What quantities are interesting to look at for high frequency strategy trading? I have got some level 2 order book market depth data. In addition to the typical buying pressure and selling pressure, what other quantities are interesting to look at? Any interesting intraday technical indicators? Please give me some pointers! Thank you!
i know some day traders (for example, brian shannon) use vwap a lot (volume weighted average price), but i don't really know how i think vwap is also used in automated trading
here's the link to brian shannon's note on this: alphatrends.blogspot.com/2007/11/institutional-trading-benchmark.html
it's a standard order execution algorithm used to catpure the volume weighted average price. most firms nowadays use it more as a metric to compare against their own algos, although i'm sure there are some big buy-side firms that are still executing this way. typical scenario would be buyside firm calls executing broker and says i want 1M contracts of x executed at guaranteed vwap by end of day. sellside then charges a nice commission for that and proceeds to work the order with the purpose of beating the vwap price that they've agreed to executing at. what they can beat vwap by, plus the commission, is their margin. stop double posting your questions in multiple categories. it's annoying and people will stop answering your questions if you keep it up.
Hmm, imagine if there was a dynamic network for "farming" that type of work out to other, smaller retail traders. I guess it would be a standard option contract, with expiration set to end of day.