In an earlier whitepaper, we described Exegy’s real-time Signum signal Quote Vector, which predicts the direction of the next price change to the National Best Bid and Offer (NBBO) for US-listed equities. In this Quote Vector price improvement whitepaper, we dig a little deeper into Quote Vector’s potential.
We show how Quote Vector offers the ability to achieve price improvement on most trades. We calculated the total of the traded value of those price improvements for US listed equities over a single year. That figure, called the Net Price Improvement (or “purse” for short): $2.3 billion.
Opening the Purse
Quote Vector’s predictive benefits can be reaped by both liquidity providers and liquidity takers to achieve price improvements. For example, a predicted increase to an offer price would prompt a liquidity taker to take immediately, before the price rises. Meanwhile, a liquidity provider would have reason to wait, to post at the next (higher) prices.
Our Quote Vector price improvement whitepaper outlines a number of trading scenarios, showing how accurate predictions can benefit both sides of trades, thus increasing that day’s purse. Over the 12 months we studied, the daily purse was always positive. Over 94% of symbols had a positive purse for each trading day during that period.
A Range of Use Cases
The Quote Vector price improvement whitepaper shows how the signal can be used by different market participants. For example, it details how a market maker could leverage the signal’s predictive accuracy to improve spread capture; how prop traders could rely on Quote Vector to allocate capital more profitably; or various ways in which agency brokers could use it to find opportunities for improving execution.
Intrigued? Want to know more about how to unlock Quote Vector’s potential? Read the whitepaper. Fill out the form below and an Exegy team member will contact you with the download.