Trading Dashboard - Signals Tab
Signals predict where the price is going to go and can be used in a variety of application areas:
- Price formation
- Hedging (withdrawing passive hedging when being filled is predicted to go against us.)
- Distribution tailoring rates to a) attract liquidity in aggregated environments and b) defend against aggressive flow
- Internalisation decision making in distribution.
As part of this, we use adaptive signal composition, which is a method of combining multiple signals that adapts to changing market conditions and avoids the requirement to calibrate or hand tune signal composition.
Analysing signal performance
The signal analytics give us an insight into how each of these signals performed over a particular time horizon. These can then be assessed for their usefulness in each area of application.
Signal performance is measured by the cumulative percentage or yield return aggregated at 1 second and 60 seconds post tick.
Similar to pricing model predictivity, every time a signal alters skew, the decision is plotted as a tick. The yield of that decision at 1s and 60s is also recorded and cumulated over a rolling window, a positive yield implies the signals are predictive.
Percentage return looks at the week-to-date cumulative yield of decisions at 1 and 60 seconds.
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