VisualHFT @visualhft

Liquidity isn't invisible. You've never seen it this way. Dive deep into market microstructure to reveal real-time, intricate market behaviors. visualhft.com/connect Miami, FL Joined November 2023

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VisualHFT @visualhft

3 days ago

Replay Engine: bundled with Pro, no extra charge. Session Recorder, Event Capture Recorder, Microstructure Diagnostics: separate paid add-ons. Record your own tape, then replay it the same way live data flows: visualhft.com/docs/data-stor… #marketmicrostructure #hft #visualHFT

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VisualHFT @visualhft

3 days ago

On a real NASDAQ ITCH capture from 22 Aug 2023, AAPL prints 41,013 messages in the first 38 seconds of trading, about 1,100 per second. The opening cross alone: 587,385 shares at $177.0000, cross type 'O'.

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VisualHFT @visualhft

3 days ago

VisualHFT's Replay Engine runs your own captured market data through the exact same code path as a live exchange connector. Same order book. Same studies. Same triggers. The only per-message difference: one field, ProviderID = 98. How that works:

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VisualHFT @visualhft

6 days ago

✅ Github repo updated. ✅ Documentation updated. ✅ Beginning guide updated. Fully open source. We already have +1200 stars. We are looking forward to keeping this community expanding and welcoming new collaborators.

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VisualHFT @visualhft

2 weeks ago

Every signal in this cascade traces to a named plugin with public source: OTT, Market Resilience, VPIN, LOB Imbalance. VisualHFT is Apache-2.0 with 1,000+ stars on GitHub. Full cascade, signal by signal: visualhft.com/blog/six-signa… #marketmicrostructure #orderbook #visualHFT

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VisualHFT @visualhft

2 weeks ago

Signal five: the spread widens as dealers price in the adverse-selection cost of trading against better-informed flow (Glosten & Milgrom, 1985). Signal six is the print. Both arrive after the first four signals already showed the direction.

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VisualHFT @visualhft

2 weeks ago

Signal four: repositioning spreads down the book. Order-flow imbalance at the top predicts short-horizon price moves (Cont, Kukanov & Stoikov, 2014). More depth levels sharpen that prediction (Xu, Gould & Howison, 2019). VisualHFT's LOB Imbalance plugin renders full depth.

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VisualHFT @visualhft

2 weeks ago

Signal three: VPIN, bucketed on a volume clock, sized by traded volume rather than wall-clock time (Easley, López de Prado & O'Hara, 2012). VPIN peaked after the 2010 Flash Crash and predicts short-run volatility poorly on its own (Andersen & Bondarenko, 2014).

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VisualHFT @visualhft

2 weeks ago

Signal two: refresh latency. The order book is a responsive system, and its response time is itself informative (Bouchaud, Gefen, Potters & Wyart, 2004). VisualHFT's Market Resilience metric tracks how fast the book reconstitutes after a cancel sweep.

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VisualHFT @visualhft

2 weeks ago

A price print is the last of six signals that fire, in order, in the second before it happens. VisualHFT renders all six live. The one most dashboards watch, the spread, is fifth. Here is the full sequence, signal by signal.

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VisualHFT @visualhft

2 weeks ago

Signal one: cancel-side asymmetry. Fast informed traders post limit orders ahead of news, then cancel and resubmit aggressively once it lands (Foucault, Hombert & Roşu, 2016). VisualHFT's order-to-trade ratio tile, OTT on screen, tracks the cancel-to-execution ratio per side.

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Electronic Trading Architect | Strategic Advisor @sisSoftware

4 months ago

Test: cancel-OFI alone, trade-OFI alone, combined - same instrument. If combined doesn't dominate, two hypotheses: snapshot rate aliases cancels, or latency exceeds signal half-life. Your venue and the break point is the comment I want to read. electronictradinghub.com/?p=2078

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exchangeIntel @exchangeIntel

2 weeks ago

Luno Delayed XRP sends resolved The incident is marked resolved by the official source. Official incident duration: ~11h 16m.

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PolyRadar @polyRadarHQ

2 weeks ago

Polymarket whale flow, last 4 hours 78 large trades crossed the radar; 4 matched an insider-shaped pattern. Largest single ticket: $365k. Read straight off the public prediction-market tape.

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VisualHFT @visualhft

2 weeks ago

Every calculation ships as C# you can read against the paper it implements. 1,000+ stars, 200+ forks, Apache-2.0, 500+ commits on master. Clone it, read the code, or build your own study. visualhft.com/blog/getting-s… #marketmicrostructure #opensource #visualHFT

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VisualHFT @visualhft

2 weeks ago

Need a venue that is not in the box? The Connector SDK handles reconnection, JSON parsing, and symbol normalization for you. You write the venue-specific mapping and call RaiseOnDataReceived(). Any WebSocket-capable venue can be connected this way.

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VisualHFT @visualhft

2 weeks ago

VPIN. LOB imbalance. Book resilience. Order-to-trade ratio. Four signals that decide execution quality. Most desks either pay a terminal vendor for a black-box number or don't see these signals at all. We open-sourced all four, calculations included. Thread: