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exegy_liquidity_lamp_summary

exegy_liquidity_lamp_summary by Exegy

Dataset Name: exegy_liquidity_lamp_summary


Group: altdata
Vendor: Exegy
Data Starts at: 2018-03-28 00:00:00
Symbol Set: US Equities
Asset Class: Equity
Data Update Time(s): 3:00 AM EST
Data Update Frequency: day

Exegy Liquidity Lamp Summary Top Level

Detecting hidden order flow including iceberg orders and other institutional algorithmic orders is a trading signal that every serious investor should be paying attention to regardless of investment horizon.

Liquidity Lamp is from the Signum portfolio of real-time signals. It detects and tracks reserve orders on US stock exchanges. Liquidity Lamp Summary is a daily summary of reserve order buying and selling activity on a per-stock, per-market basis. This provides a focused view of informed investors who use iceberg orders to deftly move large volumes of shares and is far timelier than scouring quarterly Form 4 and Form 13F regulatory filings. Liquidity Lamp Summary can enhance the performance of a broad range of quantitative strategies including long/short strategies both on the individual symbol level as well as at the index level.

Data Contained in this Dataset

Column Type Description
_seq uint Internal sequence number used to keep data rows in order
timestamp string Timestamp of the Data - America/New York Time.
muts uint64 Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps.
symbol string Trading Symbol or Ticker
bid_dark_vol int Bid Dark Vol
ask_dark_vol int Ask Dark Vol
total_dark_vol int Total Dark Vol
net_vol int Net Vol
bid_notional_val double Bid Notional Val
ask_notional_val double Ask Notional Val
total_notional_val double Total Notional Val
net_notional_val double Net Notional Val
VWAP_bid double Volume Weighted Average Price Bid
VWAP_ask double Volume Weighted Average Price Ask
bid_number_of_events int Bid Number Of Events
ask_number_of_events int Ask Number Of Events
total_number_of_events int Total Number Of Events


Important Dataset Notes

This dataset is not available for direct online purchase. Please contact sales directly at sales@CloudQuant.com. The data is available through our normal sales department who can provide you with current pricing and a quote for accessing this valuable dataset. This may be due to a number of reasons such as dataset intended use, size of the company (or investment fund) using the dataset, or for simple legal requirements that CloudQuant needs to ensure are in place prior to licensing the dataset to you.