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paperswithbacktest
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Stocks-Weekly-LiquidityMarketOpportunity

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Dataset Information

Weekly Liquidity Market Opportunity metrics for publicly traded companies, provided by SOV.AI. This dataset describes missed, routed, and exhausted liquidity alongside order flow pressure signals.

  • Coverage: 10,800+ tickers available from 2022-11-25 onwards
  • Update cadence: Weekly, after US market close (EST)
  • Fields:
    • missed_liquidity: Volume of liquidity missed during the period
    • exhausted_liquidity: Volume exhausted by executed orders
    • routed_liquidity: Liquidity routed to venues or market makers
    • volume_opportunity: Aggregate opportunity volume identified by SOV models
    • average_daily_vol: Historical average daily volume reference
    • rolling_daily_vol: Rolling average of daily volume
    • buy_pressure_log: Logarithmic representation of buying pressure
    • buy_pressure_pct: Percentage-based buying pressure
    • missed_liquid_pct / exhausted_liquid_pct: Percent of missed and exhausted liquidity
    • vol_uncaptured: Portion of volume not captured
    • retail_pressure, institutional_pressure, algorithmic_pressure: Participant-specific pressure metrics
    • retail_institute_ratio, algo_institute_ratio, retail_algo_ratio: Ratios comparing participant pressures

Data Source

Data provided by SOV.AI.

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