README.md

metadata

language:
  - en
license: other
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dataset_info:
  features:
    - name: symbol
      dtype: string
    - name: datetime
      dtype: string
    - name: missed_liquidity
      dtype: int64
    - name: exhausted_liquidity
      dtype: int64
    - name: routed_liquidity
      dtype: int64
    - name: volume_opportunity
      dtype: int64
    - name: average_daily_vol
      dtype: float64
    - name: rolling_daily_vol
      dtype: float64
    - name: buy_pressure_log
      dtype: float64
    - name: buy_pressure_pct
      dtype: float64
    - name: missed_liquid_pct
      dtype: float64
    - name: exhausted_liquid_pct
      dtype: float64
    - name: vol_uncaptured
      dtype: float64
    - name: retail_pressure
      dtype: float64
    - name: institutional_pressure
      dtype: float64
    - name: algorithmic_pressure
      dtype: float64
    - name: retail_institute_ratio
      dtype: float64
    - name: algo_institute_ratio
      dtype: float64
    - name: retail_algo_ratio
      dtype: float64

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.