Get the edge over the competition through access to the predictive insights hidden within the order book without having to ingest the full depth orderbook. Deploy statistically relevant alpha generation metrics directly to your strategies.
— Use the metrics to develop new low and mid frequency trading strategies
— Use the metrics as benchmarks for back testing
— Create metrics that feed into back testing simulators
— Create order routing algorithms that find optimal liquidity and execute effectively
Typical metrics: Order placement statistics, Order fill behaviour, Auction analysis, Trade quality, Depth liquidity, Spread metrics.
Visualising these metrics helps to understand the state of the market, and thus the ideal market position or strategy. The US market moved from a passive state pre COVID-19 (long order resting time, smaller executions and tighter spreads) to an aggressive state post COVID-19 (shorter resting times, larger executions and wider spreads), highlighting that the opportunity cost of not trading outweighed the cost of doing transactions.