The Nasdaq Stock Market, Inc. (NASDAQ: NDAQ) today announced it has unveiled NASDAQ Market Velocity, a real time product that detects the level of market activity in NASDAQ stocks and alerts traders to events before they appear in price and volume information.
Market Velocity is one of four products included in NASDAQ Market Analytix (NASDAQ MAX), a package of real-time and near-real-time data products that provide a new level of transparency to trading activity in NASDAQ trading systems.
Market Velocity provides the high-technology version of market noise and activity levels found on a physical trading floor. A key benefit of NASDAQ's Market Velocity is that the information is available simultaneously to all investors, not just to those physically present on a floor-based market.
Market Velocity indicates the level of market activity in individual NASDAQ stocks by measuring the frequency and share volume in aggressively priced orders. It can indicate changes in market direction, momentum or liquidity in each stock, enabling users to imply future price movements and trends.
Select traders with access to a physical trading floor have historically detected changes in these levels on the floor via increased noise levels or visual indications such as individuals gathering in a particular location.
These sensory cues could be used to detect trends, enabling the trader to capitalize on price movements before they happen.
"Market Velocity is designed to provide all traders and investors - not just a select few - with equal access to market information that provides unique insight into the inner workings of the market for specific securities," said NASDAQ Executive Vice President Adena Friedman. "NASDAQ continuously strives to meet the increasingly sophisticated needs of all participants, and Market Velocity with NASDAQ's other new products are indicative of our efforts. This package is the result of feedback from the market participants we serve."
In addition to Market Velocity, NASDAQ MAX is made up of the following three products, with more components to be added periodically:
NASDAQ Market Forces: a real-time product that uses the same order frequency and share volume information as used in Market Velocity, but categorizes the orders by whether they are buys or sells. Market Forces provides an indication of market direction and is expressed as a number of shares or a percentage of shares in buy versus sell orders.
NASDAQ Competitive VWAP Benchmark: a custom query-response system that complements the Volume Weighted Average Price (VWAP), a benchmark often used by institutional investors to determine whether they received a good price for a large trade. A Competitive Volume Weighted Average Price (CVWAP) Benchmark provides the best and worst average price performance by actual market makers trading on the NASDAQ Market Center execution system.
NASDAQ Competitive VWAP Leaders: a periodic market maker leader board that enables institutional investors to identify the firms with the most experience trading a particular stock or type of stock. Unlike ordinary leader boards that rank market makers by traded volume alone, CVWAP Leaders ranks them by share volume weighted by execution quality (the difference between the market participant VWAP and the overall VWAP).
Other recent NASDAQR innovations include the introduction of the NOIView, a filtered market data feed that provides comprehensive information for the NASDAQ Opening and Closing Crosses without requiring large amounts of bandwidth.