Quote Vector, part of Exegy’s portfolio of Signum Signals-as-a-Service, predicts the direction of the next price change to the European Best Bid and Offer (EBBO) for London Stock Exchange-listed equities with accuracies of up to 84%. We’ve published a Quote Vector EMEA whitepaper showing how the signal can be used to improve the price of trades in LSE-listed equities.
Originally developed to predict the direction of NBBO price changes in US equities markets, Quote Fuse has been adapted to apply to a EBBO composed of the LSE, Chi-X, Aquis, and EBOE Europe BATS. (A sister signal, Quote Fuse, predicts whether EBBO price changes will occur within the next 50 milliseconds).
Tracking Improving and ‘Crumbling’ Quotes
Quote Vector attaches a pair of probabilities to each EBBO quote for every LSE listed equity — the probability that the next change to the bid price will be up, and the probability that the next change to the offer price will be up (the probabilities that the next changes to those prices will be down are seen as complements of the “up” numbers). Quote Vector generates over 500 million signals a day.
The machine-learning model underlying this signal of improving or “crumbling” quotes has been found to generalize well across market conditions, stock sector, and market capitalization. Our Quote Vector EMEA whitepaper breaks down its performance and explains why the signal is consistently better at predicting improving prices.
Using Thresholds to Customize
It’s possible to customize the Quote Vector signal to “fire” – make a directional prediction – when the probability exceeds a preset threshold. One trading application may have a threshold that delivers more frequent signals, while another might have one that results in fewer signals with higher accuracy. Our Quote Vector EMEA whitepaper explains in more detail how to do this.
Ready to learn more about Signum’s Quote Vector? Read the whitepaper. Simply fill out this form and an Exegy team member will send you a download.