HFTViz: Visualization for the exploration of high frequency trading data

IF 1.8 4区计算机科学 Q3 COMPUTER SCIENCE, SOFTWARE ENGINEERING

Information Visualization Pub Date : 2021-12-29 DOI:10.1177/14738716211064921

Javad Yaali, Vincent Grégoire, Thomas Hurtut

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引用次数: 0

Abstract

High Frequency Trading (HFT), mainly based on high speed infrastructure, is a significant element of the trading industry. However, trading machines generate enormous quantities of trading messages that are difficult to explore for financial researchers and traders. Visualization tools of financial data usually focus on portfolio management and the analysis of the relationships between risk and return. Beside risk-return relationship, there are other aspects that attract financial researchers like liquidity and moments of flash crashes in the market. HFT researchers can extract these aspects from HFT data since it shows every detail of the market movement. In this paper, we present HFTViz, a visualization tool designed to help financial researchers explore the HFT dataset provided by NASDAQ exchange. HFTViz provides a comprehensive dashboard aimed at facilitate HFT data exploration. HFTViz contains two sections. It first proposes an overview of the market on a specific date. After selecting desired stocks from overview visualization to investigate in detail, HFTViz also provides a detailed view of the trading messages, the trading volumes and the liquidity measures. In a case study gathering five domain experts, we illustrate the usefulness of HFTViz.

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HFTViz:用于探索高频交易数据的可视化

高频交易（HFT）主要基于高速基础设施，是交易行业的重要组成部分。然而，交易机器会产生大量的交易信息，金融研究人员和交易员很难探索这些信息。金融数据的可视化工具通常侧重于投资组合管理和风险与回报之间关系的分析。除了风险收益关系，还有其他方面吸引着金融研究人员，比如流动性和市场瞬间崩盘。HFT研究人员可以从HFT数据中提取这些方面，因为它显示了市场运动的每一个细节。在本文中，我们介绍了HFTViz，这是一个可视化工具，旨在帮助金融研究人员探索纳斯达克交易所提供的HFT数据集。HFTViz提供了一个全面的仪表盘，旨在促进HFT数据探索。HFTViz包含两个部分。它首先提出了一个特定日期的市场概述。在从概览可视化中选择所需股票进行详细调查后，HFTViz还提供了交易信息、交易量和流动性指标的详细视图。在一个收集了五位领域专家的案例研究中，我们说明了HFTViz的有用性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Information Visualization COMPUTER SCIENCE, SOFTWARE ENGINEERING-

CiteScore

5.40

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Information Visualization is essential reading for researchers and practitioners of information visualization and is of interest to computer scientists and data analysts working on related specialisms. This journal is an international, peer-reviewed journal publishing articles on fundamental research and applications of information visualization. The journal acts as a dedicated forum for the theories, methodologies, techniques and evaluations of information visualization and its applications. The journal is a core vehicle for developing a generic research agenda for the field by identifying and developing the unique and significant aspects of information visualization. Emphasis is placed on interdisciplinary material and on the close connection between theory and practice. This journal is a member of the Committee on Publication Ethics (COPE).

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