Even ahead of Fed decision, AbleMarkets AHFT Execution Algo Delivers Results!
AbleMarkets AHFT execution algorithm tracks and reacts to aggressive HFT behavior, harnessing others’ HFT trades for the informational benefit and profit of execution. Using proprietary technology, AbleMarkets estimates aggressive HFT participation by volume every 20 minutes. Once a disbalance of aggressive HFT between the buy side and the sell side is detected, the algorithm offers one of the following three actions:
- Speed up execution (double up the volume in the next 20 minutes)
- Halt execution in the next 20 minutes
- Execute as originally planned without any modifications
The decision to speed up or halt is made every 20 minutes, and can run atop and significantly improve performance of most other algorithms.
Figure 1 shows the AbleMarkets AHFT execution algo performance improvement over TWAP for selling $100,000,000 of USD/CAD on January 26, 2016, ahead of the U.S. Fed Announcement. As the Figure shows, the AHFT algo delivered a consistently higher sell price than the plain old TWAP, resulting in $95,000 profit from 4 AM ET to 9 AM ET alone.
For more details and to watch the algo in real-time on USD/CAD, please click here.