Liquidity Lamp Whitepaper

Liquidity Lamp is one of the real-time signals in Exegy’s Signum Signals-as-a-Service. It’s a useful tool for identifying the presence of reserve (or “iceberg”) orders, the means by which institutional investors trade large blocks of stocks. Our Liquidity Lamp whitepaper presents evidence of the signal’s effectiveness, and its potential value to liquidity-seeking strategies.

Reserve orders account for a large part of the average daily volume in US blue chip stocks; up to a third of the total volume on the New York Stock Exchange is traded via reserve orders.

Counting the icebergs

Our Liquidity Lamp whitepaper explains how iceberg orders are generally distributed on the various US exchanges and how that helps our team seek out patterns of trading activity that can point to a reserve order.

We’ve found that the window of opportunity to act on an identified iceberg is large enough to make it valuable to a variety of market participants, opening up many potential use cases for the signal.

Letting Liquidity Lamp light the way

Some of the use cases are outlined in the Liquidity Lamp whitepaper: Enhancing smart order routing (SOR) applications; allowing liquidity-seeking algos to be more aggressive; and gauging the interest and momentum of natural investors.

As an example, we show you how large reserve order executions of Amazon stock detected by Liquidity Lamp could be matched up with information from subsequent SEC Form 4 filings by the company’s CEO Jeff Bezos.

Ready to start your iceberg hunt? Read the whitepaper. Fill out the form and a representative from Exegy will be happy to respond with a download. Once you’ve read it, there’s more in-depth Liquidity Lamp material to explore. Read about how the end-of-day summary data generated by the signal can be used to create sophisticated trading strategies. We have whitepapers outlining a defensive strategy  and a more aggressive approach we call Octane.