Exegy Enhances Iceberg Order Detection Tool with Intraday Data
St. Louis, New York – Feb 29th, 2024 – Exegy, a leading provider of market data and trading technology for the capital markets, today announces the addition of intraday signals to its AI-powered iceberg order detection offering, Liquidity Lamp. Quantitative traders can now have visibility on the volume of iceberg orders throughout the day using summary files delivered every ten minutes.
Liquidity Lamp offers a distinct perspective on US equities trading, effectively filtering out the ‘noise’ created by retail and high-frequency trading (HFT) activities. These summarized updates on iceberg trading activity are delivered as a CSV file via a cross- connect at the NY4 data center or to an AWS S3 bucket of your choice.
Institutional investors skillfully handle large volumes of trades by using exchange-native iceberg orders, and the ability to monitor these transactions can reveal hidden opportunities for alpha.
Until now, Liquidity Lamp offered firms the choice between real-time and end-of-day signals. With the introduction of intraday files, Liquidity Lamp enables quant traders to make data-driven decisions while the iceberg trades are occurring and ahead of market close, saving them significant time and allowing traders to react to opportunistic trades in real-time.
Andy Lee, Director of Quantitative Research at Exegy, explained: “Institutional iceberg orders can significantly influence prices, creating lucrative opportunities for adept traders.” He continues, “My team of quants published a whitepaper demonstrating Liquidity Lamp Intraday’s impact by highlighting how a well-known statistical arbitrage strategy can use iceberg order detection to significantly improve on itself and consistently beat the S&P 500 index (SPY).”
Using data backdated to 2018, Exegy’s in-house quant team created an experimental model they called Nitro. This model used a mean reversion strategy to create a baseline alpha. After teasing out predictive features from the Liquidity Lamp Intraday data, their Nitro model outperformed the baseline alpha and the S&P 500 tracking ETF, SPY, by 10.5% and 31.8% over the final year of its out of sample testing. In addition, it consistently achieved low volatility returns.
David Taylor, CEO of Exegy, said “Liquidity Lamp Intraday is a novel dataset for systematic trading. Using this data, quantitative traders will be able to seize trading opportunities that conventional models might have missed or considered too risky.”
This intraday volume signal, which is derived using Exegy’s proprietary iceberg order detection algorithm based on US Equities market data from the Exegy Ticker Plant, enables traders to:
- Uncover institutional order flows.
- Reveal informed investor actions.
- Provide insights into price impact dynamics.
- Optimize portfolio positioning.
- Respond promptly to unusual institutional volume.
- Enhance predictive models and overall market responsiveness.
Providing Liquidity Lamp data at intraday intervals delivers cost-effective access to aggregation and counts of iceberg trades for every symbol traded in the US equities, identifying unique insight into the presence of any active iceberg orders. Traders will be able to spot hidden liquidity to optimize their strategies and identify new trading opportunities that incorporate data that traditional models might not otherwise capture.
Taylor continued, “This dataset represents an opportunity for the quant trading community to elevate their strategies with a unique view on intraday institutional trading activity. Its integrations into sophisticated models by early adopters is both intriguing and inspiring.”
As the availability of AI and machine learning-driven trading signals increases, Exegy will continue to provide the trading community with invaluable, next-gen tools for alpha-generation.
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Editorial contacts:
Alla Lapidus / Chrissa Diakanastasis
Moonlight IQ
Email: exegy@moonlightiq.com
Tel: +44 (0) 20 7250 4770
About Exegy
Exegy is a global leader in intelligent market data, advanced trading and execution systems, and future-proof technology and infrastructure. Backed by Marlin Equity Partners, Exegy serves as a strategic partner to the complete ecosystem of the buy-side, sell-side, exchanges, and ISV/technology firms around the globe.
