Summary Data

End-of-Day and Intraday Summary Data

Liquidity Lamp Summary (LLS) is a end-of-day or intraday summary of Exegy Signum’s real-time Liquidity Lamp signal. It provides a summary of natural investors’ buying and selling activities. For each listed security it summarizes trading activity using reserve order types:

Volume – at bid, at ask, net (volume at bid – volume at ask), and total

Notional Value – at bid, at ask, net (volume at bid – volume at ask), and total

Volume Weighted Average Price – at bid, at ask, net (volume at bid – volume at ask), and total

Knowing that a CEO has just sold millions of shares or which particular stocks are favored by leading hedge fund managers can make or break retail investors and professional traders alike.

Tracking institutional order flow is a key use of LLS data, but the benefits don’t stop there. LLS fuels three long/short index strategies, that can be found here.