Analytics for intraday trading data

多伦多证券交易所选择与瑞尔森大学的数据科学实验室合作，并提供其大部分专有的盘中交易数据。这些原始数据包含在纳秒时间尺度上发生的有关交易、报价和经纪人的信息。如今，客户不仅需要购买原始数据，还需要购买能够洞察原始数据的分析产品。对分析的需求来自投资机构、托管银行、经纪交易商和其他正在组建分析团队的市场参与者。TSE客户最追捧的分析产品是对交易策略的分析见解。世界各地的股票市场，如纽约证券交易所（NYSE）正在通过开发分析产品来响应这一需求。我们的工业合作伙伴——多伦多证券交易所——是全球市值第九大的交易所。为了跟上创新的步伐，多伦多证券交易所需要开发分析能力和分析产品。为了响应这一需求，该提案是一项协作努力，将原始的日内交易数据转换为有关交易策略的分析见解。数据科学实验室将应用新颖的算法，如进化聚类，为交易策略提供分析见解。最终产品将是一个概念证明，展示使用智能算法将来自多伦多证券交易所的原始盘中交易数据转换为交易策略的分析见解。最终，多伦多证券交易所将能够为市场参与者和市场监管机构提供分析产品。

The Toronto Stock Exchange has chosen to partner with the Data Science Laboratory at Ryerson University and to provide access to most of its proprietary intraday trading data. This raw data contains information about trades, quotes and brokers occurring on a nanosecond time scale. Today, there is a real demand from customers not just to buy the raw data, but to buy analytics products that provide insights into the raw data. This demand for analytics comes from investing institutions, custodian banks, broker-dealers and other market participants that are building their analytics teams. The most sought after analytics product by TSE customers is analytic insights into trading strategies. Stock markets around the worlds such as the New York Stock Exchange (NYSE) are responding to this demand by developing analytics products. Our industrial partner - the Toronto Stock Exchange - is the ninth largest exchange in the world by market capitalization. In order to keep up with the pace of innovation, the Toronto Stock Exchange needs to develop analytics capabilities and analytics products. To respond to this demand, this proposal is a collaborative effort to convert raw intraday trading data into analytics insights about trading strategies. The Data Science Laboratory will apply novel algorithms such as evolutionary clustering to provide analytics insights into trading strategies. The end product will be a proof of concept showing the conversion of raw intraday trading data from the Toronto Stock Exchange into analytics insights of trading strategies using intelligent algorithms. Ultimately, the Toronto Stock Exchange will be in a position to provide analytics products to market participants and market regulators.