Exegy has incorporated intraday signals into its AI-powered iceberg order detection tool, Liquidity Lamp. By adding intraday data to a baseline mean reversion strategy, Exegy’s model outperformed the baseline by 10.5% and the S&P 500 (SPY) by 31.8%, respectively in the out-of-sample testing.
Exegy has incorporated intraday signals into its AI-powered iceberg order detection tool, Liquidity Lamp. With this update, the premier provider of market data and trading technology is enabling quantitative traders to track the volume of iceberg orders with updates every ten minutes.
Liquidity Lamp, known for its unique insights into US equities trading, filters out the distractions of retail and high-frequency trading activities. The updates are provided in CSV format and can be accessed via a cross-connect at the NY4 data center or through an AWS S3 bucket.
The tool is particularly useful for institutional investors who engage in large-volume trades through exchange-native iceberg orders. Being able to monitor these orders as they happen can unveil hidden alpha opportunities.
Previously, Liquidity Lamp offered real-time and end-of-day signals. The new intraday updates allow traders to make informed decisions during trading hours, enhancing their ability to respond to market movements swiftly.
Iceberg order detection for statistical arbitrage strategies
Exegy’s differentiated Liquidity Lamp Summary – Intraday (LLSi) dataset uncovers these order types and alerts the client to new alpha-generating opportunities. LLSi can help manage market volatility, reduce risk, and optimize your execution strategies – so clients can better capture alpha.
A whitepaper published by Exegy’s quant team demonstrates how the Liquidity Lamp Intraday can enhance statistical arbitrage strategies, outperforming the S&P 500 index.
The document discusses an experimental model named Nitro, developed using data from 2018. This model employs a mean reversion strategy and, with the aid of Liquidity Lamp Intraday data, outperformed its baseline alpha and the SPY ETF by considerable margins, all while maintaining low volatility.
As to results, by adding the LLSi dataset to a baseline mean reversion strategy, Exegy’s model outperformed the baseline by 10.5% and the S&P 500 (SPY) by 31.8%, respectively in the out-of-sample testing. The model also proved resilient to volatility with overall lower maximum drawdowns compared to both the baseline model and the SPY.
Andy Lee, Director of Quantitative Research at Exegy, explained: “Institutional iceberg orders can significantly influence prices, creating lucrative opportunities for adept traders. My team of quants published a whitepaper demonstrating Liquidity Lamp Intraday’s impact by highlighting how a well-known statistical arbitrage strategy can use iceberg order detection to significantly improve on itself and consistently beat the S&P 500 index (SPY).”
David Taylor, CEO of Exegy, said: “Liquidity Lamp Intraday is a novel dataset for systematic trading. Using this data, quantitative traders will be able to seize trading opportunities that conventional models might have missed or considered too risky.”
