and try to understand whether the addition or elimination of OI occurred.

In Example 1, we see a clear adding of sales, as the largest volumes are going into the level, or into liquidity. Also, if the tick chain does not start after the liquidity breakout, but before, these are not automatic stop losses.

In Example 2, the tick chain passed after the level was broken, which tells us about the liquidation of the participants' positions through automatic stop orders.

In Example 3, we see buying on the market and at the same time triggering stop-loss orders. Such situations tell us that everyone who wanted to buy - bought. Everyone who wanted to get out of the market did it. And now the path of least resistance is to the downside. You can see the result of the market movement after this chain in Example 4.

It may be difficult to interact with this information at first and you will want not to delve into such details of the market. But this is at the first stage, then you will get used to it and will no longer imagine making a decision without determining whether new money entered the market, at a given weighty point, or exited.