Dataset Name: exegy_liquidity_lamp_summary_10min
Group: altdata
Vendor: Exegy
Data Starts at: 2018-08-01 00:00:00
Data Currently Ends at: 2022-03-09 00:00:00, contact sales for full data set.
Symbol Set: US Equities
Asset Class: Equity
Data Update Time(s): Every 10m
Data Update Frequency: intraday
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 10min provides summary of reserve order buying and selling activity on a per-stock, per-market basis updated every 10 minutes. 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 |
| date | string | Date |
| start_time | string | Starting time |
| exchange | string | Exchange Identifier for the data source. This may contain the Market Identifier Code (MIC), or and exchange nmemonic (eg. NYSE, TSE, ASX...) or a dataset specific code provided by the data vendor. |
| bid_volume_filled | double | Bid Volume Filled |
| ask_volume_filled | double | Ask Volume Filled |
| bid_notional_value_filled | double | Bid Notional Value Filled |
| ask_notional_value_filled | double | Ask Notional Value Filled |
| 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 |
| bid_average_duration | double | Bid Average Duration |
| ask_average_duration | double | Ask Average Duration |
| total_average_duration | double | Ask Average Duration |
| bid_volume_replenished | double | Bid Volume Replenished |
| ask_volume_replenished | double | Ask Volume Replenished |
| bid_notional_value_replenished | double | Bid Notional Value Replenished |
| ask_notional_value_replenished | double | Ask Notional Value Replenished |