The OTAS Intraday Screener app offers a fully configurable heatmap tool providing traders ‘at a glance‘ direction of where outliers sit on the pad, allowing them to immediately focus their attention on where it is most needed.
Embedded within a trading EMS it provides a recognizable systematic approach to order pad optimization, where each scenario analysis a trader wishes to perform is monitored in real-time, highlighting actionable opportunities and exceptions from the norm.

Each axis and chart annotation can be user-configured to suit distinct trading workflows, such as…..

Irregular Price & Volume Order Optimization

Screen an order pad for ‘action’ stocks where asymmetric behaviour in daily price performance and traded volume presents exception outliers for manual trader intervention.

• Manage ‘high touch’ flow broken out by idiosyncratic daily share price performance from the open(x-axis)
• Combine with disproportionate volume(y-axis) conditions to focus on highly liquid or harder to trade orders, vis-á-vis passive/aggressive strategy decision
• Example Screenshot: Standard Life, Informa & St James Place all under-performing on well above average volume with WPP significantly outperforming.

In-Trade Liquidity Screening:

Optimise High Touch vs Low Touch flow, spread crossing and liquidity opportunities

• Minute by minute lit market liquidity profiling relative to historic normalised ranges(x-axis.) Identify orders with above average liquidity and live trading opportunities Example: Shire, Diageo & Worldpay or conversely adjust to low liquidity trading indicators.
• Current indicative price spread levels(y-axis) relative to normal. Exceptionally wide spread = execution cost impact from spread crossing, plus low liquidity  Example: Convatec.

Adjusting to Price Momentum changes:

Identify idiosyncratic returns from normal expected ranges.
Actively manage flow and adjust aggression based on rolling absolute and basket relative returns.

• Highlight orders with abnormal positive or negative price behaviour from the market open(y-axis) and combine with short term momentum compared to peers(x-axis.) Also assess traded volume for trend analysis and intraday mean reversion potential.
• Examples: Sainsburys – Extreme basket relative under-performance over last hour on lower than normal volume = potential Mean Reversion 
• Capita – Significantly low absolute return from open, excessively high trade volume, negative one hour basket relative return = probable Trend Continuation 
• Schroders & Merlin– Unusually low absolute return from open, excessively high trade volume, strong positive one hour relative performance = potential Trend Reversal or Continuation

Intraday Screener is just one of a suite of bespoke real-time trading applications we have created to help Global Trading desks provide a systematic approach and facilitate ‘sufficient steps’ under the guidlines and framework of MIFID II.

Contact us now to explore the current apps available within your EMS and how we can help your current technology mandate at otassales@otastech.com

Often traders are asked to provide ‘colour’ or identify reasons why stocks are behaving idiosyncratically during a trading session and what the possible catalysts are. Newsflow is clearly one of the key elements behind daily performance but that doesn’t always offer a full quantifiable picture of intra-day flows or other potential investor sentiment driven reasons.

The combined analysis provided by OTAS Alerts, Microstructure and Core Summary offer users much more granularity and content than just simple commentary of corporate news headlines, as is demonstrated in Vodafone Group today.

The Alerts Overlay function on the Return chart above provides a sequenced timeline of events and abnormal behaviour in a stock’s microstructure.
Significantly for Vodafone, two exceptionally low Return alerts fired in red this morning highlighting large under-performance on both an absolute(R) and basket relative(B) basis. Our model indicates Vodafone shares do not typically encounter moves like this intraday and are highly irregular. Statistical outliers in performance such as these can be used to trade more effectively by identifying potential areas of support or inflection.

The most likely reason for the underperformance can be explained by the other alert flag on the return chart. At 8.07am an exceptionally large Dark/Offbook trade printed in 10.55m shares, it was OTC printed through BATS/CHI-X Offbook reporting exchange. The subsequent absolute and basket relative share price performance gives a simple indication on the direction of the trade and the impact of the risk unwind.

