Obviously not all private data is useful. Like any dataset it needs to be relevant, actionable, timely and sufficiently voluminous. So what kind is? A few examples —
Show this thread
Couple of thoughts about the value of private data in trading. A general rule is that free, publicly available data < data you (and everyone else) pay for < data you pay for but not many know about < private data.
-
-
-
1. Data about your own trading, eg historical orders sent, fills received. Now you can calibrate accurate slippage models, or estimate the market reaction to your orders and trades.
Show this thread -
But it’s not just historical research. For some kinds of trading the fact you traded *just now* can be valuable, especially if you receive that information before the rest of the market (eg because you get your own trade confirms early, or if it was an off exchange fill)
Show this thread -
2. If you are a fundamental shop, historical data about your analyst’s trade ideas — even the ones that didn’t make it into the portfolio. You can gauge the quality of a generic idea, a particular analyst, or the efficiency of your PMs in turning ideas into P&L
Show this thread -
3. Brokers generate a lot of data (research reports, runs, axes, emails, chats, phone calls and voicemails) and recording and storing this can let you test if they have any predictive ability for prices.
Show this thread -
4. If you short stocks, how often were your borrow requests fully filled and at what rates?
Show this thread -
5. Are there websites that update in real time but don’t make history available? Scraping and storing it can build up a private dataset that few have access to.
Show this thread -
6. Even for publicly available data, storing the data yourself as it arrives gives you a point-in-time dataset that you can use to test for look-ahead in the histories that vendors provide.
Show this thread -
Not every private dataset is useful, but when it is useful it can be some of the most powerful and predictive data that you have. Try to get more of it!
Show this thread
End of conversation
New conversation -
-
-
There was a trend for large, well-capitalized funds to effectively privatize certain extremely interesting data sets by paying for exclusive access. Some vendors also realized the value of scarcity and would only license to a handful of end users.
-
I've heard the total opposite. Quant HF don't want exclusive data for regulatory reasons, especially in alt data space.
- Show replies
New conversation -
Loading seems to be taking a while.
Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.