Pulse Analytics

Multi-asset trade analytics for strategic algorithmic execution

Pulse Analytics offers a set of superior pre- & post-trade analytics tools — ready to plug directly into your workflow. Accessible via REST API & BestEx Research’s Algorithm Management System (AMS).

The Pulse Analytics Suite

Provides robust estimates for…

Highly liquid base symbols

Small orders

Large orders

Less liquid base symbols

Illiquid trading hours

Illiquid & further dated contracts

Wide range of contract categories (e.g., Commodities, Equity Index, Interest Rates, etc.)

Accounts for shadow liquidity

Supports 60+ base symbols

Point-and-click accessibility

Accessibility via API

Highly liquid base symbols

Small orders

Large orders

Less liquid base symbols

Illiquid trading hours

Illiquid & further dated contracts

Wide range of contract categories (e.g., Commodities, Equity Index, Interest Rates, etc.)

Accounts for shadow liquidity

Supports 60+ base symbols

Point-and-click accessibility

Accessibility via API

Pulse Market Impact Model

Generate market impact and total cost estimates and curves based on fixed duration and specified order size or fixed participation rate and start time

Futures

Equities

Coming soon

Estimated Statistics

Estimated analytics for a product over a specified intraday period like spread, depth, volume, volatility and more

Realized Statistics

Realized analytics (historical) for a product over a specified intraday period like spread, depth, volume, volatility, and more

Daily Trading Statistics

Realized daily analytics for a product over a specified date range

Access via REST API

Pulse’s market impact and total cost estimates on demand via REST API

Extract market impact and total cost estimates for orders of fixed duration and specified size or fixed participation rate and start time

Access estimated and realized historical daily and intraday analytics like spread, depth, volume, and volatility

Cost-estimator-fixed-duration

Provides estimated cost of trading a specified contract from a specified start time to a specified end time for specified order size.

Notes:

1) If end time is specified beyond market close, the model will assume order ends at market close and increase participation to complete order accordingly. All output will align with this change.

2) "trailing days" & "val" parameters are optional, with default values indicated below. All other parameters are required.

start_time

Start time of the intraday period in the format HH:MM:SS

end_time

End time of the intraday period in the format HH:MM:SS

ordersize

Size of the order (no. of contracts)

exchange_symbol

Enter exchange symbol of contract

futures_base_symbol

Respective base symbol. Must align with the exchange symbol

date

Date to estimate for in the format YYYY-MM-DD. For historical, no more than one year prior

trailing_days

Number of previous days to include in estimated analytical inputs to model (default value n=7). Larger values require more estimation time; we recommend limiting to 30 days

val

Use 'n' for estimated model inputs (e.g., estimated spread, depth, etc.). For realized data as model inputs use 'y'; this option is available for historical dates only. Default value: 'n'

[
  {
    "cost_pct_spread": 105.55646724769893,
    "cost_contract": 0.000056494627759558066,
    "cost_bps": 0.8737808964224868,
    "cost_ivwap_pct_spread": 30.86144284860241,
    "cost_ivwap_contract": 0.000016517280004865602,
    "cost_ivwap_bps": 0.2554664806455144,
    "duration_mins": 510,
    "trade_imbalance": 868,
    "avg_spread_bps": 0.8224104706119859,
    "avg_depth": 23.547698106434535,
    "volume": 11143,
    "day_volume": 92346,
    "interval_volatility": 15.444013767242039,
    "avg_imbalance_est": -870.4,
    "avg_spread_bps_est": 0.8277852785391837,
    "avg_depth_est": 29.66792783628453,
    "avg_volume_est": 18167.4,
    "interval_volatility_est": 22.154013531780713,
    "day_volume_est": 122051.2,
    "interval_vwap": 0.64157825091986,
    "arrival_price": 0.64095,
    "open_bid_size": 3,
    "open_ask_size": 28,
    "close_price": 0.6413249999999999,
    "fit_confidence": "high"
  }
]

Cost-estimator-fixed-participation

Provides estimated cost of trading a specified contract at a specified start time with specified participation rate and order size.

Notes:

1) If the estimated end time is beyond market close, model will assume order ends at market close and increase participation to complete order accordingly. All output will align with this change.

2) "trailing days" & "val" parameters are optional, with default values indicated below. All other parameters are required.

start_time

Start time of the intraday period in the format HH:MM:SS

participation

Enter participation rate (0.0 - 1.0)

ordersize

Size of the order (no. of contracts)

exchange_symbol

Enter exchange symbol of contract

futures_base_symbol

Respective base symbol. Must align with exchange symbol

date

Date to estimate for in the format YYYY-MM-DD. For historical, no more than one year prior

trailing_days

Number of previous days to include in estimated analytical inputs to model (default value n=7). Larger values require more estimation time; we recommend limiting to 30 days

val

Use 'n' for estimated model inputs. For realized data as model inputs use 'y'; this option is available for historical dates only. Default value: 'n'

[
  {
    "cost_ivwap_contract": 0.000019574274731940793,
    "cost_ivwap_pct_spread": 35.526818129805136,
    "cost_ivwap_bps": 0.2955050973435145,
    "cost_pct_spread": 182.8800462900357,
    "cost_contract": 0.00010076174725222553,
    "cost_bps": 1.5211603156710802,
    "duration_mins_est": 100.21,
    "trade_imbalance": 121,
    "avg_spread_bps": 0.8048500684485186,
    "avg_depth": 24.21395955642531,
    "volume": 4599,
    "day_volume": 93879,
    "interval_volatility": 9.80144616419046,
    "avg_imbalance_est": 58.2,
    "avg_spread_bps_est": 0.8317803645229946,
    "avg_depth_est": 17.184426683348732,
    "avg_volume_est": 658.2,
    "interval_volatility_est": 8.688071765725107,
    "day_volume_est": 20031.8,
    "interval_vwap": 0.6740500652315721,
    "arrival_price": 0.6737249999999999,
    "open_bid_size": 34,
    "open_ask_size": 13,
    "close_price": 0.674375,
    "fit_confidence": "high"
  }
]

Estimated stats

Provides estimated analytics for a specified product from a specified start time to a specified end time.

