December 21, 2012

How Credit Suisse Detects HFT Strategies: AES Algo


How Credit Suisse detects HFT strategies: AES algo.



Credit Suisse gives an overview of how its AES algorithmic trading software detects trading patterns of other HFT algo’s and reacts to it. Trading patterns such as

  1. High Frequency Quote Stuffing
    Flood the market with a huge number of orders and cancellations rapidly i.e. create new best-bid best-offer rapidly

  2. Layering
    Drive the price down (or up) by placing a number of orders at different price points to creative a false impression of strong selling (or buying) pressure

  3. Price Fade
    Volume disappears right after a trade on the same venue

  4. Venue Fade
    Volume disappears right after a trade but on a different venue than the executing venue

  5. Momentum Ignition
    Attempts to trigger a number of other participants to trade quickly and cause a rapid price move


CS HFT DETECTION

Tags: credit suisse aes algorithmic trading, hft strategies explained, high frequency quote stuffing, hft strategy quote stuffing, hft strategy layering, hft strategy order book fade, hft strategy price fade, hft strategy venue fade, hft strategy momentum ignition