Liquidity Lamp Summary provides a summation of all orders tagged as “iceberg” (or reserve) orders as detected and tracked by Exegy.
Exegy developed Liquidity Lamp, a real-time signal that identifies individual orders that are part of a larger iceberg order, immediately flagging replenishments when they appear in the queue.
The summary data from this signal is available for both intraday (10-minute) and end-of-day intervals. The product is a CSV file where each row contains data for one symbol. For each listed security it summarizes trading activity using reserve order types:
Volume – at bid, at ask, net (volume at bid – volume at ask), and total
Notional Value – at bid, at ask, net (volume at bid – volume at ask), and total
Volume Weighted Average Price – at bid, at ask, net (volume at bid – volume at ask), and total
Iceberg orders are used by non-retail investors to move large sums of volume discreetly. It is estimated that large institutional orders represent up to one-third the daily volume of the New York Stock Exchange (NYSE). Start identifying hidden liquidity with Signum’s Liquidity Lamp Summary, availably daily or as intraday data.
Stay ahead of Form 13F and Form 4 regulatory filings. With Liquidity Lamp’s daily summary data on reserve order activity, your information will always be fresh and actionable. LLS provides real-time institutional sentiment through transparent views of their buying and selling activities.
In addition, Exegy’s Signum data science team continues to work with our Liquidity Lamp Summary Data, finding new uses for it. In particular, our research has shown that the summary data can be used to predict the directionality of US equities and can form the basis for algorithms that create unique, uncorrelated alpha.
To learn how your team can use Liquidity Lamp Summary data to enhance your strategies with predictive power, fill in the form for a free consultation or request demo data.