Exegy, a provider of low-latency market data solutions and predictive analytics, has released a new website providing daily reports on the performance and value of its Signum portfolio of real-time trading signals.
One report estimates the net price improvement in US equity trades that is achievable when using Exegy’s Quote Vector, which accurately predicts the direction of the next National Best Bid and Offer (NBBO) price movements. Another provides a daily top 10 list of securities ranked on hidden order type activity on US equity markets.
In addition to estimating price improvement gains and highlighting dark order activity, the site quantifies the liquidity forecasting capability of Signum’s Quote Fuse signal – a prediction of imminent change (or near-term stability) of NBBO prices. Another report on the site shows that up to 70% of intraday execution activity can occur when Quote Fuse signals an imminent price change. The graphical reports update daily and several are interactive, providing 10 days of trailing history to highlight trends and abrupt deviations.
“The new Signum site makes public what early adopters of our Signals-as-a-Service offering have already discovered – our real-time trading signals are highly accurate and effective in boosting the performance of a wide variety of trading strategies,” says Exegy CEO James O’Donnell. Signals-as-a-Service delivers daily reports on the accuracy of signals in the portfolio, along with other technical indicators intended to assist users in developing new trading strategies. Within the next month, Exegy plans to offer these on-demand reporting capabilities to prospective Signum clients that register on the new website.
David Taylor, chief technology officer, explains that on a typical trading day for US equities there are one billion changes to NBBO prices. For each NBBO quote, Signum generates six signals resulting in over six billion signals per day for US equities. Signum signals are generated in under a microsecond in Exegy’s hardware-accelerated ticker plant appliances. He adds: “Our data science innovations were guided by three goals: identifying signals that improve latency-sensitive trading strategies, developing predictive models that are highly accurate, and designing low-latency signal computation engines that leverage massively parallel processing platforms.”
Beyond trading signals for US equities, Exegy is expanding the Signum portfolio to other asset classes with US equity options and European equities under development. The set of signals in the portfolio is also being expanded, adding more predictions to every market data update in real-time.