Exegy wins this year’s award for Best Real-Time Data Initiative for Signum, its portfolio of real-time trading signals designed to optimize the performance of agency execution and principal trading applications.
With a background in providing technology and managed services for the normalization and distribution of real-time market data, Exegy has positioned Signum as a Signals-as-a-Service offering driven by machine learning technology. The set of signals—presently for the US equities markets—includes the real-time detection of reserve orders, estimation of reserve order volume, predictions of price durations and next‑tick direction.
Signum delivers signals for all securities synchronously to real-time market data events, which results in millions of signals being produced every day that provide opportunities for firms to capture new alpha and to improve execution quality, says David Taylor, Exegy’s CTO. Exegy has built up a team of data scientists and engineers and has invested years in developing the service.
The signals include Signum Liquidity Lamp, which detects and tracks concentrations of execution activity driven by the presence of reserve or iceberg order types, and Signum Searchlight, a companion signal that enables trading applications to respond to the Liquidity Lamp signal and correctly predicts liquidity pool size 75–80% of the time. These signals are useful for smart order router applications to improve fill rates and execution quality, and liquidity-seeking algorithms that target multiple levels of a price book.
Other signals include Signum Quote Fuse, which predicts the duration of the national best bid and national best offer prices when a new price is established—specifically, it predicts whether a price will change sooner or later than a configured threshold—and Signum Quote Vector, which predicts the direction of the next change to the national best bid and national best offer prices. As a fully managed solution, Exegy delivers reports on signal performance to users via a web portal.
Looking ahead, Taylor says Exegy will expand its signal portfolios and apply them to new asset classes, including derivatives and foreign exchange.
“We have invested a lot of time to get the data science and machine learning working for US equities, and taking this to other asset classes will require mainly a retraining of the models to make the signals work in those markets,” says Taylor. “We are also working on signals for longer time horizons based on the output of the real-time signals. We have seen demand for this, particularly from buy-side clients that have longer holding periods and want us to make longer-term predictions.”
The founder and CEO of Imperative Execution looks at how trade execution is changing and what that means for the buy side.Subscribe to Weekly Wrap emails
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