Price Prediction Power

Quote Vector appends probabilities of next bid and offer price direction to every NBBO price quote for every US listed equity, resulting in over 500 million signals per day. For each application a trading threshold can be set controlling when the signal is fired and a prediction is made, allowing your firm to control the ratio of signal accuracy to frequency.  

Knowing the direction of price changes to the NBBO can inform a broad range of trading strategies. Our Signum team incorporated predictive signals to create a Predictive VWAP Best Execution Algorithm that can help improve slippage, fill rates, and price impact. Up to $2.3 billion in improved trading results can be gleaned from Quote Vector.  

We’ve designed Quote Vector as a “white-box” solution using transparent machine learning methods that allow us to track, update, and re-train models. This transparency also allows our clients to remain compliant with regulatory bodies. Quote Vector can be used with Quote Fuse and Liquidity Lamp to heighten returns and insights on price prediction.  

Click here to read our whitepapers on Quote Vector and its derived strategies. 

Achieve over $2 Billion in annual price improvements

Signum’s accurate predictions of next quote price direction – Quote Vector – and the time until the next quote price change – Quote Fuse – allows execution algorithms to consistently reap handsome returns. How handsome? Millions of dollars per day and over two billion dollars per year are achievable in the US equities market.