How to resolve when HFT start..

[wyatt376]

Hi everyone,

tonight i got a problem, too much datas in a very very little time...

here the example:

http://img233.imageshack.us/img233/5130/gchft.jpg

at time 2.36 there are a lot of datas that arrive in ninja, and in this case the behaviour of the algoritm is casual (sometimes gain a lot, sometime loss a lot - 90-100 points)....

Which is the best practice for this problem? I think there are a lot of people with the same problem...

Hope in a response!

thanks all

wyatt

[NinjaTrader_Bertrand]

Hi Wyatt, correct such a burst of activity could 'hit' your market, so the strategy would need to be prepared to see it. One option would be halting for a certain amount of wins / losses for a time period of x minutes / hrs, so your protect yourself from following all the swings created by this external event. Another idea might be counting range / bars with the same timestamp, so you would know for this charttype a news event would likely unfold.

Hope that helps,

[wyatt376]

yes,i like second idea ...

there aren't any indicators to detect this market behaviour?
i remember a "...paris..." indicator, but i don't remember its right name..

[NinjaTrader_Bertrand]

Sorry, doesn't ring a bell here, if I come across anything I'll let you know.

[mirkocero]

Hy Wyatt376!
I think you could use an indicator that detect the HFT, like you write. I used one (Paris...) to take trade when HFT is on the way!
But there's probably a problem. If the market is already too quick for your strategy, when you add this new condition is possible that it can't see HFT again. Or better, it sees HFT too late and the market is far away.
Bertrand has got good ideas!

Glad to help you!

[wyatt376]

others ideas for detect arriving of a lot of datas?
anyone?

[wyatt376]

for this solution..

"Another idea might be counting range / bars with the same timestamp, so you would know for this charttype a news event would likely unfold."

an example of c# code to do this?

[NinjaTrader_Bertrand]

I would not have a dedicated / 'battle' tested sample unfortunately, but an idea you could work from.

It would count the bars with same time-stamp and reset the count once this is cleared, also an average in from of a WMA is taken, perhaps you can establish threshold levels here for pausing or reducing size?

You would also likely need to look into incorporating a range condition as well, as just a lot of volume creating a non-consequential / small range likely would not disturb your script to justify a pause. But then a very individual matter that would need customization and testing.

Good luck,