Quote Fuse Whitepaper

Quote Fuse is one of the real-time market data signals offered by Exegy’s Signum Signals-as-a-Service – one that accurately predicts imminent changes to the National Best Bid and Offer (NBBO) prices for US-listed equities. Our Quote Fuse whitepaper shows how the signal can be used to forecast up to 70% of intraday trades in US equities. (A sister signal, Quote Vector, predicts the direction of those next changes).

50 Milliseconds of Opportunity

Quote Fuse attaches a pair of probabilities to each NBBO quote for every US listed equity — the probability that the bid price will change within the next 50 milliseconds, and the probability that the offer price will change within that period. This results in over 500 million signals a day.

The Signum team settled on 50 milliseconds because our research has shown that about half the daily volume of US-listed equities trade within the 50-millisecond run-up to an NBBO price change.

The Quote Fuse whitepaper explains how the signals generated by Quote Fuse can power a number of use cases, including matching engine optimization, sweeping scenarios, and posting strategies.

Tuning to Your Strategies

One feature of Quote Fuse is the ability to adjust the probability threshold at which the signal “fires.” One user may set low thresholds, in order to capture a larger number of opportunities. Another might choose higher thresholds, which would capture fewer opportunities but with greater accuracy.

This customizability allows your firm to differentiate its strategies based on your own needs—trading applications can set different thresholds, based on the stocks chosen, trading objectives, or time of day. The Quote Fuse whitepaper provides examples of this capability, along with the data to back them up. Want to know more about Quote Fuse’s power? Fill out this form to receive our Quote Fuse whitepaper; an Exegy team member will get back to you with the download.