Dataset Name: exegy_liquidity_lamp_summary_exchange
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 by Exchange
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 |