ST. LOUIS – 21 January 2020 – Exegy Inc., the leading provider of low-latency market data solutions, historical market data solutions, and predictive analytics, has today announced the launch of a new website that provides daily reports on the performance and value of its Signum portfolio of real-time trading signals. One report estimates the net price improvement in U. S. equity trades that are achievable when using its Quote Vector signal that accurately predicts the direction of the next National Best Bid and Offer (NBBO) price movements. Daily estimates frequently exceed 10 million dollars, with annual estimates exceeding 2 billion dollars. Another report provides a daily top ten list of securities ranked on hidden order type activity on U. S. equity markets. “The new Signum site makes public what early adopters of our signals-as-a-service offering have already discovered to be true – our real-time trading signals are highly accurate and effective in boosting the performance of a wide variety of trading strategies,” says chief executive officer James O’Donnell.
In addition to estimating price improvement gains and highlighting dark order activity, the new site also 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. All of the graphical reports update daily. Several reports are interactive and provide 10 days of trailing history to highlight trends and abrupt deviations. Visitors who register on the site can download detailed whitepapers on each of the real-time trading signals in the Signum portfolio, as well as 10 days of historical data to begin an evaluation. Exegy is also able to provide up to two years of historical data where each NBBO quote includes six signal values.
In a typical trading day for U. S. equities, there are one billion changes to the National Best Bid and Offer prices. For each NBBO quote, Signum generates six signals resulting in over six billion signals per day for U. S. equities. Signum signals are generated in under a microsecond in Exegy’s hardware-accelerated Ticker Plant appliances. Signal computations occur in parallel with the other data normalization, enrichment, and filtering operations performed by the appliance. “Our data science innovations were guided by three goals: identifying signals that improved latency-sensitive trading strategies, developing predictive models that were highly accurate, and designing low-latency signal computation engines that leveraged massively parallel processing platforms,” says chief technology officer David Taylor.
Exegy Ticker Plant appliances append Signum signals to normalized update events that are distributed to subscribed applications. Through the Exegy Client API (API), trading applications receive predictive signals along with normalized market fields such as NBBO prices, sizes, and timestamps. Synchronously delivering predictive trading signals with low-latency market data differentiates Exegy’s Signum offering from other alternative data and trading signal offerings. “We believe Signum represents the future of real-time market data. Premier market participants will demand that their data be predictive, in addition to fast, content-rich, and resilient,” adds Taylor.
In addition to demonstrating the potential value to new users, the Signum website is an essential part of the Signals-as-a-Service user experience. Exegy uses the site to deliver daily reports on the accuracy of signals in the portfolio, along with other technical indicators intended to assist users in developing new trading strategies. In addition to standard reports, users can specify custom reports that are updated daily and optionally emailed to them. Within the next month, Exegy plans to offer these on-demand reporting capabilities to prospective Signum clients who register at the new website.
Exegy is actively expanding the Signum portfolio to other asset classes. U. S. equity options and European equities are currently under development. The set of signals in the portfolio is also expanding, adding more predictions to every market data update in real-time. “There are two key themes to our new signal development efforts – stretching the time horizon of our predictions well beyond the next quote and greatly expanding our quantitative characterization of market microstructure,” says director of quantitative research Andy Lee. “The trove of market microstructure metrics that we are producing will make Signum useful to a much broader set of trading strategies, including those that trade far less frequently,” adds Lee.
About Exegy®, Inc.
Exegy provides real-time market data solutions, predictive trading signals, and historical data solutions to elite firms in the financial services industry. Today Exegy serves as a strategic partner to leading principal traders, agency brokers, exchanges, Alternative Trading System (ATS) and dark pool operators, market makers, hedge funds, and asset managers. At the heart of Exegy solutions are purpose-built, hardware-accelerated appliances derived from an extensive portfolio of patented and patent-pending technology. All solutions are delivered as a fully managed service backed by a global team of experts and state-of-the-art infrastructure. Learn more about the Signum portfolio of real-time trading signals at www.exegy-signum.com. Exegy promotes the design of robust electronic markets through its MarketDataPeaks service that reports real-time market data feed rates.