Data Sources

TradeAnon aggregates data from authoritative public and commercial sources. This page documents where our data comes from and how it is processed.

Data Philosophy

We prioritize:

1. Authoritative Sources — Government agencies, exchanges, and established data providers
2. Transparency — Clear documentation of sources and methodologies
3. Timeliness — Data updated as soon as practically available
4. Quality — Validation and error checking before publication

Source Overview

Data Category	Primary Source	Update Frequency
Dark Pool / Short Volume	FINRA	Daily
Volatility Indices	CBOE	Daily
Economic Indicators	Federal Reserve (FRED)	Varies by series
Futures Positioning	CFTC	Weekly
US Equity Prices	Exchange Data	Daily
Company Fundamentals	Multiple	Daily/Quarterly

Dark Pool Data

Source: FINRA

The Financial Industry Regulatory Authority (FINRA) requires broker-dealers to report short sale transactions to FINRA facilities.

Data Reported:

• Short volume by symbol
• Short exempt volume
• Total volume
• Market designation (OTC, ADF)

Update Schedule: Published daily before market open for prior trading day's activity.

Coverage: All equity securities with off-exchange trading activity.

Limitations:

• Aggregated data only (no individual trade details)
• Excludes some trading venues
• Not all short volume is directionally bearish (includes market maker activity)

Volatility Data

Source: CBOE (Chicago Board Options Exchange)

CBOE calculates and publishes volatility indices derived from S&P 500 options.

Indices Tracked:

• VIX — 30-day implied volatility
• VIX3M — 3-month implied volatility
• VIX6M — 6-month implied volatility
• VVIX — Volatility of VIX
• VIX Futures — Term structure data

Update Schedule: End of day, after market close.

Methodology: VIX is calculated using a weighted strip of S&P 500 option prices across strikes and expirations.

Realized Volatility

Calculated internally from S&P 500 daily returns using standard statistical methods.

Calculation: Annualized standard deviation of log returns over specified window (10, 20, 30 days).

Macroeconomic Data

Source: Federal Reserve Economic Data (FRED)

FRED, maintained by the Federal Reserve Bank of St. Louis, aggregates economic data from numerous government and international sources.

Key Series:

Category	Examples	Original Source
Interest Rates	Fed Funds, Treasury yields	Federal Reserve
Employment	Unemployment rate, claims	Bureau of Labor Statistics
Prices	CPI, PCE	Bureau of Labor Statistics
Output	GDP, Industrial Production	Bureau of Economic Analysis
Credit	Corporate spreads	Various

Update Schedule: Varies by series. Daily for market rates; monthly/quarterly for economic releases.

Data Quality: FRED provides vintage data and revision tracking. We use latest available values.

Futures Positioning (COT)

Source: Commodity Futures Trading Commission (CFTC)

The CFTC publishes weekly Commitments of Traders reports showing positions by trader category.

Reports Used:

• Legacy COT (Futures Only)
• Traders in Financial Futures (TFF)
• Disaggregated Report

Trader Categories:

• Commercial / Non-Commercial (Legacy)
• Dealer, Asset Manager, Leveraged Funds, Other (TFF)

Update Schedule: Released every Friday at 3:30 PM Eastern for positions as of prior Tuesday.

Delay: 3-day lag between position date and report publication.

US Equity Data

Price Data

Daily OHLCV (Open, High, Low, Close, Volume) data for US equities.

Coverage:

• S&P 500 components
• Nasdaq 100 components
• Extended coverage for scanners

Update Schedule: End of day after market close.

Adjustments: Prices adjusted for splits and dividends where applicable.

Fundamental Data

Company-level fundamental data including:

• Market capitalization
• Shares outstanding
• Float shares
• Sector/Industry classification

Update Schedule: Daily for prices; quarterly for corporate actions and classifications.

Data Processing

Validation

All incoming data undergoes validation:

• Range checks for reasonable values
• Missing data detection
• Duplicate detection
• Cross-source verification where applicable

Calculations

Derived metrics are calculated using standard financial formulas:

• Moving averages (EMA, SMA)
• Relative strength ratios
• Z-scores and percentiles
• Risk metrics (VaR, correlation)

All calculation methodologies are documented in the relevant feature guides.

Storage

Data is stored in cloud databases optimized for analytical queries:

• Time-series data in columnar format
• User data in transactional database
• Appropriate retention policies by data type

Data Availability

Historical Depth

Data Type	History Available
Dark Pools	2+ years
VIX/Volatility	5+ years
Macro Indicators	Series dependent
COT Positioning	3+ years
US Equities	10+ years

Real-Time vs Delayed

Data Type	Latency
Scanner (pre-market)	Near real-time
Dark Pools	T+1 (one day delay)
COT	T+3 (three day delay)
Other	End of day

Data Limitations

Users should understand:

1. All data has limitations — No data source is perfect or complete
2. Historical data may be revised — Economic data is frequently revised
3. Derived metrics are models — Our calculations are based on assumptions
4. Coverage varies — Not all securities or markets are covered
5. Timing matters — Data availability affects signal timeliness

Questions

For questions about data sources or methodology, contact support through the platform.