⚡ High-Frequency Trading Signal Generator
Advanced Market Microstructure Analysis & Signal Generation
Designed for proprietary trading firms and market makers
📊 Market Configuration
⏱️ Simulation Parameters
10 300
10 1000
🎯 Signal Weights (%)
0 100
0 100
0 100
0 100
0 100
🎛️ Trading Parameters
0.1 0.5
Examples
| Ticker Symbol | Initial Price | Duration (seconds) | Market Data Rate (ticks/second) | Order Flow Imbalance Weight | Price Pressure Weight | Book Imbalance Weight | Spread Signal Weight | Volume Clock Weight | Signal Threshold |
|---|
📚 Signal Components
Order Flow Imbalance (OFI)
- Measures the relative volume between bid and ask sides
- Range: [-1, 1], positive indicates buying pressure
- Key signal for directional moves
Price Pressure
- Weighted average distance of orders from mid price
- Indicates where liquidity is concentrated
- Helps predict short-term price movements
Microprice
- Volume-weighted price between best bid and ask
- More accurate than mid price for predicting next trade
- Essential for optimal execution
Book Imbalance Ratio
- Ratio of bid size to total size at best quotes
- Simple but effective predictor of price direction
- Range: [0, 1], >0.5 indicates bid pressure
Spread Signal
- Normalized spread relative to typical spread
- Identifies favorable market making opportunities
- Negative values indicate tight spreads
Volume Clock
- Measures the rate of order book activity
- Higher values indicate more trading opportunities
- Adapts to market regime changes
⚡ HFT Characteristics
- Ultra-low latency: Microsecond decision making
- Market neutral: Profits from microstructure inefficiencies
- High turnover: Hundreds of trades per minute
- Small edge: Profits measured in basis points
- Technology dependent: Requires cutting-edge infrastructure
Built for quantitative trading firms and market makers.