What quantitities are interesting to look at for high frequency strategy trading?

Discussion in 'Strategy Development' started by mizhael, Jun 9, 2009.

  1. What quantitities 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!