What files do you provide to subscribers?
Subscribers receive a daily text file for each global exchange subscribed to.
Text file with Exchange-Date filename format (e.g., NASD_07_01_2019.txt)
Processing begins 4 hours after market-close each day
Processing and delivery targeted for 5 hours after market close
Contains all historical data (six months of closing prices) for each security
File size can vary across exchanges. For NASD the size of a daily file is between 30MB-35MB
How is the data normalized?
Precision Alpha is available as processed location-level data. Data is presented as a very simple, flat, comma-delimited file with each row corresponding to a closing price date. No need for JSON and data is never stored in a relational database.
Which exchanges do you currently offer?
Precision Alpha offers access to over 85 global exchanges. All tickers are covered for each of the exchanges. However, thinly traded instruments must have enough data for the analysis to be meaningful. Data quality processes filter out instruments that have fewer than 100 price changes in a six month period.
What are some of the key data fields you provide?
Next day probabilities, market emotion/energy, market power, market resistance, market noise, market temperature, and market free energy. All data used for processing (six months of closing prices) and the key data fields are returned for a whole exchange (~ 3000 equities) and are supplied in the data file.
Do you provide Backtesting, and for how long time back in history?
Yes, we do. 3 years of historical data for an entire exchange. We also have independent backtesting by a third party.
How do subscribers receive the data?
Data is delivered as a text file to AWS S3, or directly to a customer endpoint (SFTP, S3, etc.).
What is the granularity of the data? How often is the data delivered?
Every security on the exchange, using six months of closing prices, subject to minimum data quality requirements. Delivered daily, approximately 5 hours after market close.
How is closing price data procured? How often is the data delivered?
Closing prices are procured from market data supplier, Xignite. Closing prices do not originate from an intraday feed or a real-time feed. Our feed from Xignite has no ability to access fee-liable data, in fact, we cannot access any data for the trading day during market hours.
Source of data?
Licensed from Xignite.
When did you start selling this data?
What Is the size of each file? How much data Is added with each update?
The size of the data depends on the number of symbols on the exchange. As an example, each daily file for NASDAQ is approximately 30MB to 35MB and contains all historical data used for the processing.
In which time zone is each time series measured?
Data observations are provided In UTC time and converted to local time.
How Is the data collected and sampled?
Precision Alpha data uses six months of closing prices to return exact machine-learned results. No sampling.
Does your company store or test data using a cloud infrastructure?
Yes, store data in Amazon AWS S3, and process data using AWS Lambda.
How long does your data go back? Do you store historical data?
More than a year of processed data for exchanges. We store processed exchange data in S3. No customer-specific information is persisted.
The Sharpe ratio is defined using statistical expressions, namely, the average return and the standard deviation. It is clear, however, that financial markets are not in statistical equilibrium, and this measure is misleading in most financial markets. The non-equilibrium generalization of the Sharpe ratio can be shown to be always greater than the equilibrium case. Therefore we call the non-equilibrium expression a “Sharper ratio”, and is defined as the ratio of the expected PL minus the risk-free return, divided by the expected PL minus the average return.
Do you map your equities in your data to industry standards like CUSIP, SEDOL or ISIN?
Yes, market data provider maps SEDOL (Stock Exchange Daily Official List)
Is your data time-stamped?
Does your data contain PII (Personally identifiable information) or MNPI (Material Nonpublic Information)?
How does Market Power compare with Relative Strength Index?
Precision Alpha relies on the same measurement data as the Relative Strength Index. However, Precision Alpha uses the measurements to calculate exact, closed-form algebraic expressions for market probabilities, market energy, market power, market resistance, and market noise. The Relative Strength Index is the closest dimensionally to market energy.