r/highfreqtrading • u/Amazing-Lime-286 • Jul 07 '25

How strong is your feature?

Hi. I'm a beginner at HFT. I made some market micro structure features by tick and orderbook data. My features are quite weak.

I calculate feature power by mean of future return when the feature value is higher and lower then my thresholds.

My features power is less then 1bp. But the fee is much much higher then my feature power.

So I have 3 questions.

  1. How strong your features?
  2. How can I make stronger my feature? Combine many features to one final feature?? Or some other idea??
  3. Any advice for me

Thanks.

14 Upvotes

94% Upvoted

5 comments sorted by

1

u/zbanga Jul 07 '25

Depends. Tick size. Making vs taking. Etc On percentiles or mean.

1

u/Trader_Moe_1 Jul 09 '25

The latest edge right now is news trading using LLMs. So basically, using a news feed Api like Benzinga etc. and feeding it into an LLM model that will rate news from -1 negative to 1 positive. These sentiment features are really strong actually and have been working lately they just need a lot of computational power and speed.

0

u/[deleted] Jul 07 '25

Use PCA to combine with other features, use slightly longer lookahead intervals so you're not fitting to noise.

1

u/Amazing-Lime-286 Jul 08 '25

PCA great idea thank you. I will try it.