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exegy_liquidity_lamp_summary_exchange by Exegy

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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