The current set of signals for the US equities markets includes real-time detection of reserve orders, estimation of reserve order volume, estimation of price durations and next tick direction. Unlike traditional signals (e.g. earnings estimators), Signum delivers millions of signals every trading day that represent opportunities to capture new alpha and to improve execution quality. For example, a day of historical data for the Quote Fuse signal typically contains over five million entries and 1.5 gigabytes of information.
Liquidity Lamp is a real-time signal alerting the presence of reserve (iceberg) orders. The signal detects and tracks reserve orders from at the top of book at exchanges and tracks it's life as it moves within the price-book. Detection of iceberg orders are per symbol at each venue. Tracking of iceberg orders at all levels of the order/price book. A complimentary signal, "Searchlight", estimates the size of each reserve order.
Quote Fuse predicts the duration of the National Best Bid and National Best Offer (NBBO) prices for US securities. Specifically, Quote Fuse predicts if a best price in the National Market System (NMS) for US securities will change faster (short fuse) or slower (long fuse) than two milliseconds from the time it is posted. Some key features of Quote fuse:1) Delivers probabilities on every NBBO pricechange, rather than firing Boolean signals on a subset of NBBO price changes2) Delivers equivalent accuracy on both “crumbling” and improving price changes 3) Is directly available to user applications, rather than enabling specific order types on a single market 4)Quote Fuse can be generated from proprietary (direct) exchange feeds or the Securities Information Processor (SIP) feeds, enabling users to minimize associated market data fees from exchanges.
Signum’s Quote Vector predicts the direction of the next change in the National Best Bid & Offer (NBBO) price for all securities that trade in the National Market System (NMS). Quote Vector delivers probability estimates of the directional next change in quote price. Probabilities are generated for the bid and offer independently. Quote Vector provides you with an edge by delivering predictions on every quote (millions per day on the entire U.S. equities universe).
A companion signal to Liquidity Lamp, Searchlight predicts the size of iceberg orders at the moment it is detected by the Liquidity Lamp signal. The alert creates opportunities to engage with large pools of liquidity which otherwise may have been ignored. A binary predictive model with an average accuracy of 77.6% with a tight standard deviation of 1.9% over a two-month test period. No volatility in a volatile market: Searchlight was tested during days of low and high market volatility and proved to remain highly predictive with a tight range of accuracy. The models overall range of 4.2% had a peak to trough accuracy of 80%-75.8%. This consistency was observed for predicting both Large and SMID liquidity pools.