Notes:

"trailing days" & "val" parameters are optional with default values indicated below. All other parameters are required.

start_time

Start time of the intraday period in the format HH:MM:SS

end_time

End time of the intraday period in the format HH:MM:SS

exchange_symbol

Enter exchange symbol of contract

date

Date in format YYYY-MM-DD. For historical, no more than one year prior

trailing_days

Number of previous days to include in estimated analytics (default value n=7). Larger values require more estimation time; we recommend limiting to 30 days

{
  "avg_depth_est": 26.41116065079775,
  "avg_spread_est": 0.000051691908910491186,
  "avg_volume_est": 486.6,
  "avg_mid_price_est": 0.6419080774541763,
  "avg_imbalance_est": -40.2,
  "day_volume_est": 80414,
  "est_interval_vol_parkinsons": 4.022101068942373
}

Realized stats

Calculates the realized analytics (historical) for a specified exchange symbol from aspecified start time to a specified end time.

All parameters are required.

start_time

Start time of the intraday period in the format HH:MM:SS

end_time

End time of the intraday period in the format HH:MM:SS

exhange_symbol

Enter exchange symbol

date

Date in format YYYY-MM-DD; no more than one year prior

{
  "interval_vwap": 0.6420841201716737,
  "arrival_price": 0.6428750000000001,
  "interval_open_bid_size": 42,
  "interval_open_ask_size": 14,
  "interval_close_price": 0.6422749999999999,
  "interval_volume": 4427,
  "avg_interval_spread": 0.000050677659814776685,
  "avg_interval_depth": 40.659024169866726,
  "imbalance": 67,
  "day_volume": 87767,
  "interval_vol_parkinsons": 15.897767730546736
}

Daily trading stats

Provides realized daily analytics for a specified exchange symbol from a specified start date to a specified end date.

All parameters are required.

exchange_symbol

Enter exchange symbol to fetch respective trading stats

start_date

Start date of range in the format YYYY-MM-DD; no more than one year prior

end_date

End date of range in the format YYYY-MM-DD; no more than one year prior

[
  {
    "exchange_symbol": "6AZ23",
    "date": "2023-06-29",
    "avg_spread_bps": 1.0732,
    "trade_imbalance": -136,
    "avg_depth": 14.7886,
    "day_volume": 351,
    "active_volume": 255,
    "liquid_open": 6,
    "liquid_close": 7,
    "day_high_mid": 0.6666,
    "day_low_mid": 0.6628,
    "day_open_mid": 0.6628,
    "day_close_mid": 0.6659,
    "day_vwap": 0.6642,
    "active_vwap": 0.6644,
    "avg_trade_size": 3.211,
    "trades": 109,
    "day_volatility": 33.4324
  },
]

Active-instruments

Provides a list of contracts (varying expiries) traded on a given day for a specified base symbol; if no active instruments are found, “None” is returned.

All parameters are required.

futures_base_symbol

Base symbol for which to fetch active contracts

date

Active date of contracts to be returned in the format YYYY-MM-DD. For historical, no more than one year prior

[
  {
    "day": "2023-10-03",
    "exchange_symbol": "6AZ23",
    "last_trading_date": "2023-12-18",
    "close_price": 0.63215,
    "open_price": 0.6381,
    "volume": 153483,
    "high_price": 0.63835,
    "low_price": 0.6303,
    "volume_rank": 1,
    "days_to_expiry": "76",
    "expiry_rank": 1,
    "percent_dayvolume_per_contract": 99.99
  },
  {
    "day": "2023-10-03",
    "exchange_symbol": "6AH24",
    "last_trading_date": "2024-03-18",
    "close_price": 0.6342,
    "open_price": 0.6401,
    "volume": 20,
    "high_price": 0.6401,
    "low_price": 0.6329,
    "volume_rank": 2,
    "days_to_expiry": "167",
    "expiry_rank": 2,
    "percent_dayvolume_per_contract": 0.01
  }
]

Supported-symbols

Provides a list of base symbols supported by the API.

This function takes no parameters

[
  {
    "futures_base_symbol": "CC",
    "category": "Agriculture",
    "sub_category": "Softs",
    "exchange_mic_code": "IFUS",
    "description": "Cocoa Futures",
    "valid_contract_months": "{H,K,N,U,Z}",
    "illiquid_contract_months": "{}",
    "tick_size": 1,
    "multiplier": 10,
    "market_open_local": "04:45:00",
    "market_close_local": "13:30:00",
    "liquid_open_local": "08:00:00",
    "liquid_close_local": "11:50:00",
    "tz": "America/New_York"
  },
{65+ symbols supported by PULSE]}
]

Access via AMS

Our Algorithm Management System (AMS) offers a point-and-click interface for Pulse Analytics

Generate market impact and total cost estimates and curves based on fixed duration and specified order size or fixed participation rate and start time

Download historical estimated and realized trade analytics including spread, depth, volume, and volatility

Ready to check the pulse of your orders?

View API Docs Request a trial

Trial for institutional investors only