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Louis Marascio
Louis Marascio
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Tweeted twitter.com/#!/StackQuant/status/41239259939741696
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tdelet
tdelet
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What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time?

On a security by security basis, I want to be able to quantify the level of HFT activity (and later institutional & retail activity). Is it higher than it normally is? How much so?

What would you say is the best way to measure? Number of quotes? # of quotes relative to volume? Relative to # of trades? Spread volatility? Reversals after block prints?