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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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 —
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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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Replying to @macrocephalopod
I feel like borrow rate data should be far more accessible these days, obviously that’s by design because data accessibility would compress overly fat stock loan desk margins.
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It is, but there is still variability esp in less liquid names, and value in knowing what fills you could realistically get in your locates.
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Replying to @macrocephalopod
Absolutely. It’s just surprising someone hasn’t centralized and monetized the data at this point.
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