Trading infrastructure provider Exegy has added intraday signals to its AI-powered iceberg order detection offering, Liquidity Lamp.
The development will offer quantitative traders visibility on the volume of iceberg orders throughout the day using summary files delivered every 10 minutes.
Exegy claims that Liquidity Lamp offers a distinct perspective on US equities trading, helping filter out the ‘noise’ created by retail and high-frequency trading (HFT) activities.
Summarised updates on iceberg trading activity are provided as a CSV file via a cross-connect at the NY4 data centre or to a chosen AWS S3 bucket.
The addition of intraday files to Liquidity Lamp allows quant traders to make data-driven decisions while iceberg trades are happening and ahead of market close, reducing time spent while also allowing traders to react in real-time to opportunistic trades.
“Liquidity Lamp Intraday is a novel dataset for systematic trading,” said David Taylor, chief executive of Exegy.
“Using this data, quantitative traders will be able to seize trading opportunities that conventional models might have missed or considered too risky.”
The intraday volume signal will enable traders to uncover institutional order flows, reveal informed investor actions and provide insights into price impact dynamics.
Traders will also be able to optimise portfolio positioning, respond to unusual institutional volume promptly, and enhance predictive models and market responsiveness.
“This dataset represents an opportunity for the quant trading community to elevate their strategies with a unique view on intraday institutional trading activity,” continued Taylor.