
Executable Research:Use NYSEImbalanceFeed to Predict Nasdaq Closing Print Sizes - ajay_prasanna
http://sandbox.deepvalue.net/nasdaq-closing-print-size-estimation
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ajay_prasanna
If you use the information in the NYSE imbalance feeds, you can get much
better at estimating what volumes will trade at the close at Nasdaq. With good
quant footwork you can get this edge before the deadline for participating in
the Nasdaq close. Over a 100 million shares trades each day at the Nasdaq
close, so if you are into this sort of thing this may be useful.

The Nasdaq deadline for participation in the close is 3:50 p.m. The NYSE
imbalance feed switches on at 3:45 p.m., a full 5 minutes earlier, and closing
interest on thousands of names already starts to show up in the NYSE imbalance
feed.

So is there information in the NYSE imbalance feed that will tell us something
about how the Nasdaq closing is going to look like?

Yes, there is! Over at our research sandbox, we will tell you how you can do
this. You can see the code, edit the code, try out new ideas and run it too!

So who can use a forecasting edge?

If you are running a book knowing how much will trade at the close will let
you decide how much risk you can shed at the close. We do algorithmic
executions for customers; in virtually every order that will trade through the
end of the day, we have to decide how much to trade at the close vs in the
regular session, and good estimations help there.

Compared to the 100m shares in the Nasdaq close, 200 million, sometimes even
300m shares (the Dec 2016 average) trades in the NYSE close. So is there an
edge we can give to trade the NYSE close? Our answer is very much a yes but it
is a very different tool kit. With clever quant and tech footwork, and in
partnership with the NYSE Floor, we effectively move the NYSE deadline for
closing participation from the 3:45 p.m. above to 3:59:50!

If you’d like to hear more of our research follow me or reach out. In the
meantime, here is the link to the research sandbox with the Nasdaq print size
estimation work described above to have fun with.

