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exegy_liquidity_lamp_summary_10min_deprecated by Exegy

Dataset Name: exegy_liquidity_lamp_summary_10min_deprecated

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

Important Dataset Notes

This dataset is not available for direct online purchase. Please contact sales directly at 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.