FlexTrade Systems has struck a deal with NYSE Technologies to redistribute an analytics product that provides intraday volume predictions.
Called FlexEdge, the service provides calculations of full-day volume every minute for traders using volume-weighted average price (VWAP) algorithms and other strategies.
Traders using such algos need to be able to predict the distribution of volume throughout the day in order to achieve prices as close to final average, volume-weighted price of stocks as possible.
Unlike earlier methods that use historical data exclusively, FlexEdge continually updates its predictions using the current day’s data, according to FlexTrade executive Max Palmer.
“Users can feed a dynamically changing VWAP curve into their VWAP algorithms allowing them to reduce the variance of their execution with respect to actual market VWAP that day,” explained Palmer.
FlexTrade has offered the technology to its own clients for many years. The deal with NYSE Technologies, a unit of exchange operator NYSE Euronext, is FlexTrade’s first effort at distributing through third parties.
NYSE Technologies will offer FlexEdge through SuperFeed, a low-latency, market data feed, according to Todd Watkins, an executive in NYSE Technologies’ market data group. SuperFeed provides data from major US, European and Asian markets in a single format.
FlexTrade’s content will be published through the “middleware agnostic” OpenMAMA programming framework, an “open source” technology originally developed by NYSE Technologies.
“This is open middleware that allows providers to publish to, and clients to subscribe through, a consistent interface, no matter what the content source,” Watkins explained.
