Quote Fuse is one of the real-time market data signals offered by Exegy’s Signum Signals-as-a-Service – one that accurately predicts imminent changes to the Level 1 quotes listed on the London Stock Exchange. To explain how the signal works, as how your firm can tailor it to enhance your individual strategies, Exegy has produced a Quote Fuse EMEA whitepaper available for download.
Originally developed for the US equities markets to predict the duration of NBBO-listed prices, Quote Fuse has been adapted to apply to a European Best Bid and Offer (EBBO) composed of the LSE, Chi-X, Aquis, and EBOE Europe BATS. (A sister signal, Quote Vector, predicts the direction of those next changes).
50 Milliseconds of Opportunity
Quote Fuse attaches a pair of probabilities to each EBBO quote for every LSE-listed equity — the probability that the bid price will change within the next 50 milliseconds, and the probability that the offer price will change within the same period. The Signum team settled on 50 milliseconds because our research has shown that about 70% of the daily volume of the FTSE 100 equities trades within the 50-millisecond run-up to an EBBO price change.
The Quote Fuse EMEA whitepaper explains how the signals generated by Quote Fuse can power a number of use cases, including matching engine optimization, sweeping scenarios, and posting strategies.
Tuning to Your Strategies
One feature of Quote Fuse is the ability to adjust the probability threshold at which the signal “fires.” One user may set low thresholds to capture a larger number of opportunities. Another might choose higher thresholds, which would capture fewer opportunities but with greater accuracy.
This customizability allows your firm to differentiate its strategies based on your own needs. The Quote Fuse EMEA whitepaper provides numerous examples of this capability, along with the data to back them up.
Want to know more about Quote Fuse’s power and how it can be used with your firm’s EMEA strategies? Fill out this form to receive our whitepaper; an Exegy team member will get back to you with the download.