Timing is everything
Knowing whether a price is stable or about to change is powerful. Optimize your fills and squelch your risk with Quote Fuse’s real-time predictions of quote price stability.
Forecast 70% of intraday flow
The majority of intra-day trades occur during the prelude to a quote price change. Signum’s accurate prediction of imminent quote price changes - Quote Fuse - allows execution strategies to reliably target pools of available liquidity.
Crowding the fill
The chart below shows the relative volume of trades that occur less than 50 milliseconds before a change in the National Best Bid and Offer (NBBO) price for US equities – up to 70% of the intraday volume.
Intraday Liquidity Forecasted by Quote Fuse
of intraday volume is traded in the 50 millisecond prelude to a new quote price
- Signaled Liquidity
- Not Signaled Liquidity
Sweeping is hasty – execute smarter
Plug your information leak. Hit the right liquidity pools at the right time. Improve prices, avoid slippage, and boost fill rates with Quote Fuse. Transform your order bombs into precision-guided missiles.
Know when to go dark
Gain price certainty for larger executions with Quote Fuse. When Quote Fuse reveals that lit market prices are stable, take liquidity in dark markets before taking visible liquidity with market impact.
Transform slippage risk into price improvement opportunity
Reliably take the best price now or a better price in microseconds. Quote Fuse provides accurate predictions of when the next quote price movement will occur with every market data tick. When combined with our Quote Vector signal, you trade with a complete prediction of quote price dynamics.
Avoid stale prices and toxic trades
Dive into real liquidity pools rather than dry mirages or shark-infested waters. Quote Fuse can be used to identify stale quotes on remote markets. Our research also shows that combining these predictions with venue identifiers helps identify toxic trading conditions such as artificial spread compression. Read our whitepapers to learn more.
Enable new order types
The competition for liquidity is fierce. Distinguish your venue with Signum-enabled order types that differentiate the quality of your fills from the pack.
Dial in your desired accuracy
Quote Fuse delivers a new prediction of bid and offer price stability on every real-time quote event. Specifically, the prediction is a pair of probability values – one for the bid and one for the offer. Each value is the probability that the price will change in less than 50 milliseconds. You select the right probability thresholds upon which to act.
Consistency is key
The chart below reports the accuracy of price change predictions relative to various threshold values. As you can see, choosing a threshold is akin to choosing your accuracy. Dial in the right values for your new Signum strategy.
- Accuracy Thresholds