OPEN-SOURCE SCRIPT
Advanced HFT Detection with VWAP & Spreads

Explanation of the HFT Detection Strategy
🔹 1. Key Indicators Used in the Strategy
It's works by combining VWAP, moving averages (SMA), volume spikes, and price jumps to detect potential HFT activity.
✅ (A) VWAP (Volume Weighted Average Price)
VWAP acts as a benchmark price that professional traders and institutions use to execute large orders.
If price is above VWAP, buyers are in control → Bullish trend
If price is below VWAP, sellers are in control → Bearish trend
HFT algorithms often place buy orders above VWAP and sell orders below VWAP to follow momentum.
➡️ Why VWAP? It ensures that signals follow the institutional trading trend.
✅ (B) Moving Averages (SMA)
Moving averages smooth out price data and help in detecting short-term momentum changes.
Fast Moving Average (5-period SMA): Reacts quickly to price changes
Slow Moving Average (20-period SMA): Identifies trend direction
➡️ Why SMA? It filters noise and confirms short-term trend shifts.
✅ (C) Volume Spike Detection
High-frequency trading is often accompanied by large volume surges. We define a volume spike as:
📌 Current Volume > 2× Average Volume of last 20 bars
➡️ Why Volume? HFTs execute rapid buy/sell orders when they detect liquidity, leading to sudden volume bursts.
✅ (D) Price Jump Detection (Sudden Volatility)
HFT algorithms often exploit quick price movements. We check if the price has moved more than twice the ATR (Average True Range) in the last 5 bars.
➡️ Why ATR? It helps to detect abnormal price movements compared to normal volatility.
🔹 2. Trading Signal Logic
Now that we have VWAP, moving averages, volume, and price movement filters, we generate buy and sell signals based on conditions.
✅ (A) Buy Signal Condition
A BUY signal is triggered when:
✔ Fast SMA crosses above Slow SMA → Short-term trend is turning bullish
✔ Volume spike occurs → HFTs are active
✔ Sudden price jump detected → High volatility
✔ Price is above VWAP → Confirms bullish trend
➡️ Why this works? It confirms that institutional traders & HFTs are buying aggressively.
✅ (B) Sell Signal Condition
A SELL signal is triggered when:
✔ Fast SMA crosses below Slow SMA → Short-term trend is turning bearish
✔ Volume spike occurs → HFTs are selling aggressively
✔ Sudden price drop detected → High volatility
✔ Price is below VWAP → Confirms bearish trend
➡️ Why this works? It confirms that institutional traders & HFTs are selling aggressively.
🔹 3. Visual Representation (Plotting Signals & VWAP)
Once we detect buy and sell signals, we mark them on the chart.
✅ (A) Buy/Sell Markers
🟢 Buy → Green upward arrow below the candle
🔴 Sell → Red downward arrow above the candle
✅ (B) VWAP Line on Chart
We also plot VWAP as a blue line to visualize trend direction.
✅ (C) Highlighting Volume Spikes
To easily spot HFT activity, we highlight volume spike bars with a blue background.
🔹 4. How to Use This Strategy?
1️⃣ Apply this script on a 1-minute or 5-minute intraday chart.
2️⃣ Look for BUY signals above VWAP and SELL signals below VWAP.
3️⃣ Verify that the volume spikes before taking action.
4️⃣ Use stop-loss & risk management (e.g., stop-loss at recent low/high).
🚀 Summary: Why This Strategy Works?
✅ VWAP ensures we follow institutional traders
✅ Volume spikes confirm sudden liquidity inflows
✅ Price jumps detect fast market moves caused by HFT bots
✅ Moving averages smooth out short-term trend shifts
🔹 1. Key Indicators Used in the Strategy
It's works by combining VWAP, moving averages (SMA), volume spikes, and price jumps to detect potential HFT activity.
✅ (A) VWAP (Volume Weighted Average Price)
VWAP acts as a benchmark price that professional traders and institutions use to execute large orders.
