The addition of the new Microstructure Stamps to the existing Microstructure chart stack gives traders the clearest view yet of intra-day behavioural shifts in stocks they are trading by providing them with clear and concise signals when short term trends in weight of momentum is changing.
By designing such granularity, decision making around participation rates and identifying potential reversion points has never been more transparent.
Through comparison analysis on Volume and Liquidity characteristics over a 15 minute moving average period and further breaking these components out into directional indicators, traders can pro-actively react and adjust strategy based on the direction of their order. Spread too is factored over a similar period, identifying those times during the day when price uncertainty is at its greatest and when it is most costly to trade whilst the Return(of the stock) vs Basket chart highlights idiosyncratic price moves over the last hour and flagging when these are extreme.
As an example, a trader with an order in ICAP this morning would have seen the following alert and flags in the Microstructure Stamps:
- Alert identifying unusually high volume over the last 15 minutes, driven by a high intensity of sellers as flagged in the Stamp.
- As a result this has caused the shares to significantly under-perform the bespoke basket. The Return Stamp flag denotes this aggressive move is atypical for ICAP.
- However, the overall Liquidity picture is also extremely high, with buyers displaying a greater degree of intent to trade than sellers indicating an area of potential price support for the shares.
- At this point valuable information is available to both buyers and sellers.
Armed with such analysis active traders would have been able to make an informed judgement based on the conditions presented to them, potentially prompting a change in their trading strategy, impact and cost.