DTCC Launches Data Product for US Equities

The Depository Trust & Clearing Corporation (DTCC) has launched Equity Kinetics, a service that offers a comprehensive view of trading activity across all US equities.

Tim Lind, managing director of data services at DTCC, says the post-trade settlement and clearing company captures, aggregates, and anonymizes data for different asset classes. Equity Kinetics datasets include aggregated trade volumes by security and transaction type for the buy side and sell side, covering buy and sell activity, short sale and short sale-exempt data, plus historical data from December 2011 onwards.

“DTCC processes securities transactions valued at approximately $1.6 quadrillion every year,” says Lind. “80 percent of the notional value of over-the-counter derivatives are reported to a DTCC-managed infrastructure, and with the DTCC ITP [Institutional Trade Processing] service about 60–70 percent of buy-side and sell-side confirmations flows through that infrastructure. Essentially we’re sitting on a historical record of what has occurred in the world’s largest capital market. In the age of algorithmic trading, automated risk management and data aggregation, that historical record plays an important input into many risk capital, liquidity and market sentiment decisions.”

Equity Kinetics was created to solve the problem of fragmented US equity trading activity data resulting from multiple registered exchanges, alternative trading systems and broker platforms. It captures equities trade data once a trade has been executed and input into the clearinghouse. 

The service captures the instrument type, volume, and how liquidity is distributed among market participants on the buy side and sell side. Third-party information is not collected. 

Lind says data quality is always an issue for historical trade activity and data input for quant trading, algorithmic trading, or risk systems, which requires a significant amount of time dedicated to curating, integrating, and matching fields for AI and machine learning purposes.

Equity Kinetics, Lind says, gives firms “a view of the trade, but the other important characteristic of this dataset is that it is post-cleared data, which means multiple parties agreed to the economics of the trade, so the data itself is as good as it can get in terms of accuracy and quality because two parties are independently matched and have cleared the trade.”

Equity Kinetics is consistent with DTCC’s “overall strategy”, and the company plans to launch new data products next year, he adds.