Data Feed: Precision Market Microstructure Data

Use case: Answers key questions:

• "How much did we trade on Venue X?"
• "What liquidity are we missing?"
• "Are we gaining or losing market presence?"

Features: Filter by exchange, trade category, addressability, and more.

Use case: Benchmark your footprint across venues and trade categories.

• Metrics: Volume, notional, trade count by exchange, category, and more.
• Why it matters: Identify shifts in market structure, detect anomalies, and quantify your relative impact.

Use case: Ideal for macro research, market structure analysis, and exchange evaluation.

• Coverage: Multi-venue, normalised views with consistent classification.
• Clients: Adopted by market makers and exchanges for strategic insight.

Use case: High-dimensional, deep-dive analysis for model calibration and historical POCs.

• Clients: Internal research desks with strong data engineering capacity.

Use case: Feed execution models with pre-trade liquidity signals.

• Metrics: Available upon request; works well in conjunction with volatility/spread sets.

Use case: Clean, daily signals for market condition modelling.

• Note: Subset of Daily Aggregation optimised for ease-of-use.
• Recommended for: Statistical arbitrage, transaction cost analysis (TCA), and adaptive models.

Frequency: Default 5-minute; 1-minute available on select venues.

• Use case: Intraday liquidity curve modeling, smart order routing calibration.
• Metrics: Aligned with Market Share set and perfect for time-slicing and curve fitting.

Use case: Analyse quote behaviour, EBBO dynamics, and pricing efficiency. Strong potential for market-making and quote prediction models.

• Components: Mid prices, bid/ask spreads, quote volatility, OHLC on mid.

Use case: Research order book dynamics and liquidity resilience.

• Frequency: 5-minute snapshots with notional, volume, and more.
• Complexity: High, but extremely rich; best suited for advanced modelling teams.