Microstructure-based indicators

ThomasJ · April 3rd, 2011, 6:17 am

There are tons of indicators out there that try to use price, volume, and time in different combinations to try to give some kind of prediction for where price is going to be. Is anyone aware of a list of indicators that use microstructure information? I'm thinking things like quantity at depth, whether trading is occurring on the bid or ask, rate of change of L2 quantities, etc. Feel free of course to chime in with your favorite.

zeckpromic · April 3rd, 2011, 3:24 pm

waste of time

ogarbitrage · April 4th, 2011, 1:31 pm

You're entering the technological cold war that is high-frequency market making. Waste of time +1.

Caesaria · April 7th, 2011, 12:39 pm

QuoteI'm thinking things like quantity at depth, whether trading is occurring on the bid or ask, rate of change of L2 quantities, etc.iceberg orders screws up all of it. and anyone knows how order sniffing is actually done in HF?

zeckpromic · April 7th, 2011, 7:39 pm

well ... i guess you meant : how to detect liquidity within the spread?try to ping and see what happen ...you can check last prices and if you detect massive volumes done at the bid/offer ...

Caesaria · April 7th, 2011, 7:43 pm

QuoteOriginally posted by: zeckpromicwell ... i guess you meant : how to detect liquidity within the spread?try to ping and see what happen ...you can check last prices and if you detect massive volumes done at the bid/offer ...how would you still detect a massive volume at say, the bid (if the bid-ask spread is 1 tick). you ping (i.e. send out a small offer at the bid?) and then what? you keep pinging in small chunks till you hit the entire visible bid and then detect the massive size? I don't get it. thanks

Caesaria · April 7th, 2011, 7:48 pm

QuoteOriginally posted by: outrunYou can easily detect icebergs at the surface. If you analyze the order-flow you can derive interaction with icebergs.how do you detect an iceberg before it gets cancelled or filled? Not for post trade analysis.

zeckpromic · April 7th, 2011, 7:54 pm

http://www.icebergfinder.com/

Caesaria · April 7th, 2011, 8:26 pm

QuoteOriginally posted by: zeckpromichttp://www.icebergfinder.com/if only the internet existed when the Titanic sailed.