Mitigating Risk, Improving Efficiency

A New Data Source for Quants

By DTCC Connection Staff | Feb 10, 2020

Turning User Feedback Into Improved Market Insights

For this month’s launch of DTCC Investor Kinetics, here are five things you should know about the new service.

1. It Facilitates Research and Analysis

DTCC Investor Kinetics provides global equity and fixed income securities post-trade transaction data. The service aggregates and anonymizes the data based on single instruments trade date, trade currency and trade side.

2. It’s Derived from DTCC’s Own Post-Trade Ecosystem

DTCC Investor Kinetics gets its data from DTCC’s Institutional Trade Processing global platforms (some might know ITP by its former branding, Omgeo). With DTCC Investor Kinetics, users receive post-trade market intel from the leading matching services, which include market share and depth of account and trade level information.


3. It Offers a Unique Perspective

This data can provide a fresh look into market trends across the buy side. DTCC Investor Kinetics delivers current and historical aggregated transaction data from around the world. Additionally, users will see the volume-weighted average price (VWAP) of all trades categorized by investor type.

4. It Can be Powerful for Quant Traders and Hedge Fund Managers

DTCC Investor Kinetics can be used for alpha generation, risk modelling, and more. The data can assist investors in understanding and identifying pricing and volume trends across key attributes:

  • Investor Type (Traditional asset manager, hedge fund and alternative investment firm, and retail wealth manager)
  • Asset Class (Equity and fixed income)
  • Region (Americas, Europe/Middle East/Africa, Asia-Pacific)
  • Trade Side – (Buy or sell)

5. It Can be Part of a Quant’s Larger “Mosaic”

Quant users often create complicated algorithms made from many different data sources. DTCC Investor Kinetics can be one key piece of that larger mosaic. It’s a service that can inform and enhance a user’s larger overall strategy.

Click here to learn more about Investor Kinetics and to download sample data.

 

 

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