Fast Futures Algo

by Morris Consulting

Fast Futures Algo is a short-term forecast of a futures contract engineered, specifically, for options trading. By processing current market data efficiently, the model acts like a hidden source of speed, improving the reaction time of option quotes to new underlying information entering the marketplace and overcoming exchange latency and system conflation. The Fast Futures Algo combines rigorous data analysis and statistical modeling to create an optimal value for a futures over a few second horizon. The driver for this model is a simple regression model that has been optimized directly from the Vela real-time datafeed:

microPrice = midpoint + betaSize * sizeRatio + sum (beta_i * tradeAdj_i)

- beta… = optimized parameters
- sizeRatio = ratio of bid and ask size
- tradeAdj = momentum of last i trades

The model has two sources of alpha. First, the current book and last trade momentum are generally strong predictors of short term behavior, and second, by incorporating last trade information into the model, exchange bid/ask latency and system conflation has been greatly reduced. The model is configurable by the user to control the size of the adjustment and to control the update process to eliminate excessive price updates and to focus the algorithm on higher value opportunities. It also includes numerous safeties to insure the integrity of the model.

The algorithm is available on a monthly subscription basis for $250 per market per month. Included in the subscription service are regular parameter updates and model enhancements.

Video

Play the video below to see the widget or algo in action. Metro NOW gives widgets the ability to work in a similar behavior across several asset classes or exchanges. This keeps usability consistent and promotes high application stability.

Configuration Options

All of the variables below can be configured or modified at runtime. This gives users the power to modify their job behavior throughout the day without having to make code changes.

NameTypeDefaultDescription
Underlying InstrumentStringOC Symbol that corresponds to the future the user is forecasting.

Fast Futures Algo by Morris Consulting

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