fastFutures Algo
The fastFutures algo is a short-term forecast of a futures contract
engineered, specifically, for options and futures trading. By
processing current market data efficiently, the model acts like a
hidden source of speed, improving the reaction time of option quotes

overcoming exchange latency and system conflation.

fastFutures 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 real-time data:

ffaPrice = midpoint + betaSize * sizeRatio + Σi betai * tradeAdji

            beta… = optimized parameters
            sizeRatio = ratio of bid and ask size
            tradeAdj = momentum of the 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 has been greatly reduced.

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