Swift and Rational Decision Making

QuantGate's trading platform is the first real-time market perception and sentiment system based on unique algorithms that analyze market participant activities and order book dynamics. The platform quantitatively measures tick-by-tick changes throughout the trading day in the electronic order book of a monitored security and provides information, in a proprietary format, that a trader requires in order to draw instant and accurate decisions that would otherwise be derived based on charting and other technical indicators.


Throughout our two decade R&D, we have been striving to improve trader decision support in a volatile and data rich environment and have applied our research in mathematical psychology and capital markets trading to improve our algorithmic technology stack. QuantGate has developed four main algorithms which act in support of trading decisions as Intuition Amplifiers, which permit the visual representation of complex market data to subliminally and subconsciously prompt swift and rational decisions.

Our Core Real Time Sentiment Algorithms

Perception

The human brain can only absorb and analyze a very small amount of information relative to computers, but computers also sometimes have difficulties recognizing simple patterns or moods which humans can easily recognize. To recognize and analyze patterns in the financial markets, which involve complex data and human interactions, mathematical psychology is required. Over the last 20 years the concept of the “Market Sentiment Analysis” has evolved from an R&D idea to a fully developed, highly successful computerized trading decision making platform.

Commitment

Provides the rate at which orders remain active providing risk management by identifying volatile stock without well-defined trends. It is a well-known psychological phenomenon that the majority of traders make their buy decisions when they believe that the price has fallen too far, too fast. Conversely, they tend to sell a security if its price has risen too far, too fast. If this situation occurs it usually manifests itself through the increased number of order cancellations that occurs on either the Bid Side or the Ask Side of the Order Book. By measuring the relative cancellation frequency of buy and sell orders it is possible to extract information about traders’ intentions to buy or sell a security. By using the Sliding Time Window concept applied to the different uncorrelated time frames HYDRA measures this valuable aspect of traders’ sentiment. It’s called “The Trader’s Commitment”.

Equilibrium

Calculates price movements at standard deviations to help predict probability of magnitude. This gauge contains a unique algorithm that calculates the fair or equilibrium price of the monitored security based on the analysis of the price fluctuations that are registered over a 5-minute sliding window. Based on the assumption that all of the processed orders on the book should result in the price movement that fairly represents those filled orders (i.e., the market efficiency assumption), the gauge calculates the difference between the current actual price level and its fair value

Sentiment

Informs the traders when the price deviates from a trend at short and long time intervals. The sentiment analyses the real time flow rate of the Bid and Ask orders by all traders on the Exchange Electronic Trading Book is measured. These orders are weighted by their order book characteristics. The weighted orders that have been registered in the book over a period of time (called the Sentiment Compression Interval) are then totaled to create a weighted sum of Bids and a weighted sum of Asks. The ratio between the weighted sum of Bids and the weighted sum of Asks is referred to as the Trader’s Sentiment and it is used to analyze the built-up pressure to buy or sell a security. This ratio is then further filtered by the series of filters of different length.