Institutional Activity

Institutional Activity Is Highly Predictive of Intraday Prices and Multi-Day Volatility

AbleMarkets reconstructs institutional order flow broken down by execution algorithms. Our research shows that when institutional buy orders outnumber sell orders in a particular financial instrument, as a percentage of respective volume traded, prices move up. Furthermore, when institutional buyers exceed institutional sellers in a particular stock, that stock's volatility consistently declines for several trading days. How much this knowledge would be worth to you?

AbleMarkets Breakdown of Buyer-initiated and Seller-initiated Traders by Market Participant Type for Crown Holdings, Inc., Stock (NYSE:CCK) on January 3, 2017, at 3:30 PM ET.

What does the chart shows? This chart presents price of a Russell 3000 stock and the corresponding proportion of aggressive HFT, institutional activity, and retail flow as recorded on January 3, 2017, at 3:30 PM ET. As the chart shows, institutional trading dominated seller-initiated volume at that time.

Institutional Participation Amid Buyer-Initiated Trades Across Russell 3000 and Selected ETFs on the previous trading day

Institutional Participation Amid Seller-Initiated Trades Across Russell 3000 and Selected ETFs on the previous trading day

Distribution of Buy-Sell Differences in Institutional Participation Amid All Trades Across Russell 3000 and Selected ETFs on the previous trading day

In addition to the diagnostic and predictive analytics above, we now offer real-time diagnostic tools: block-trading activity, abnormal trading activity and the level of Internet chatter. The tools are available for any electronically-traded financial instrument, including stocks, currencies, commodities, equity and commodity futures and even options. Please contact us today to subscribe to real-time electronic feeds and for more information: and +1 (646) 580-4949.

Data updated every minute, when available.

Separately available for most other instruments, including equities and commodity futures. Request it now!

The Benefits

Benefits of Executing with AbleMarkets Institutional Activity Index

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Frequently Asked Questions

Frequently Asked Questions

What is AbleMarkets Institutional Activity Index?

AbleMarkets Institutional Activity Index reports probabilistic estimates of institutional activity.

Where does AbleMarkets Institutional Activity Index data come from?

AbleMarkets derives the index using Big Data techniques from raw exchange data, including every limit order placement and cancellation. The index is available every 30 minutes and also on a daily basis.

At what time can I get the AbleMarkets Institutional Activity Index?

Intra-day index: The data is available in 30 minute intervals through the day, from 9:00 AM EST until 4:00 PM EST. Typically, we begin recording meaningful numbers at 9:30. The observations end at 4:00 PM along with normal hours of the markets.

Daily index: The daily institutional index is available at 4:00 PM EST. For example, the AbleMarkets daily institutional activity index summarizing the institutional activity for today, March 28, 2017, was available at 4:00 PM EST. The daily index is the average of the intraday institutional activity recorded in 30-minute intervals.

What happens when both institutional buy and sell activity are reported to be 0?

When both the buy index and the sell index display values of 0, AbleMarkets estimates that the volume during that period is not driven by institutions breaking up a large order. Instead, the trading volume may be driven by HFT, retail traders or lump trade by institutions, but not from an ongoing institutional flow of orders following an algorithm like VWAP or TWAP or their derivatives.