Hide N’ Seek Pt.2 - Detection

Detecting execution algorithms: tips, ideas, & models

Introduction

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In our last article, we looked at how to avoid detection through some simple distribution matching techniques. We want to make sure that for any variable that describes the market (order size, frequency, type, etc) our orders do not significantly skew the distribution as to give ourselves away.

These are fine for most cases and even if there is some signal of our execution, we will probably have made it very noisy with our efforts. That said, there are more detailed approaches to detecting execution algorithms.

In this part of our 3 part series, we will explore multiple models and techniques for detecting execution algorithms. That said, we will not yet have a complete strategy - that will be the final article in the series where we put it all together into a real trading strategy.

Index

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1. Introduction

2. Index

3. Data

4. Overview of Methodologies

5. Simple Methods

   1. Recurring Frequencies

   2. Binning

6. Fourier Approach

   1. How it works

   2. Math + Formulas

7. Global Orderbook Method

8. Conclusions

9. Appendix:

   1. Data Scraping Code

   2. Background Reading