Derived Data

We've done the data engineering so you don't have to

BESPOKE ANALYTICS LIKE YOU'VE NEVER HAD BEFORE

We’ve solved your key technical challenges: too much noise in non-normalised data,
large data sets, legacy infrastructure, no quant resource, execution performance

We transform granular LOB data and deliver actionable value-add data sets direct to your production environment
We have engineered a collaborative framework for completely customizable time-series data sets
Computed by us using the most granular tick-by-tick data to unlock the true value of the order book, delivered to you in a range of market standard formats
We do the heavy lifting so you can focus on the analysis

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Auction Dislocation

The price change between the end of the continuous trading period and the end of the closing auction.

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Order Resting Time

The minimum and mean resting times that an order placed at a given price level stays on the book before it is filled or cancelled.

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Fill Probability

The probability that an order will be filled within 60 seconds at a particular price level.

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Order Imbalance

The imbalance of the number of buy and sell orders for a security at a given time.


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Quote-to-Trade Ratio

The ratio of order book messages to aggressive executions.

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Volume Imbalance

The imbalance of buy and sell order sizes for a security at a given time.

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Sweep to Fill

The depth of the book required to fill an order of a given dollar volume.

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Market Impact

The average price impact of a trade.


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OTC Volume

Volume traded Over-The-Counter.

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OHLCV

Open, High, Low, Close, Volume.

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VWAP

Volume-Weighted Average Price.

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Volatility

Historical volatility of returns over a given period.

Sample Data & Supporting Docs
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