  Working on different aspects of algorithmic trading we empirically discovered
a new market invariant. It links together the volatility of the instrument with
its traded volume, the average spread and the volume in the order book. The
invariant has been tested on different markets and different asset classes. In
all cases we did not find significant violation of the invariant. The formula
for the invariant was used for the volatility estimation, which we called the
instantaneous volatility. Quantitative comparison showed that it reproduces
realised volatility better than one-day-ahead GARCH(1,1) prediction. Because of
the short-term prediction nature, the instantaneous volatility could be used by
algo developers, volatility traders and other market professionals.
