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Data Spotlight: Intraday Futures & FX Time Series, Trading Economics, Factor Exposures

9 August 2021
By Vera Shulgina, US Operations Manager

We continuously onboard new data and regularly highlight some of the latest datasets available via our platform. In this edition of our Data Spotlight, we highlight three new additions for SigTech users:

1. Intraday futures and FX

We currently support intraday bars (1min, 5min, 10min, 1h) for FX spot and more than 160 futures groups. The data is not only available as a historical time series for research, as our backtesting engine supports intraday timestamp by design, but also in live streaming form for production. History is available to 2000 for most instruments. Our primary data source is Refinitiv, but clients also have the option to bring their own market data sources into their platform instance via SigTech’s client data onboarding API.

SigTech product manager Sam Forster offers an example of an ES Futures intraday trading strategy using signals from short versus long term (on the order of minutes) exponentially weighted moving averages. Intraday bars for other asset classes, such as interest rates and ETFs, are coming soon.

Intraday futures and FX


2. Trading Economics

Trading Economics provides forward looking macroeconomic forecasts, consensus estimates, and actuals for 1,600 macroeconomic events across more than 150 countries a month. Categories of events covered by the panel of contributing economists include inflation, debt, money supply, employment and economic production, making this dataset useful for studying behavioral economics-based hypotheses across multiple credit cycles, and a good benchmark for users incorporating alternative data into their strategies. Historical data is available from the 1960s.

Below is a historical trendline of the forecast and consensus inflation figures compared to actuals over time, with the recent divergence indicating a higher than expected inflation data release for economists.

US Inflation Rate

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3. Factor Exposures

Fama-French published the original three factor models as methods of explaining stock returns, heralding a new era of risk management and beta strategies. Quant and discretionary investors alike use factors to explain idiosyncratic PnL, or alpha, in their strategies, and to maintain market neutral states in their portfolios. IHS Markit Research Signals, also available on the SigTech platform, offer alternative data-based signals allowing investors to isolate exposure to industry-specific phenomena, alongside classic style models and factors.


An example of a mean-variance optimal combination of factor strategies on European equities constructed using the SigTech platform is shown below. The version that has been beta-hedged with a VG rolling future strategy outperforms the unhedged version.

Factor exposures


SigTech’s next-gen quant platform incorporates a wide range of curated datasets. We have partnered with many of the world’s leading data vendors, exchanges and data aggregators. All datasets available via our platform are validated, clean, normalised and presented in a powerful, user-friendly, unified data layer.

Are you interested in any of the data mentioned above or are looking for other sets to help build new strategies? Contact us to speak with one of our data experts.