Hello,
I've followed this forum for a while now and have a question I need answering.
I'm writing an extended essay on High Frequency Trading (HFT) as part of my final year Economics degree. Now I know this forum isn't really associated with HFT, but my question is more general.
I'm trying to estimate the growth of HFT activity over the last decade and, in order to do so I would need to have access to some Level II data (at least thats my understanding). Currently I'm looking to find the number of purchases below a certain value (im assuming that lots with a sufficiently low value can only be as a result of HFT or algo trading).
From this data I should be able to estimate the growth in activity. Of course my next step would be to try and see if I can separate the algo and HFT trading, but this may not be possible.
I guess my question is: Can i get this info on the internet for free? My university has a Reuters datastream subscription, but this doesn't appear to have any of the information i need.
If anyone can point out any major flaws with the admittedly rather basic method for estimating, or has any suggestions, then please let me know.
Thanks,
Jamie
I've followed this forum for a while now and have a question I need answering.
I'm writing an extended essay on High Frequency Trading (HFT) as part of my final year Economics degree. Now I know this forum isn't really associated with HFT, but my question is more general.
I'm trying to estimate the growth of HFT activity over the last decade and, in order to do so I would need to have access to some Level II data (at least thats my understanding). Currently I'm looking to find the number of purchases below a certain value (im assuming that lots with a sufficiently low value can only be as a result of HFT or algo trading).
From this data I should be able to estimate the growth in activity. Of course my next step would be to try and see if I can separate the algo and HFT trading, but this may not be possible.
I guess my question is: Can i get this info on the internet for free? My university has a Reuters datastream subscription, but this doesn't appear to have any of the information i need.
If anyone can point out any major flaws with the admittedly rather basic method for estimating, or has any suggestions, then please let me know.
Thanks,
Jamie