The clues to the motivation behind the trade may well lie in the Core Summary detail. For example, this will quickly inform users of the most recent newsflow and any upcoming Events. Vodafone provides a Sales Release in 2 days

The Liquidity tab embedded within our real-time Microstructure application provides traders with a range of key volume forecasts for the current trading session including estimates on important high ‘natural’ liquidity events like the closing auction. The forecasts update dynamically with reference to historic volume and current live market conditions and provide:-

• Pre-trade volume fragmentation analysis for modelling P.O.V and VWAP strategies
• Closing auction volume estimates for risk unwind to avoid carrying unwanted positions overnight
• Assessing liquidity, impact and feasibility of Market on Close orders.

The current Day Total forecast volume can be immediately compared to the recent 30 day historic mean average in the Microstructure charts and accompanying legend to establish whether the stock is expected to trade heavy or light relative to normal.


Traders using the OTAS Schedule component are also offered forecast participation rates over a range of short term trading periods in view of completing an order ahead of its optimal schedule. The key benefits here are:-

• Provides statistical evidence of potential impact on ‘must be completed’ order execution instructions.
• Allows traders to visualise the best strategy approach and evaluate participation rate from the time the order is received.
• Calculates your total order size as a percentage of remaining forecast volume still to trade on the day.

The OTAS Microstructure stack offers a range of charts which breakdown the intraday characteristics of stock trading, allowing you to visualise potential inflection points and changes in trend which may ultimately affect price behaviour and return. Whilst our Alerts immediately inform you of any extreme outliers across metrics such as return(vs basket,) liquidity and spread our volume analysis provides users granular insight into trade weight and direction bias making it easy to identify subtle changes in order flows.

Two charts which demonstrate this quite succinctly are the Volume(Realised –Mean) and Traded Volume Shares.

In the example above we can see that from the market open today’s realised traded volume(Chart 2) is significantly ahead of what is typically expected and remains high for the next few hours. To establish who the aggressors were over this time period we can refer to the traded volume shares(Chart 1.)
Here it is observed that sellers were in the ascendancy as the bid volume(blue line) is markedly higher than the offer(pink line) indicating a keenness by them to cross the spread and hit bids.

As the traded volume begins to normalise the directional tilt converges as bid volume slows and offer volume picks up suggesting that the sellers are slowing participation(or coming to the end of their order) and that buyers are increasing their aggression. This could represent a support level for the shares and/or a potential inflection point.

Interpretation of changing volume trend behaviour allows traders to assess the potential impact on price and react accordingly.

One of the most highly valued and frequently used measures by our clients within the OTAS suite is the Insider Transactions analysis. Delivered through multiple OTAS applications, users can assess the potential impact on a share by a single well timed trade, placed by a company director or major shareholder.

Live Insider Transactions via the Alerts feed
The introduction of live Insider trade notifications in our Alerts app allows users to view transactions for an order-pad, portfolio or watchlist as they happen in real-time, meaning they need never miss a potentially significant price sensitive trade. Proof of this was evidenced in the trading session immediately after the BREXIT vote when we noted an unprecedented number of senior management in UK Top 100 companies buying their own stock. 

The Insider alerts feed can be custom filtered to identify just significant discretionary transactions or include all trade types, such as exercise of employee stock options and share awards. Our star rating attached to each insider immediately reveals the prescience of the transactor.

        Live Alerts App.                                                  Alert Customisation Filter

Insider Transactions in the Core Summary
Once a new Insider transaction is received from our provider, it will display in the Alerts panel(as above) and will be available in the Core Summary detail table the following minute.  The Insiders Stamp will populate with new Buy/Sell flags shortly after and will be visible for the next month.

Insider transactions get registered on the accompanying chart and can be filtered to show Priority discretionary transactions or All trade types just like the live Alerts panel. We keep a history of every trade going back as far as 2006, these can be viewed by clicking the ‘Max’ zoom button. To single out an individuals previous trading history over the selected time-frame….simply click on their name and the chart will filter accordingly.