Post date: 2024-01-09 14:20:02 GMT
A Revolutionary Tool for Anticipating Market Movements
New York, January 9, 2024 - AbleMarkets, a leading provider of market microstructure data and insights, is pleased to announce the launch of its newest product, AbleSlice Hourly Liquidity Monitoring. This groundbreaking tool provides market participants with valuable insights into the liquidity dynamics of the market, enabling them to anticipate potential price movements and optimize their trading strategies.
AbleSlice Hourly Liquidity Monitoring offers a comprehensive analysis of buy and sell liquidity levels in the hours leading up to significant market returns. By examining the behavior of liquidity changes, both positive and negative, within two distinct timeframes (2-5 hours ahead and 1 hour ahead of significant market movements), AbleSlice identifies patterns that can inform trading, execution, and market-making strategies.
In the 2-5 hours ahead timeframe, AbleSlice's analysis reveals significant insights for market participants. For negative hourly returns (< -1%), the autocorrelations of changes in both buy and sell liquidity are found to be significant and positive. Additionally, the average changes in buy liquidity for the previous 5 hours are positive, while the average changes in sell liquidity for the previous 5 hours are negative. These findings suggest that buy liquidity is provisioned by market makers to meet sellers' demand and is accumulated over time to minimize market discovery.
In the same 2-5-hour timeframe, significant positive returns (> 1%) show a persistent occurrence of the following patterns: the average changes in sell liquidity are positive over the preceding 3-10 hours, and the autocorrelation of changes in both buy and sell liquidity is negative, indicating that the later changes in liquidity are turning signs. This reveals that the accumulated sell liquidity is becoming eroded by a significant buy order flow, which ultimately leads to an increase in market value.
Further analysis focusing on the 1-hour timeframe before significant hourly returns confirm the usefulness of AbleSlice Hourly Liquidity Monitoring. Immediately prior to hourly returns dropping by 1% or more in 1 hour, both the 5-hour autocorrelation and average changes in buy and sell liquidity show key patterns. The autocorrelation for buy liquidity averages 10%, while for sell liquidity, it averages 14%. Moreover, the average changes in buy and sell liquidity are negative, indicating an active consumption of buy liquidity by large sell orders.
Conversely, immediately before a sharp rise in hourly returns, the 5-hour average changes in sell liquidity are positive, despite the negative autocorrelation. This signifies the erosion of sell liquidity by a large buy order, which will impact the market price in the near future.
"The launch of AbleSlice Hourly Liquidity Monitoring marks another milestone for AbleMarkets in delivering cutting-edge market microstructure data and insights," said Irene Aldridge, President and Managing Director of AbleMarkets. "This product provides market participants with a unique advantage by enabling them to understand and anticipate liquidity dynamics, ultimately optimizing their trading strategies and capitalizing on market opportunities."
AbleSlice Hourly Liquidity Monitoring is powered by the extensive market microstructure expertise and advanced Artificial Intelligence (AI) techniques employed by AbleMarkets. This ensures that clients have access to accurate estimates of changes in buy and sell liquidity across a wide range of markets, including equities, commodity futures, foreign exchange, and cryptocurrencies.
With comprehensive historical data available from January 1, 2022, AbleSlice Hourly Liquidity Monitoring offers a holistic view of liquidity dynamics. Combined with real-time data capabilities, this empowers execution managers to adapt swiftly to changing market conditions and make informed trading decisions.
To learn more about AbleSlice Hourly Liquidity Monitoring and its capabilities, please visit https://app.ablemarkets.com/ableslice.
About AbleSlice: AbleSlice, a product by AbleMarkets, revolutionizes execution management by providing unique microstructure-based datasets that enable more effective order slicing and comprehensive insights into market conditions. Leveraging deep market microstructure understanding and state-of-the-art AI techniques, AbleSlice delivers accurate estimates of changes in buy and sell liquidity across a wide range of markets. Offering historical and real-time data capabilities, AbleSlice empowers execution managers to optimize order slicing and capitalize on market opportunities.
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About AbleMarkets: AbleMarkets is a leading provider of market microstructure data and insights. Leveraging decades of industry experience and cutting-edge technology, AbleMarkets delivers comprehensive datasets and analytics to empower traders, risk managers, and economists. By analyzing and interpreting market microstructure, AbleMarkets equips market participants with the knowledge and tools necessary for informed decision-making.
For more information about AbleMarkets, please visit https://app.ablemarkets.com/.
DISCLAIMER: AbleMarkets expressly does not take any responsibility for any profitability or losses incurred in association with AbleMarkets products. All the risks of using AbleMarkets data are borne strictly by the investors and data licensors. Past performance does not guarantee future results. Additional Terms and Conditions apply as specified in the online (AbleMarkets.com or AbleAlpha.com) or written agreement.