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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.

Daily Net Improvement for US Equities

The chart below reports the daily net price improvement that is achievable with a simple strategy that leverages Quote Vector.

Net Price Improvement for US Equities
  • Theoretical Net Gains (at 50% Threshold)

Use Cases

  1. Alpha Generation

    The XTP’s low latency, high throughput, and powerful price aggregation provide actionable information in microseconds, delivering more trading opportunities.

  2. Execution Quality

    Custom depth-of-book views and consistent speed under high trading volume give you a clear picture of available liquidity in time to act on it.

  3. Operational Risk Management

    Fewer systems in the data center, continuous monitoring and proactive management, and Reg SCI compliant systems reduce the worry of unexpected downtime.

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You Can’t Afford Not to Try it.

Ready to see how good predictive trading can be? Register to access free Quote Vector sample data and whitepapers.

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