Signal 02 · Market Data
Velocity
A daily security-level measure of rate-of-change in securities lending activity. High Velocity identifies securities where borrowing conditions are accelerating — a force-multiplier on the Volatility signal.
Definition
Acceleration in lending rates — the second derivative.
If Volatility captures the cross-sectional snapshot of lending market stress, Velocity captures its motion. The signal measures the rate-of-change in lending activity for each security — how fast the borrowing environment is shifting from one trading day to the next.
Volatility and Velocity are complementary, not redundant. Cross-sectional Spearman correlation between the two signals is +0.43 — moderate, but capturing different temporal slices of borrowing pressure. A security can be high-VOL but low-Velocity (settled stress) or low-VOL but high-Velocity (developing stress). Together, they identify both equilibrium dispersion and momentum into instability.
Classified as dual-purpose: Velocity precedes elevated drawdown (risk) and negative forward returns (alpha) at the 5- to 21-day horizon. Its primary commercial use is as a force-multiplier alongside Volatility — securities ranking high on both signals carry materially higher conviction than either alone.
Live Market Snapshot
Today’s Largest Velocity Movers
Velocity is a per-security signal. Below are the U.S. institutional securities showing the largest 30-day Velocity z-scores — the most unusual rate-of-change activity right now. Each row’s sparkline shows the underlying 30-day trajectory.
Top 8 by absolute 30-day Velocity z-score · U.S. institutional universe (Mid+ cap) · refreshed daily at 7:45 AM EST. The full security-level Velocity file is delivered to client S3 each trading day.
The Research Evidence
Three views into the signal.
Quintile structure, regime decomposition, and the Velocity-Volatility interaction — three independent views demonstrating that Velocity is a distinct, validated signal in its own right.
Quintile Structure
Each trading day, securities are ranked into five equal bins by absolute Velocity (|VRR|). Low-Velocity securities (Q1) earn +1.22% over the next 21 trading days. High-Velocity securities (Q5) earn just +0.30% — roughly 90 basis points behind.
The pattern is directional but slightly less steep than Volatility’s ladder. Velocity’s value is in the *interaction* — Q5 Velocity stacked with Q5 Volatility outperforms either alone by a wide margin.
Three-Fold Post-2022 Strengthening
The Q5−Q1 maximum drawdown spread approximately tripled between the pre-2022 and post-2022 sub-periods, from −0.59% to −1.76%.
Like Volatility, Velocity is sharper in a rate-normalized environment. The signal is improving structurally, not degrading — a pattern consistent across all three Tidal signal families.
The Force-Multiplier Effect
The clearest evidence that Velocity is non-redundant with Volatility: securities ranking in the top quintile on both signals simultaneously experience materially larger 21-day return underperformance than securities ranking in only one.
High-VOL alone, high-VELO alone, both-high — each step adds incremental signal. This is what “force multiplier” means quantitatively.
All Velocity findings use the absolute value of VelocityRateRaw — the unsigned magnitude of the rate-of-change. The signed VelocityRateRaw field has a positive Q5−Q1 spread at 21d (+0.24%) and is not directional in the bearish sense. For risk and alpha applications, the absolute-value form (|VRR|) is the operative signal. Daily cross-sectional Spearman rank correlation, returns winsorized at p1/p99, Welch t-tests on HIGH vs. baseline daily mean returns, and pre-specified sub-period decomposition. Full methodology available on request.
Where the Signal Works
Validated across every institutional cap tier.
Velocity carries directional risk signal across every institutional cap segment. The signal does not flip sign or fail statistical significance in any tier — a clean profile for cross-portfolio application.
Use Cases
Three institutional applications.
How Tidal clients use the Velocity signal in production.
For
Risk Teams
Use Velocity to detect early-stage borrowing stress before it becomes equilibrium dispersion. High-|VRR| names with low Volatility flag the *transition into* stress — useful for pre-emptive position monitoring at horizons of 5 to 21 days.
For
Portfolio Managers
Layer Velocity on top of Volatility for high-conviction short-side names. The intersection — high-VOL + high-Velocity — flags securities with both equilibrium stress and active momentum into worsening conditions.
For
Quant Teams
Use |VelocityRateRaw| as a complementary factor alongside Volatility. Spearman r = +0.43 between the two — moderate correlation, materially independent signal. The signed VelocityRateRaw is non-directional; use the absolute value for risk and alpha applications.
The Data Files
What clients receive.
Daily and intraday pipe-delimited files, delivered to AWS S3 with per-client credentials.
File Structure
Two Companion Files
Velocity is published in two files:
End-of-Day — per-security daily values across 8,000+ U.S. equities.
Intraday — refreshed every 15 minutes between 8:00 AM and 5:00 PM EST.
Signal Fields
What’s in the File
VelocityRateRaw — primary signal, rate-of-change.
VelocityRateNorm — normalized variant.
Rolling z-scores — 7d, 14d, 30d, 60d, 90d windows.
Plus standard identifiers and reporting timestamps.
Usage note: |VelocityRateRaw| (the absolute value of the raw field) is the directional risk and alpha signal in Tidal’s research.
Delivery
Cadence & History
EOD — daily, 7:45 AM EST.
Intraday — every 15 minutes, 8:00 AM – 5:00 PM EST.
History — EOD from 2018; intraday from December 2024.
Transport — AWS S3, per-client credentials.
Format — pipe-delimited .TXT.
Evaluate the Velocity signal.
Request methodology documentation, sample data files, and early access to the live snapshot pipeline.
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