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--- |
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language: |
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- en |
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license: other |
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extra_gated_prompt: "To get access to this dataset, you must subscribe to Papers With Backtest. To subscribe, go to https://paperswithbacktest.com/ > Login > Choose Your Plan > Subscribe." |
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dataset_info: |
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features: |
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- name: symbol |
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dtype: string |
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- name: datetime |
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dtype: string |
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- name: missed_liquidity |
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dtype: int64 |
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- name: exhausted_liquidity |
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dtype: int64 |
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- name: routed_liquidity |
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dtype: int64 |
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- name: volume_opportunity |
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dtype: int64 |
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- name: average_daily_vol |
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dtype: float64 |
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- name: rolling_daily_vol |
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dtype: float64 |
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- name: buy_pressure_log |
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dtype: float64 |
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- name: buy_pressure_pct |
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dtype: float64 |
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- name: missed_liquid_pct |
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dtype: float64 |
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- name: exhausted_liquid_pct |
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dtype: float64 |
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- name: vol_uncaptured |
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dtype: float64 |
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- name: retail_pressure |
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dtype: float64 |
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- name: institutional_pressure |
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dtype: float64 |
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- name: algorithmic_pressure |
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dtype: float64 |
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- name: retail_institute_ratio |
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dtype: float64 |
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- name: algo_institute_ratio |
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dtype: float64 |
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- name: retail_algo_ratio |
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dtype: float64 |
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--- |
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# Dataset Information |
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Weekly **Liquidity Market Opportunity** metrics for publicly traded companies, provided by **SOV.AI**. |
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This dataset describes missed, routed, and exhausted liquidity alongside order flow pressure signals. |
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- **Coverage**: 10,800+ tickers available from 2022-11-25 onwards |
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- **Update cadence**: Weekly, after US market close (EST) |
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- **Fields**: |
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- `missed_liquidity`: Volume of liquidity missed during the period |
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- `exhausted_liquidity`: Volume exhausted by executed orders |
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- `routed_liquidity`: Liquidity routed to venues or market makers |
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- `volume_opportunity`: Aggregate opportunity volume identified by SOV models |
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- `average_daily_vol`: Historical average daily volume reference |
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- `rolling_daily_vol`: Rolling average of daily volume |
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- `buy_pressure_log`: Logarithmic representation of buying pressure |
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- `buy_pressure_pct`: Percentage-based buying pressure |
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- `missed_liquid_pct` / `exhausted_liquid_pct`: Percent of missed and exhausted liquidity |
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- `vol_uncaptured`: Portion of volume not captured |
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- `retail_pressure`, `institutional_pressure`, `algorithmic_pressure`: Participant-specific pressure metrics |
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- `retail_institute_ratio`, `algo_institute_ratio`, `retail_algo_ratio`: Ratios comparing participant pressures |
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## Data Source |
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Data provided by SOV.AI. |
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