If price is above VWAP, buyers are in control → Bullish trend
If price is below VWAP, sellers are in control → Bearish trend
HFT algorithms often place buy orders above VWAP and sell orders below VWAP to follow momentum.
➡️ Why VWAP? It ensures that signals follow the institutional trading trend.
✅ (B) Moving Averages (SMA)
Moving averages smooth out price data and help in detecting short-term momentum changes.
Fast Moving Average (5-period SMA): Reacts quickly to price changes
Slow Moving Average (20-period SMA): Identifies trend direction
➡️ Why SMA? It filters noise and confirms short-term trend shifts.
✅ (C) Volume Spike Detection
High-frequency trading is often accompanied by large volume surges. We define a volume spike as:
📌 Current Volume > 2× Average Volume of last 20 bars
➡️ Why Volume? HFTs execute rapid buy/sell orders when they detect liquidity, leading to sudden volume bursts.
✅ (D) Price Jump Detection (Sudden Volatility)
HFT algorithms often exploit quick price movements. We check if the price has moved more than twice the ATR (Average True Range) in the last 5 bars.
➡️ Why ATR? It helps to detect abnormal price movements compared to normal volatility.
🔹 2. Trading Signal Logic
Now that we have VWAP, moving averages, volume, and price movement filters, we generate buy and sell signals based on conditions.
✅ (A) Buy Signal Condition
A BUY signal is triggered when:
✔ Fast SMA crosses above Slow SMA → Short-term trend is turning bullish
✔ Volume spike occurs → HFTs are active
✔ Sudden price jump detected → High volatility
✔ Price is above VWAP → Confirms bullish trend
➡️ Why this works? It confirms that institutional traders & HFTs are buying aggressively.
✅ (B) Sell Signal Condition
A SELL signal is triggered when:
✔ Fast SMA crosses below Slow SMA → Short-term trend is turning bearish
✔ Volume spike occurs → HFTs are selling aggressively
✔ Sudden price drop detected → High volatility
✔ Price is below VWAP → Confirms bearish trend
➡️ Why this works? It confirms that institutional traders & HFTs are selling aggressively.
🔹 3. Visual Representation (Plotting Signals & VWAP)
Once we detect buy and sell signals, we mark them on the chart.
✅ (A) Buy/Sell Markers
🟢 Buy → Green upward arrow below the candle
🔴 Sell → Red downward arrow above the candle
✅ (B) VWAP Line on Chart
We also plot VWAP as a blue line to visualize trend direction.
✅ (C) Highlighting Volume Spikes
To easily spot HFT activity, we highlight volume spike bars with a blue background.
🔹 4. How to Use This Strategy?
1️⃣ Apply this script on a 1-minute or 5-minute intraday chart.
2️⃣ Look for BUY signals above VWAP and SELL signals below VWAP.
3️⃣ Verify that the volume spikes before taking action.
4️⃣ Use stop-loss & risk management (e.g., stop-loss at recent low/high).
🚀 Summary: Why This Strategy Works?
✅ VWAP ensures we follow institutional traders
✅ Volume spikes confirm sudden liquidity inflows
✅ Price jumps detect fast market moves caused by HFT bots
✅ Moving averages smooth out short-term trend shifts
오픈 소스 스크립트
진정한 트레이딩뷰 정신에 따라 이 스크립트 작성자는 트레이더가 기능을 검토하고 검증할 수 있도록 오픈소스로 공개했습니다. 작성자에게 찬사를 보냅니다! 무료로 사용할 수 있지만 코드를 다시 게시할 경우 하우스 룰이 적용된다는 점을 기억하세요.
면책사항
이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.
오픈 소스 스크립트
진정한 트레이딩뷰 정신에 따라 이 스크립트 작성자는 트레이더가 기능을 검토하고 검증할 수 있도록 오픈소스로 공개했습니다. 작성자에게 찬사를 보냅니다! 무료로 사용할 수 있지만 코드를 다시 게시할 경우 하우스 룰이 적용된다는 점을 기억하세요.
면책사항
이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.