
The S2 team has studied the mechanisms of order routing and execution and has developed a set of complex mathematical real-time data transformations which allow the strategy to profit from opposing strategies.
The change in execution asymmetry leads to transformations which are the foundation of the S2 proprietary data analysis algorithms that monitor liquidity dynamics of the traded instrument. This allows for detection of “toxic” order flow.
Algorithms monitor liquidity dynamics based on the highest resolution intraday data and aim to spot precursors of liquidity events which causes them to switch to an “alert” state.
During this alert state (1-10 seconds), another set of algorithms analyse the ongoing event by using data streams which are provided by set of proprietary data preparation algorithms.
The system generates trades once certain liquidity dynamics patterns meet certain criteria.
S2 is a systematic high-to-medium-frequency sets of algorithms that trades US futures on the main market indices. It tracks the instant changes of the available liquidity and reaction to these changes, to take advantage of either an excess of liquidity supplied by buyers, or liquidity excess supplied by sellers. S2 focuses on market microstructure and liquidity changes caused by either recurring or unexpected liquidity events and utilizes holding periods ranging from 1 second to tens of minutes. The mathematical foundation of the S2 infrastructure consists of a series of specially developed data transformation algorithms, that take into account the non-ergodic character of the traded instrument dynamics (“memory”).
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S2 Inc. 2022
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