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.
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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.
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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)
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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
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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.
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4. If you short stocks, how often were your borrow requests fully filled and at what rates?
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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.
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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.
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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!
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I am looking at you,
@CMEGroupThanks. Twitter will use this to make your timeline better. UndoUndo
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I met some Aussie quants in Korea who used to make a killing back in the day (like no negative days in 5 years type of killing) Korea's stock exchange live data was slightly slower than fills confirmation data so they'd place limit orders outside Bid-Ask to get faster live data.
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The amount of Aussie quants who went from 8 figures to 9 figures using this method is insane! I met some Aussie quants in the UK applying a similar approach.
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