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…
Traditional Models*
Highly liquid base symbols
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Small orders
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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
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Point-and-click accessibility
Accessibility via API
Highly liquid base symbols
Checkmark Icon
Small orders
Checkmark Icon
Large orders
Checkmark Icon
Less liquid base symbols
Checkmark Icon
Illiquid trading hours
Checkmark Icon
Illiquid & further dated contracts
Checkmark Icon
Wide range of contract categories (e.g., Commodities, Equity Index, Interest Rates, etc.)
Checkmark Icon
Accounts for shadow liquidity
Checkmark Icon
Supports 60+ base symbols
Arrow Right Icon
Checkmark Icon
Point-and-click accessibility
Checkmark Icon
Accessibility via API
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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
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Equities
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Coming soon
Estimated Statistics

Estimated Statistics

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

Realized Statistics

Realized Statistics

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

Daily Trading Statistics

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

/api/stat-eatimate/

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pulse/api/cost-estimator-fixed-duration/
pulse/api/cost-estimator-fixed-participation/
/api/stat-estimate/
/api/stat-realized/
/api/trading-stats/
/api/active-instruments/
/api/supported-symbols/
Description
Input
Sample Output
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"
  }
]
Description
Input
Sample Output
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"
  }
]
Description
Input
Sample Output
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
}
Description
Input
Sample Output
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
}
Description
Input
Sample Output
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
  },
]
Description
Input
Sample Output
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
  }
]
Description
Input
Sample Output
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
Snapshot Screenshot
Cost Curves Screenshot
Trading Stats Screenshot
Cost Estimator Screenshot

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